{{Quickfixn}} FW: [EXTERNAL] RE: Execution Timestamp has extra millisecond part....

Tue Jul 11 13:35:48 PDT 2017

Hi,

It seems that FINRA's definition of the Execution time needs the '.sss.' part.
But the definition of UTCTimeOnly does not have this as per FIX 4.4.

What would be the type to use for:
    <field number="22007" name="ExecutionTime" type="UTCTIMEONLY"/>

event log has:
20170711-17:48:36.030 : Could not convert field: Could not convert string (17:48:32.000.000) to TimeOnly: String was not recognized as a valid DateTime.
20170711-17:48:36.030 : Message 1200 Rejected: Incorrect data format for value (Field=22007)
message log has:
20170711-17:48:36.029 : 8=FIX.4.49=044335=AE34=120052=20170711-17:48:3649=FNRA50=TS56=PARI57=400E1011=TSEN571=192:400E:00001200572=444989945.2.1.122011=201707111003=7000082434487=0856=0570=N1015=048=912828X8822=1454=1455=TSRYS4494436456=832=100000031=100.0935423=989854=N75=2017071160=20170711-17:48:36.02064=20170712552=254=137=NONE453=1448=PARI447=C452=1528=A54=237=NONE453=1448=A447=C452=1722006=N22013=N22005=N22007=17:48:32.000.00010=040
20170711-17:48:36.030 : 8=FIX.4.49=13435=334=120049=PARI50=400E52=20170711-17:48:36.03056=FNRA57=TS45=120058=Incorrect data format for value371=22007372=AE373=610=198
Should I change the dictioanry to have something like:
    <field number="22007" name="ExecutionTime" type="STRING"/>

This does not feel like the right thing to do.

Thanks,
[CIB_BM_Sign_E_Q]

Kunal Changela
Credit Risk and PnL Development

Group Email: DL CRD IT NY<mailto:crditny at us.bnpparibas.com> (x841 4876, Intl: x721 4876)

787 7th Avenue, New York, NY 10019
Tel: +1 212 841 2640
Mobile: +1 917 216 8852
kunal.changela at us.bnpparibas.com<mailto:kunal.changela at us.bnpparibas.com>

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From: ProdMgmtTransparencySvcs [mailto:FINRAProductManagement at finra.org]
Sent: Tuesday, July 11, 2017 4:00 PM
To: Kunal CHANGELA; ProdMgmtTransparencySvcs
Cc: Natali MONIZ
Subject: [EXTERNAL] RE: Execution Timestamp has extra millisecond part....

No problem.

Most of the FIX spec adheres to the standard FIX 4.4 protocol, but there are certain cases where it has been modified to meet the need of our system/rules. I'm not totally familiar with the FIX libraries, but this may be one of those cases where it doesn't meet the FINRA need for precision.

4.6.4 ExecutionTime       ExecutionTime (22007) is a field defined by FINRA. It denotes the time of execution, format HH:MM:SS.sss.mmm. Outbound messages contain the value set in the inbound message. Format: UTCTimeOnly

Thank you,
Marie

From: Kunal CHANGELA [mailto:kunal.changela at us.bnpparibas.com]
Sent: Tuesday, July 11, 2017 3:14 PM
To: ProdMgmtTransparencySvcs
Cc: Natali MONIZ
Subject: [EXTERNAL] RE: [EXTERNAL] RE: Execution Timestamp has extra millisecond part....

Doh! I skipped the .sss. part.....sorry.
I was also looking at the definition of UTCTimeOnly as per the fix dictionary types from: http://www.onixs.biz/fix-dictionary/4.4/index.html

UTCTimeOnly

Time-only represented in UTC (Universal Time Coordinated, also known as "GMT") in either HH:MM:SS (whole seconds) or HH:MM:SS.sss (milliseconds) format, colons, and period required. This special-purpose field is paired with UTCDateOnly to form a proper UTCTimestamp for bandwidth-sensitive messages. Valid values: HH = 00-23, MM = 00-59, SS = 00-5960 (60 only if UTC leap second) (without milliseconds). HH = 00-23, MM = 00-59, SS = 00-5960 (60 only if UTC leap second), sss=000-999 (indicating milliseconds).

Do I need to use a newer version of the fix library?

Thanks,
[CIB_BM_Sign_E_Q]

Kunal Changela
Credit Risk and PnL Development

Group Email: DL CRD IT NY<mailto:crditny at us.bnpparibas.com> (x841 4876, Intl: x721 4876)

787 7th Avenue, New York, NY 10019
Tel: +1 212 841 2640
Mobile: +1 917 216 8852
kunal.changela at us.bnpparibas.com<mailto:kunal.changela at us.bnpparibas.com>

[cid:image002.gif at 01D2FA59.E1F88680]

[icÃ´ne reprÃ©sentant un arbre et symbolisant la nature]  Do not print this document unless it is necessary, consider the environment

From: ProdMgmtTransparencySvcs [mailto:FINRAProductManagement at finra.org]
Sent: Tuesday, July 11, 2017 3:04 PM
To: Kunal CHANGELA; ProdMgmtTransparencySvcs
Cc: Natali MONIZ
Subject: [EXTERNAL] RE: Execution Timestamp has extra millisecond part....

Kunal,

what would you expect to receive back for this timestamp, given that the spec states that the timestamp is supposed to end in sss.mmm?   It seems that 17:48:32.000.000 meets the format of HH:MM:SS.sss.mmm

Thanks,
Marie

From: Kunal CHANGELA [mailto:kunal.changela at us.bnpparibas.com]
Sent: Tuesday, July 11, 2017 2:55 PM
To: ProdMgmtTransparencySvcs
Cc: Natali MONIZ
Subject: [EXTERNAL] Execution Timestamp has extra millisecond part....

Hi,

As discussed, please find the TSY message that has tag 22007 tag with what I believe to be an incorrectly formatted value. I believe the bit in bold/red is extra.

20170711-17:48:36.029 : 8=FIX.4.49=044335=AE34=120052=20170711-17:48:3649=FNRA50=TS56=PARI57=400E1011=TSEN571=192:400E:00001200572=444989945.2.1.122011=201707111003=7000082434487=0856=0570=N1015=048=912828X8822=1454=1455=TSRYS4494436456=832=100000031=100.0935423=989854=N75=2017071160=20170711-17:48:36.02064=20170712552=254=137=NONE453=1448=PARI447=C452=1528=A54=237=NONE453=1448=A447=C452=1722006=N22013=N22005=N22007=17:48:32.000.00010=040

Thanks,
[CIB_BM_Sign_E_Q]

Kunal Changela
Credit Risk and PnL Development

Group Email: DL CRD IT NY<mailto:crditny at us.bnpparibas.com> (x841 4876, Intl: x721 4876)

787 7th Avenue, New York, NY 10019
Tel: +1 212 841 2640
Mobile: +1 917 216 8852
kunal.changela at us.bnpparibas.com<mailto:kunal.changela at us.bnpparibas.com>

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