{{Quickfixn}} MemoryMessageStore only holds outgoing messages

[Grant Birchmeier]

Ok, let's start with the most important point:  *The message store is for
internal use only.  User code is not intended to read from, write to, or
interact with the message store at any time.*

I don't believe the docs ever indicate or instruct that developers ever do
anything with the message store (please correct me if I'm wrong), but every
so often someone gets it in their head to do that.  Don't do it.  The store
is for the engine to remember its internal state and respond to
session-level resend requests.  It's not meant for application-code
interaction.

*Next:*  Why are you subclassing from SocketInitiator?  I guarantee that
there are no official docs or examples instructing you to do that.

Have you looked at the examples?  I really recommend looking at the
examples.
https://github.com/connamara/quickfixn/tree/master/Examples

*Regarding the MarketDataRefresh data flow:* I think you are looking for a
feature that QF does not provide.  FIX just specifies a
message-transmission platform and a set of suggested message definitions.
How those messages are used, abused, or redefined strongly depends on the
counterparty.  Their docs should supercede anything you know or think you
know about how things should work.

If the MarketData is multipart, it is on you to create the storage
structures to hold that data and compute it when the reception is complete.
I myself have done that before.  In my case, the counterparty's message
definition contained fields telling how many messages should be expected
and an index field to identify each message's place in the sequence.  I had
to code my own logic to recognize when a data set was complete, and I think
I had a worker thread monitoring the storage to identify when a data set
was incomplete after a timeout period.

-Grant





On Wed, Jun 26, 2019 at 2:15 AM Matthias Güntert <
matthias.guentert at raiffeisen.ch> wrote:

> Hello
>
>
>
> I am building a C# solution based on QuickFix/ 1.8.0.
>
>
>
> Below is the basic structure of my application. I see replies coming in
> from our counterparty, but unfortunately they don’t show up in the message
> store type, which in this case is a MemoryStore. However I do see all
> outgoing messages, like logon, heartbeat and the market data request
> messages.
>
>
>
> The challenge behind this issue is that one market data request results in
> many replies (of type: MarketDataSnapshotFullRefresh) on which I have to do
> some calculations upon.
>
>
>
> Following a couple of questions:
>
>
>
> 1.    Why is quickfix behaving this way? Do I have to explicitly add the
> replies to the store?
>
> 2.    What is the intended way to synchronize / control the request/reply
> dataflow?
>
> 3.    How do I know, at which point all requested replies have been
> received?
>
> 4.    What is the best way to await a logon to complete?
>
>
>
> Thanks and Best regards,
>
> Matthias Güntert
>
>
>
> public class FixMessageHandler : MessageCracker, IApplication
>
> {
>
>        private Session _session;
>
>
>
>        [...]
>
>
>
>        public void OnCreate(SessionID sessionID)
>
>        {
>
>              this._session = Session.LookupSession(sessionID);
>
>        }
>
>
>
>        public void FromApp(Message message, SessionID sessionID)
>
>        {
>
>              try
>
>              {
>
>                     Crack(message, sessionID);
>
>              }
>
>              catch (UnsupportedMessageType ex)
>
>              {
>
>                     [...]
>
>              }
>
>        }
>
>
>
>        public void OnMessage(MarketDataSnapshotFullRefresh message,
> SessionID sessionId)
>
> {
>
>        this._logger.Info(“MarketDataSnapshotFullRefresh received”);
>
> }
>
>
>
>        […]
>
> }
>
>
>
> public class FixClient : SocketInitiator
>
> {
>
>        [...]
>
>
>
>        public void SendRequest(MarketDataRequest request)
>
>        {
>
>              Session.SendToTarget(request, this._sessionId);
>
>        }
>
>
>
>        public void ReadReplies()
>
>        {
>
>              var session = Session.LookupSession(this._sessionId);
>
>              var messages = List<string>();
>
>              session.MessageStore.Get(0,100, messages)
>
>
>
>              [...]
>
>        }
>
> }
>
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-- 
Grant Birchmeier
*Connamara Systems, LLC*
*Made-To-Measure Trading Solutions.*
Exactly what you need. No more. No less.
http://connamara.com
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