{{Quickfixn}} Troubles with FIXT1.1/FIX 5.0SP2 configuration

Tue Jul 28 08:20:56 PDT 2020

Better with the separators replaced :

20200728-14:48:22.141 : 8=FIXT.1.1|9=0995|35=R|49=TNP_BLP_BETA|56=TNP_NXED_BETA|34=4|128=TNP.16.8202.13|347=UTF-8|115=CRI3.16.8202.13:5F203AB2146400000000:4018:5:1:0|52=20200728-14:48:22|1156=168|1128=9|1129=2.5|131=5F203AB2146400000000|146=1|55=KNFP|48=FR0013516481|22=4|454=2|455=BJ7972570|456=A|455=BJ7972570|456=1|460=3|167=CORP|541=20300731|228=1|470=LX|223=0|1751=5F203AB2146400000000|537=1|1913=0|54=1|854=0|38=10000|64=20200730|15=EUR|735=1|695=A|828=0|692=1|126=20200728-14:51:22.516|1914=20200728-14:50:52.523|1629=10|1916=0|60=20200728-14:48:22.523|453=3|448=25671412|447=D|452=11|802=7|523=THIBAUD CHEVALIER|803=2|523=1|803=4|523=NATIXIS|803=5|523=F|803=39|523=1|803=4028|523=24741718|803=4032|523=CHEVALIERTH|803=14|448=2792|447=D|452=13|802=2|523=KX1WK48MPD4Y2NCUIZ63|803=4025|523=1|803=4027|22086=1|22087=NATIXIS|22088=D|22089=2|22090=341655|22091=4016|22090=NATIXIS|22091=4015|448=NXED|447=D|452=1|802=2|523=4018|803=4055|523=KX1WK48MPD4Y2NCUIZ63|803=4025|75=20200728|1300=BMTF|136=1|137=5|138=USD|139=24|22351=0|22352=0|10=226|
20200728-14:48:22.328 : 8=FIXT.1.1|9=205|35=3|34=4|49=TNP_NXED_BETA|52=20200728-14:48:22.327|56=TNP_BLP_BETA|115=TNP.16.8202.13|128=CRI3.16.8202.13:5F203AB2146400000000:4018:5:1:0|45=4|58=Tag specified out of required order|371=1128|372=R|373=14|10=055|

C1 - Public Natixis
From: Ghali Salim (EXT) <salim.ghali-ext at natixis.com>
Sent: Tuesday, July 28, 2020 4:55 PM
To: Mailing list for QuickFIX/n <quickfixn at lists.quickfixn.com>
Cc: eTrading-Algo <eTrading-Algo at natixis.com>
Subject: RE: {{Quickfixn}} Troubles with FIXT1.1/FIX 5.0SP2 configuration

Yes of course, these are the two messages :

20200728-14:48:22.141 : 8=FIXT.1.19=099535=R49=TNP_BLP_BETA56=TNP_NXED_BETA34=4128=TNP.16.8202.13347=UTF-8115=CRI3.16.8202.13:5F203AB2146400000000:4018:5:1:052=20200728-14:48:221156=1681128=91129=2.5131=5F203AB2146400000000146=155=KNFP48=FR001351648122=4454=2455=BJ7972570456=A455=BJ7972570456=1460=3167=CORP541=20300731228=1470=LX223=01751=5F203AB2146400000000537=11913=054=1854=038=1000064=2020073015=EUR735=1695=A828=0692=1126=20200728-14:51:22.5161914=20200728-14:50:52.5231629=101916=060=20200728-14:48:22.523453=3448=25671412447=D452=11802=7523=THIBAUD CHEVALIER803=2523=1803=4523=NATIXIS803=5523=F803=39523=1803=4028523=24741718803=4032523=CHEVALIERTH803=14448=2792447=D452=13802=2523=KX1WK48MPD4Y2NCUIZ63803=4025523=1803=402722086=122087=NATIXIS22088=D22089=222090=34165522091=401622090=NATIXIS22091=4015448=NXED447=D452=1802=2523=4018803=4055523=KX1WK48MPD4Y2NCUIZ63803=402575=202007281300=BMTF136=1137=5138=USD139=2422351=022352=010=226
20200728-14:48:22.328 : 8=FIXT.1.19=20535=334=449=TNP_NXED_BETA52=20200728-14:48:22.32756=TNP_BLP_BETA115=TNP.16.8202.13128=CRI3.16.8202.13:5F203AB2146400000000:4018:5:1:045=458=Tag specified out of required order371=1128372=R373=1410=055

From: Quickfixn <quickfixn-bounces at lists.quickfixn.com<mailto:quickfixn-bounces at lists.quickfixn.com>> On Behalf Of Grant Birchmeier
Sent: Tuesday, July 28, 2020 3:55 PM
To: Mailing list for QuickFIX/n <quickfixn at lists.quickfixn.com<mailto:quickfixn at lists.quickfixn.com>>
Subject: Re: {{Quickfixn}} Troubles with FIXT1.1/FIX 5.0SP2 configuration

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Can you paste the rejected message and the reject itself?

(1- remove all sensitive info, and 2- please make the field separators visible, like replace them with "|" or something)

On Tue, Jul 28, 2020 at 8:00 AM Ghali Salim (EXT) <salim.ghali-ext at natixis.com<mailto:salim.ghali-ext at natixis.com>> wrote:
Hi Grant,

Thanks for your answer. I've changed the DataDictionary to AppDataDictionary and fixed the generated "Unknown Type TENOR) due to this change by replacing the TENOR type by STRING in the xml data dictionary. However, I still have an admin Fix Reject message when I receive a QuoteRequest. The reject reason is still relied to the field 1128 (ApplVerID). Do I need to add this tag (ApplVerID=FIX5.0SP2) to my cfg file under [SESSION] or does the DefaultApplVerID tag sufficient ?

P.S : Sorry for the previous attachments

From: Quickfixn <quickfixn-bounces at lists.quickfixn.com<mailto:quickfixn-bounces at lists.quickfixn.com>> On Behalf Of Grant Birchmeier
Sent: Tuesday, July 28, 2020 2:52 PM
To: Mailing list for QuickFIX/n <quickfixn at lists.quickfixn.com<mailto:quickfixn at lists.quickfixn.com>>
Subject: Re: {{Quickfixn}} Troubles with FIXT1.1/FIX 5.0SP2 configuration

This email originated from an external email domain. Please be vigilant before you click on any link or open any attachment.
Cet email provient d'un domaine de messagerie externe. Soyez vigilant avant de cliquer sur un lien ou d'ouvrir une pièce jointe.

Salim,

In your config, change "DataDictionary" to "AppDataDictionary".  (The former is for FIX4x, the latter for FIX5+).  I think that will get you past this problem.

FYI, please don't send large attachments to the list.  If they are needed, we will ask.  Thanks!

-Grant

---------- Forwarded message ----------
From: "Ghali Salim (EXT)" <salim.ghali-ext at natixis.com<mailto:salim.ghali-ext at natixis.com>>
To: "quickfixn at lists.quickfixn.com<mailto:quickfixn at lists.quickfixn.com>" <quickfixn at lists.quickfixn.com<mailto:quickfixn at lists.quickfixn.com>>
Cc: eTrading-Algo <eTrading-Algo at natixis.com<mailto:eTrading-Algo at natixis.com>>
Bcc:
Date: Tue, 28 Jul 2020 08:17:13 +0000
Subject: Troubles with FIXT1.1/FIX 5.0SP2 configuration
Hi QuickFix,

I am encountering some troubles when trying to receive RFQ Fix messages from a Bloomberg gateway.
The provider (Bloomberg) is sending messages under FIXT1.1 (transport) and FIX5.0SP2 (data) protocols.

In my application, the Fix cfg file is as below :

[DEFAULT]
ConnectionType=initiator
BeginString=FIXT.1.1
DefaultApplVerID=FIX.5.0SP2
TransportDataDictionary=FIXT11.xml
HeartBtInt=30
ReconnectInterval=60
ResetOnLogon=Y
ResetOnLogOut=Y
ResetOnDisconnect=Y
CheckLatency=N
StartTime=06:00:00
EndTime=22:00:00
UseDataDictionary=Y
DataDictionary=QuickFIX_TNP_v2.5.1_en.xml

Where the DataDictionary QuickFIX_TNP_v2.5.1_en.xml is provider by Bloomberg (c.f. attached).

The problem is that when an incoming RFQ message is received, the Fix engine rejects it with the following error :

Text :               Tag specified out of required order
RefTagID :        1128

You can find attached the whole Fix event logs with the QuoteRequest and the Reject messages.

As the Tag Id 1128 refers to the ApplVerID, I suspect this issue is due to a config problem.
I've tried different config combinations (by replacing the provider's DataDictionary with other standard versions FIX50.xml and  FIX50SP2.xml) but still have a reject message due to tag 1128 in both cases.
I've asked confirmation to the provider but he is maintaining that his Fix data protocol is 5.0SP2.

One last remark : As you can see in the configuration above, I am using the DataDictionary key rather than AppDataDictionary as recommended for FIXT1.1. This is because when I use the AppDataDictionary with this data file (the provider's one), a QuickFix exception (Unknown type TENOR) is generated. However, when trying other standard data dictionaries (FIX5.0.xml or FIX5.0SP2.xml), the AppDataDictionary key works fine (but still have the Fix Reject message).

Could you have a look at this issue please ?

Salim GHALI
Natixis CIB - DSI Global Markets - Equity Market Access & E-Trading IT
47, Quai d'Austerlitz - 75013 Paris
Phone : +33 (0)1 58 55 21 13
salim.ghali-ext at natixis.com<mailto:salim.ghali-ext at natixis.com> | www.natixis.com<http://www.natixis.com>

--
Grant Birchmeier
Connamara Systems, LLC
Made-To-Measure Trading Solutions.
Exactly what you need. No more. No less.
http://connamara.com

This email, along with any attachments, is confidential. If you believe you received this message in error, please contact the sender immediately and delete all copies of the message. Thank you from Connamara Systems, LLC.

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Connamara Systems, LLC
Made-To-Measure Trading Solutions.
Exactly what you need. No more. No less.
http://connamara.com

This email, along with any attachments, is confidential. If you believe you received this message in error, please contact the sender immediately and delete all copies of the message. Thank you from Connamara Systems, LLC.

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L'integrite de ce message n'etant pas assuree sur internet, Natixis ne peut etre tenu responsable de son contenu. Toute utilisation ou diffusion non autorisee est interdite. Si vous n'etes pas destinataire de ce message, merci de le detruire et d'avertir l'expediteur. Conformément aux lois relatives à la protection de la vie privée auxquelles peut être soumis Natixis , les droits relatifs aux données personnelles dont vous pourriez bénéficier sont décrits dans la notice d’information disponible sur notre site internet <https://www.natixis.com/natixis/jcms/lpaz5_67006/fr/protection-des-donnees>. Ensemble, faisons un geste pour l'environnement : n'imprimons nos mails que si necessaire.
Pour consulter l’ensemble des disclaimers de l’entreprise, veuillez consulter l’url : https://www.natixis.com/natixis/upload/docs/application/pdf/2017-09/disclaimer.pdf <https://www.natixis.com/natixis/upload/docs/application/pdf/2017-09/disclaimer.pdf>

The integrity of this message cannot be guaranteed on the Internet. Natixis cannot therefore be considered responsible for the contents. Any unauthorized use or dissemination is
prohibited. If you are not the intended recipient of this message, please delete it and notify the sender. According to privacy laws to which Natixis may be subject, the rights relating to the personal data you may benefit from are described in the information notice available on our website <https://www.natixis.com/natixis/jcms/lpaz5_67006/en/data-protection>. Please respect the environment and print emails only when necessary.
To consult the entire Natixis disclaimers, please use the following link : https://www.natixis.com/natixis/upload/docs/application/pdf/2017-09/disclaimer.pdf <https://www.natixis.com/natixis/upload/docs/application/pdf/2017-09/disclaimer.pdf>
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