{{Quickfixn}} FW: Execution report not coming for few trades
Rajkumar R
kraj232 at gmail.com
Wed Sep 2 20:30:13 PDT 2020
Hi grant,
Thanks for your help and support.
With regards,
R. Rajkumar
On Wed, 2 Sep, 2020, 11:18 PM Grant Birchmeier, <gbirchmeier at connamara.com>
wrote:
> Rajkumar,
>
> We're not just gonna be able to give you the magic answer. You're going
> to have to analyze your own code. You should be able to know if you're
> performing expensive operations (DB lookups and writes maybe?) inside your
> OnMessage implementation.
>
> If it turns out that I am correct, then you will need to implement a
> workqueue: Your OnMessage should push the msg into the queue and
> immediately return; a SEPARATE THREAD will read messages off the queue and
> perform the expensive operations that your app needs.
>
> I don't have an example handy, but I believe you might want to read about
> the C# BlockingCollection and ConcurrentQueue.
>
> -Grant
>
>
>
> On Wed, Sep 2, 2020 at 10:00 AM Rajkumar R <kraj232 at gmail.com> wrote:
>
>> Hi Lanfranco,
>>
>> Thanks for the clarification. Attached code snippet which i used in
>> OnMessage event.
>>
>>
>> With Regards.
>> R.Rajkumar
>>
>>
>>
>>
>>
>> On Wed, Sep 2, 2020 at 7:04 PM Lanfranco Morini <
>> Lanfranco.Morini at cegeka.it> wrote:
>>
>>> Yes, it’s another possibility...
>>>
>>> In this case Rajkumar should decouple the OnMessage callbacks with their
>>> implementation using an internal layer of queues…
>>>
>>>
>>>
>>> Lan
>>>
>>>
>>>
>>> *From:* Quickfixn <quickfixn-bounces at lists.quickfixn.com> *On Behalf Of
>>> *Grant Birchmeier
>>> *Sent:* mercoledì 2 settembre 2020 15:28
>>> *To:* Mailing list for QuickFIX/n <quickfixn at lists.quickfixn.com>
>>> *Cc:* Arun Sivaprakash <arunsivaprakash at gmail.com>
>>> *Subject:* Re: {{Quickfixn}} FW: Execution report not coming for few
>>> trades
>>>
>>>
>>>
>>> I suspect that Rajkumar's QF OnMessage callbacks are doing too much work
>>> and taking too much time to return.
>>>
>>>
>>>
>>> Messages in QF are processed serially; message-2 will not be processed
>>> until OnMessage(message-1) returns.
>>>
>>>
>>>
>>> If OnMessage takes too long to return, the receiving queue will start to
>>> back up during heavy traffic. This would result in TestRequests and
>>> connection drops, as the counterparty tries to deal with your lagginess.
>>>
>>>
>>>
>>> On Wed, Sep 2, 2020 at 5:20 AM Lanfranco Morini <
>>> Lanfranco.Morini at cegeka.it> wrote:
>>>
>>> Hi Rajkumar,
>>>
>>> I’m quite sure that no bugs are affecting your QuickFIX/n.
>>>
>>>
>>>
>>> I can add some further considerations to this premise (which surely will
>>> not be exhaustive)
>>>
>>> 1. A Logon message with 141=Y during the trading day is very
>>> dangerous: after this kind of logon, you (and your counterparty) “lose”
>>> every application message sent before (read: a resend request for some
>>> execution reports exchanged before the new logon will not returns anything,
>>> because both of FIX Engines erase every sequence numbers and their related
>>> messages)
>>> 2. From the messages log that you sent (even if partial), it can be
>>> deducted that the disconnection comes from a network failure (no test
>>> request, nor logout messages are in your log)
>>> 3. FXALL seems to have some problem in managing your messages, in
>>> fact they sent a test request (35=1) at 20200828-13:29:53.409 (you
>>> registered it at 20200828-13:30:15.911) even if you sent a previous message
>>> at 52=20200828-13:29:57.833 (less than 60 seconds configured as HeartBeat
>>> interval)
>>>
>>>
>>> 1. Another alternative can be that there are some latency on the
>>> network (it can also cause a forced closure of the network connection
>>> between you and FXALL): this can be deducted looking at the timestamp
>>> differences in several messages
>>>
>>> example
>>>
>>> 20200828-13:28:42.130 : 8=FIX.4.4 9=74 35=A 34=1 49=xxxxxxx
>>> 52=20200828-13:28:42.130 56=FXALL 98=0 108=60 141=Y 10=200
>>>
>>> 20200828-13:28:43.005 : 8=FIX.4.4 9=74 35=A 49=FXALL 56=xxxxxxx
>>> 34=1 52=20200828-13:28:42.963 108=60 141=Y 98=0 10=214
>>>
>>> From this two logon message we can note that comparing tag 52 timestamp
>>> and the log time stamp (written before the message) you received the FXALL
>>> message at least after 42ms they sent it 13:28:43.963 vs. 13:28:43.005
>>>
>>> But if we look at the test request sent by FXALL you received it after
>>> 22 seconds they sent it
>>>
>>> 20200828-13:30:15.911 : 8=FIX.4.4 9=78 35=1 49=FXALL 56=xxxxxxx
>>> 34=8 52=20200828-13:29:53.409 112=20200828-13:29:53 10=198
>>>
>>>
>>>
>>> We can say that changing the 141=1 settings can help to better
>>> understand what is causing the disconnection and probably the loss of
>>> messages, in fact without a forced sequence reset during logon, an
>>> automatic alignment of the lost messages should happen after logon…
>>>
>>>
>>>
>>> Last but not least: if FXALL is sure that they sent the execution
>>> reports that you miss, they should be able to provide you their MsgSeqNum:
>>> in this case you are able to look for them in your log and verifiy if
>>> really lost themo or if they never arrived\never been sent
>>>
>>>
>>>
>>> I wait for your feedback related to my considerations,
>>>
>>>
>>>
>>> Best regards,
>>>
>>> Lanfranco
>>>
>>>
>>>
>>>
>>>
>>> *From:* Quickfixn <quickfixn-bounces at lists.quickfixn.com> *On Behalf Of
>>> *Rajkumar R
>>> *Sent:* mercoledì 2 settembre 2020 09:35
>>> *To:* Mailing list for QuickFIX/n <quickfixn at lists.quickfixn.com>
>>> *Cc:* Arun Sivaprakash <arunsivaprakash at gmail.com>
>>> *Subject:* Re: {{Quickfixn}} FW: Execution report not coming for few
>>> trades
>>>
>>>
>>>
>>> Hi LanFranco,
>>>
>>>
>>>
>>> Thanks for your concern.
>>>
>>>
>>>
>>> Below attached files are
>>>
>>> 1.FIX Connectivity (FIX.4.4-olam-eur-FXALL.event.current)
>>>
>>> 2.FIX Message Logs ( FIX.4.4-olam-eur-FXALL.messages.current)
>>> 3.configuration file (QfSettings.txt)
>>>
>>>
>>>
>>> The message logs is extracted based on the event logs disconnectivity
>>> timings
>>>
>>>
>>>
>>> Note : I have already shared the event & message on 28-Aug-2020
>>>
>>>
>>>
>>> If any more inputs required do please let me know
>>>
>>>
>>>
>>> Thanks in advance
>>>
>>>
>>>
>>> With Regards,
>>>
>>> R.Rajkumar
>>>
>>>
>>>
>>>
>>>
>>>
>>>
>>> On Mon, Aug 31, 2020 at 9:58 PM Lanfranco Morini <
>>> Lanfranco.Morini at cegeka.it> wrote:
>>>
>>> Rajkumar,
>>>
>>> we never received the messages log that you wrote you have sent, and
>>> also config file never arrive: without messages it is impossible to
>>> understand what went wrong on your Fix Engine
>>>
>>>
>>>
>>> That’s why Grant said that is impossible to help you: FIX Protocol is
>>> message based and each message is the consequence of the previous one, we
>>> need them to understand if you missed\discard the execution reports or if
>>> your counterparty never sent (even if they say the opposite)…
>>>
>>>
>>>
>>> Hope it can help…
>>>
>>>
>>>
>>> Lanfranco
>>>
>>>
>>>
>>>
>>>
>>> *From:* Quickfixn <quickfixn-bounces at lists.quickfixn.com> *On Behalf Of
>>> *Rajkumar R
>>> *Sent:* lunedì 31 agosto 2020 17:45
>>> *To:* Mailing list for QuickFIX/n <quickfixn at lists.quickfixn.com>
>>> *Subject:* Re: {{Quickfixn}} Execution report not coming for few trades
>>>
>>>
>>>
>>> Hi,
>>>
>>>
>>>
>>> Thanks for your help
>>>
>>>
>>>
>>> With regards,
>>>
>>> R. Rajkumar
>>>
>>> On Mon, 31 Aug, 2020, 8:51 PM Grant Birchmeier, <
>>> gbirchmeier at connamara.com> wrote:
>>>
>>> No, we can't.
>>>
>>>
>>>
>>> The information that you've provided is not sufficient, and my attempts
>>> to get better info out of you have failed.
>>>
>>>
>>>
>>> You didn't try the actions that I suggested. You didn't provide the
>>> info that I requested. Your last email did not make any sense.
>>>
>>>
>>>
>>> If you want help, re-read my last email and do what I have asked.
>>>
>>>
>>>
>>> -Grant
>>>
>>>
>>>
>>>
>>>
>>>
>>>
>>>
>>>
>>> On Mon, Aug 31, 2020 at 10:10 AM Rajkumar R <kraj232 at gmail.com> wrote:
>>>
>>> Hi,
>>>
>>>
>>>
>>> Can anybody help please.
>>>
>>>
>>>
>>> With regards,
>>>
>>> R. Rajkumar
>>>
>>>
>>>
>>> On Fri, 28 Aug, 2020, 10:27 PM Rajkumar R, <kraj232 at gmail.com> wrote:
>>>
>>> Hi,
>>>
>>> Am sorry in my previous mail I have taken a wrong date of current and
>>> message logs, that is the reason I have resent the 18jul2020 logs of
>>> current and message log which match the timestamps. Just to have clarity I
>>> have added the config file as well.
>>>
>>>
>>>
>>> With regards,
>>>
>>> Rajkumar
>>>
>>>
>>>
>>>
>>>
>>>
>>>
>>> Regards,
>>>
>>> Rajkumar
>>>
>>>
>>>
>>> On Fri, 28 Aug, 2020, 9:07 PM Grant Birchmeier, <
>>> gbirchmeier at connamara.com> wrote:
>>>
>>> With all due respect, I get the impression that you don't really
>>> know what you're doing.
>>>
>>>
>>>
>>> It's like you're sending me pastes of errors that you aren't even
>>> reading. They have nothing to do with app-layer messaging. Do these
>>> timestamps even correspond with any ExecutionReports that you're supposedly
>>> missing?
>>>
>>>
>>>
>>> You're sending logs for connection drops. I already told you what I
>>> think of these. I think they have nothing to do with your missed messages.
>>>
>>>
>>>
>>> Do this:
>>>
>>> 1. Ask your counterparty for a message that they sent that you
>>> missed.
>>> 2. Go in your message log, find that time, and look at what's
>>> happening.
>>>
>>> If you wish to ask for further help, please send details about (1) and
>>> (2).
>>>
>>>
>>>
>>> -Grant
>>>
>>> _______________________________________________
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>>>
>>> _______________________________________________
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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
>>>
>>>
>>> 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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>>>
>> _______________________________________________
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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
>
> 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.
> _______________________________________________
> Quickfixn mailing list
> Quickfixn at lists.quickfixn.com
> http://lists.quickfixn.com/listinfo.cgi/quickfixn-quickfixn.com
>
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