{{Quickfixn}} Starting on sequence 2

[Campbell Wild]

Can anyone shed any light on how this could happen:

Session time is 06:00 - 19:00

20201208-18:59:59.520 : 8=FIXT.1.1|9=682|35=AE|49=SELLSIDE|56=BUYSIDE|34=09412|52=20201208-18:59:59.523000|<snip>|10=200|
20201208-18:59:59.520 : 8=FIXT.1.1|9=145|35=3|34=9413|49=BUYSIDE|52=20201208-18:59:59.520|56=SELLSIDE|45=9412|58=Value is incorrect (out of range) for this tag|371=25011|372=AE|373=5|10=029|
20201208-19:00:00.520 : 8=FIXT.1.1|9=64|35=5|34=9414|49=BUYSIDE|52=20201208-19:00:00.520|56=SELLSIDE|10=009|
20201209-06:00:22.414 : 8=FIXT.1.1|9=109|35=A|34=2|49=BUYSIDE|52=20201209-06:00:22.414|56=SELLSIDE|98=0|108=60|553=BUYSIDE|554=tre_2006|1137=9|10=105|
20201209-06:00:22.445 : 8=FIXT.1.1|9=100|35=A|49=SELLSIDE|56=BUYSIDE|34=0001|52=20201209-06:00:22.413000|1128=9|98=0|108=60|1137=9|1409=0|10=155|
20201209-06:00:22.461 : 8=FIXT.1.1|9=83|35=2|49=SELLSIDE|56=BUYSIDE|34=0002|52=20201209-06:00:22.413000|1128=9|7=1|16=2|10=073|
20201209-06:00:22.461 : 8=FIXT.1.1|9=476|35=AE|34=1|43=Y|49=BUYSIDE|52=20201209-06:00:22.461|56=SELLSIDE|122=20201208-19:00:00.551|<snip>|10=117|
20201209-06:00:22.461 : 8=FIXT.1.1|9=103|35=4|34=2|43=Y|49=BUYSIDE|52=20201209-06:00:22.461|56=SELLSIDE|122=20201209-06:00:22.461|36=3|123=Y|10=147|
20201209-06:00:22.461 : 8=FIXT.1.1|9=154|35=3|49=SELLSIDE|56=BUYSIDE|34=0003|52=20201209-06:00:22.460000|1128=9|45=2|372=4|58=Incorrect response to resend-request, expected: 1 but received: 2|10=042|
20201209-06:00:22.945 : 8=FIXT.1.1|9=445|35=AE|34=3|49=BUYSIDE|52=20201209-06:00:22.945|56=SELLSIDE|<snip>|10=130|

I don't think the reject is relevant.  But basically this connection was receiving TradeCaptureReport messages at the point when the connection went down.

When the connection comes back up again, the first message sent from BUYSIDE (a Logon) is on sequence number 2.  SELLSIDE responds with a Logon (it has to), followed by a ResendRequest, since it missed message 1.

BUYSIDE then sends back a TradeCaptureReport.  This is the bit that puzzles me.  Presumably this must somehow be left over from the previous session.  You can see that the resent AE message has an Original Time of 20201208-19:00:00.551 which was after the session cut-off time.

So from what I can see, BUYSIDE did the correct thing in not sending the AE message out in the first place, as it was deemed to be from the previous session.  But because the first Logon was on sequence number 2 rather than 1, SELLSIDE effectively coerced the message to be resent from the previous session.

So is this a bug within QuickFIX, or has something specific caused this to happen?

Thanks,
Campbell


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