{{Quickfixn}} Quick fix Missing trades

[Grant Birchmeier]

I have a lot of experience with the ICE Trade Capture interface (though
with QF/j instead of QF/n).

James' suggestion is good, though honestly I wouldn't expect that kind of
issue with AE messages unless you are doing some ridiculous volume.  (I
have seen such lag when requesting many SecDefs at once, as that gets you
a fricken' firehose of data that will overwhelm an app.)

Unfortunately, your question doesn't have sufficient info that I can make
any other guesses.  If you are processing 17=38006084 and 88 but not 87...
I can't think of any reason why the engine would do that (assuming they are
received in order).  I can only suspect your own code, rather than the
engine.

On Wed, Apr 27, 2022 at 6:51 AM James Riehl <pete.riehl at gmail.com> wrote:

> Only thing to suggest is to make sure the message processing is not
> blocking. Make sure to offload this to a separate thread.
>
> Sent from my iPhone
>
> On Apr 26, 2022, at 23:48, Veduruparthi Raju <rveduruparthi at gmail.com>
> wrote:
>
> 
> We have recently noticed that some of the trades which are being sent from
> the ICE exchange are missing and when I have analyzed the quick fix message
> logs, I did see that ICE servers are sending all the trade messages and
> also have validated the seq num are in order and everything looks fine.  I
> do not see any rejection messages.
>
> It looks like the FromApp and the OnMessage callbacks are not being
> invoked for a few of the trades when processing and thereby missing the
> trades.
>
> The message processor implementation is a separate delegate.
>
> Can you please advise as to what is going wrong and how to
> troubleshoot this issue and if you have ever addressed this issue
> before, is there any suggested fix ?
>
> Appreciate your response.
>
> As an example: The below are the three trades we received and the trade  *17=38006087
> *is missing and the rest two trades have successfully been processed.
>
> 8=FIX.4.4 9=568 35=AE 49=ICE *34=291* 52=20220307-15:54:09.266 56=14745
> 57=2 571=2985139 487=0 856=0 828=0 150=F *17=38006084* 39=2 570=N
> 55=5166944 48=BRN FMM0022! 22=8 461=FXXXXX 207=IFEU 9064=0 916=20220601
> 917=20220630 32=1 31=118.81 9018=1 9022=1 75=20220307
> 60=20220307-15:54:09.266 9413=0 9028=288003 9707=4 552=1 54=2 37=38006081
> 11=485644729 453=8 448=fhyland 447=D 452=11 448=XXXXXX Enterprises LLC
> 447=D 452=13 448=14745 447=D 452=56 448=8745 447=D 452=4 448=M4G764 447=D
> 452=51 448=YYYYY Securities LLC 447=D 452=60 448=JPA 447=D 452=63 448=W
> 447=D 452=54 77=O 9121=Basel 10=006
>
> 8=FIX.4.4 9=568 35=AE 49=ICE *34=292* 52=20220307-15:54:09.266 56=14745
> 57=2 571=2985143 487=0 856=0 828=0 150=F *17=38006087* 39=2 570=N
> 55=5166944 48=BRN FMM0022! 22=8 461=FXXXXX 207=IFEU 9064=0 916=20220601
> 917=20220630 32=1 31=118.80 9018=1 9022=1 75=20220307
> 60=20220307-15:54:09.266 9413=0 9028=288004 9707=4 552=1 54=2 37=38006081
> 11=485644729 453=8 448=fhyland 447=D 452=11 448=XXXXXX Enterprises LLC
> 447=D 452=13 448=14745 447=D 452=56 448=8745 447=D 452=4 448=M4G764 447=D
> 452=51 448=YYYYY Securities LLC 447=D 452=60 448=JPA 447=D 452=63 448=W
> 447=D 452=54 77=O 9121=Basel 10=005
>
>
> 8=FIX.4.4 9=568 35=AE 49=ICE *34=293* 52=20220307-15:54:09.266 56=14745
> 57=2 571=2985146 487=0 856=0 828=0 150=F *17=38006088* 39=2 570=N
> 55=5166944 48=BRN FMM0022! 22=8 461=FXXXXX 207=IFEU 9064=0 916=20220601
> 917=20220630 32=2 31=118.80 9018=2 9022=1 75=20220307
> 60=20220307-15:54:09.266 9413=0 9028=288006 9707=4 552=1 54=2 37=38006081
> 11=485644729 453=8 448=fhyland 447=D 452=11 448=XXXXXX Enterprises LLC
> 447=D 452=13 448=14745 447=D 452=56 448=8745 447=D 452=4 448=M4G764 447=D
> 452=51 448=YYYYY Securities LLC 447=D 452=60 448=JPA 447=D 452=63 448=W
> 447=D 452=54 77=O 9121=Basel 10=014
>
>
> Thanks,
> --Raju.v
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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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