{{Quickfixn}} Quick fix Missing trades

Wed Apr 27 19:38:09 PDT 2022

Thanks James and Grant for your response.

1. Currently the message processor is offloaded to a delegate rather than a
thread and it has a very minimal process to just throw the FIX message to a
message bus as it receives it. It does not have any long running or time
taking process.( I may try offloading it to a thread to see if that tricks
out)
2. I do not think we have a ridiculous volume of AE messages and we are not
using any secdef's request for our implementation, so i may rule out that
option.
3. This is an intermittent issue which happens sporadically and we could
not determine a particular pattern as when it happens.

Is there any other way to troubleshoot ? I know for sure that for the
missing trades, the fromApp callback methods are not being invoked as i
have placed a few debug statements in there and i do not see them in the
logs which would tell me that fromApp method is not being invoked.

Apparently when we request for a snapshot/historical trades , we do see
those missing trades.

Thanks,
--Raju.v

On Wed, Apr 27, 2022 at 11:57 AM Grant Birchmeier <gbirchmeier at connamara.com>
wrote:

> 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.*
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-- 
Thanks,
--Raju.v
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