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</o:shapelayout></xml><![endif]--></head><body lang=EN-US link=blue vlink=purple><div class=WordSection1><p class=MsoNormal><o:p> </o:p></p><p class=MsoNormal><span style='color:#1F497D'>Hi All,<o:p></o:p></span></p><p class=MsoNormal><span style='color:#1F497D'><o:p> </o:p></span></p><p class=MsoNormal><span style='font-family:"Arial","sans-serif";color:black'>We have the following setup:<o:p></o:p></span></p><p class=MsoNormal><span style='font-family:"Arial","sans-serif";color:black'><o:p> </o:p></span></p><p class=MsoNormal><span style='font-family:"Arial","sans-serif";color:black'>Orders sit in our own proprietary database. We have a Windows Service that creates a QuickFIX Initiator. The service reads the orders from the database and sends them out using QuickFIX. We use the file message store. <o:p></o:p></span></p><p class=MsoNormal><span style='font-family:"Arial","sans-serif";color:black'><o:p> </o:p></span></p><p class=MsoNormal><span style='font-family:"Arial","sans-serif";color:black'>Basically, the sequence is as follows:<o:p></o:p></span></p><p class=MsoNormal><span style='font-family:"Arial","sans-serif";color:black'><o:p> </o:p></span></p><p class=MsoListParagraph style='text-indent:-.25in;mso-list:l0 level1 lfo2'><![if !supportLists]><span style='font-family:"Arial","sans-serif";color:black'><span style='mso-list:Ignore'>1.<span style='font:7.0pt "Times New Roman"'> </span></span></span><![endif]><span style='font-family:"Arial","sans-serif";color:black'>Order is put in database. Status is set to<b> Pending Submit</b>.<o:p></o:p></span></p><p class=MsoListParagraph style='text-indent:-.25in;mso-list:l0 level1 lfo2'><![if !supportLists]><span style='font-family:"Arial","sans-serif";color:black'><span style='mso-list:Ignore'>2.<span style='font:7.0pt "Times New Roman"'> </span></span></span><![endif]><span style='font-family:"Arial","sans-serif";color:black'>Order is sent using QuickFIX. Status is updated to <b>Submitted.</b><o:p></o:p></span></p><p class=MsoListParagraph style='text-indent:-.25in;mso-list:l0 level1 lfo2'><![if !supportLists]><span style='font-family:"Arial","sans-serif";color:black'><span style='mso-list:Ignore'>3.<span style='font:7.0pt "Times New Roman"'> </span></span></span><![endif]><span style='font-family:"Arial","sans-serif";color:black'>QuickFIX receives ACK from counter-party. Status is updated to <b>Open</b>.<o:p></o:p></span></p><p class=MsoNormal><span style='font-family:"Arial","sans-serif";color:black'><o:p> </o:p></span></p><p class=MsoNormal><span style='font-family:"Arial","sans-serif";color:black'>We are wondering how to handle the following test scenario:<o:p></o:p></span></p><p class=MsoNormal><span style='font-family:"Arial","sans-serif";color:black'><o:p> </o:p></span></p><p class=MsoListParagraph style='text-indent:-.25in;mso-list:l1 level1 lfo4'><![if !supportLists]><span style='font-family:"Arial","sans-serif";color:black'><span style='mso-list:Ignore'>1.<span style='font:7.0pt "Times New Roman"'> </span></span></span><![endif]><span style='font-family:"Arial","sans-serif";color:black'>FIX session is configured to be active from 10 AM to 4 PM.<o:p></o:p></span></p><p class=MsoListParagraph style='text-indent:-.25in;mso-list:l1 level1 lfo4'><![if !supportLists]><span style='font-family:"Arial","sans-serif";color:black'><span style='mso-list:Ignore'>2.<span style='font:7.0pt "Times New Roman"'> </span></span></span><![endif]><span style='font-family:"Arial","sans-serif";color:black'>Counterparty goes down at 3:58 and does not come back up till after 4 PM.<o:p></o:p></span></p><p class=MsoListParagraph style='text-indent:-.25in;mso-list:l1 level1 lfo4'><![if !supportLists]><span style='font-family:"Arial","sans-serif";color:black'><span style='mso-list:Ignore'>3.<span style='font:7.0pt "Times New Roman"'> </span></span></span><![endif]><span style='font-family:"Arial","sans-serif";color:black'>Order is put in database at 3:59 PM. Status is set to<b> Pending Submit</b>.<o:p></o:p></span></p><p class=MsoListParagraph style='text-indent:-.25in;mso-list:l1 level1 lfo4'><![if !supportLists]><span style='font-family:"Arial","sans-serif";color:black'><span style='mso-list:Ignore'>4.<span style='font:7.0pt "Times New Roman"'> </span></span></span><![endif]><span style='font-family:"Arial","sans-serif";color:black'>Order is sent using QuickFIX (it is put in the message store but is not actually sent because there is no counterparty.) Status becomes <b>Submitted</b>.<o:p></o:p></span></p><p class=MsoListParagraph style='text-indent:-.25in;mso-list:l1 level1 lfo4'><![if !supportLists]><span style='font-family:"Arial","sans-serif";color:black'><span style='mso-list:Ignore'>5.<span style='font:7.0pt "Times New Roman"'> </span></span></span><![endif]><span style='font-family:"Arial","sans-serif";color:black'>FIX session ends at 4 PM. All messages in the message store are discarded.<o:p></o:p></span></p><p class=MsoListParagraph style='text-indent:-.25in;mso-list:l1 level1 lfo4'><![if !supportLists]><span style='font-family:"Arial","sans-serif";color:black'><span style='mso-list:Ignore'>6.<span style='font:7.0pt "Times New Roman"'> </span></span></span><![endif]><span style='font-family:"Arial","sans-serif";color:black'>The next day at 10 AM, the FIX session is reset and becomes active once again. <o:p></o:p></span></p><p class=MsoNormal><span style='font-family:"Arial","sans-serif";color:black'><o:p> </o:p></span></p><p class=MsoNormal><span style='font-family:"Arial","sans-serif";color:black'>So now we have an order in our database with a <b>Submitted </b>status, but no corresponding FIX message.<o:p></o:p></span></p><p class=MsoNormal><span style='font-family:"Arial","sans-serif";color:black'><o:p> </o:p></span></p><p class=MsoNormal><span style='font-family:"Arial","sans-serif";color:black'>What we would like to do is, on a session end (when the messages in the store are discarded.), remove all orders with <b>Submitted </b>status from our database.<o:p></o:p></span></p><p class=MsoNormal><span style='font-family:"Arial","sans-serif";color:black'><o:p> </o:p></span></p><p class=MsoNormal><span style='font-family:"Arial","sans-serif";color:black'>The question we have is: what is the best way and place to do that? There does not seem to be a hook into session reset or session start.<o:p></o:p></span></p><p class=MsoNormal><span style='font-family:"Arial","sans-serif";color:black'><o:p> </o:p></span></p><p class=MsoNormal><span style='font-family:"Arial","sans-serif";color:black'>We welcome comments on our overall approach.<o:p></o:p></span></p><p class=MsoNormal><span style='color:#1F497D'><o:p> </o:p></span></p><p class=MsoNormal><span style='color:#1F497D'>Thanks<o:p></o:p></span></p><p class=MsoNormal><span style='color:#1F497D'>Joby Joseph<o:p></o:p></span></p><p class=MsoNormal><span style='font-family:"Arial","sans-serif";color:black'><o:p> </o:p></span></p><p class=MsoNormal><span style='font-family:"Arial","sans-serif";color:black'><o:p> </o:p></span></p><p class=MsoListParagraph><span style='font-family:"Arial","sans-serif";color:black'> <o:p></o:p></span></p></div></body></html>