Mailing list for QuickFIX developers. QuickFIX is an open source FIX engine ()

Kevin Y. Kim | 3 Dec 2007 17:30

Re: Building QuickFix with Ruby on MacOSX and macports

QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/html/index.html
QuickFIX Support: http://www.quickfixengine.org/services.html

Finally solved this problem...

I needed to update the bootstrap tools: aclocal, autoheader, libtool(ize), automake and autoconf

Thanks,

-kevin

Sent via electrons and photons over wires and fiber.

On Nov 16, 2007, at 3:15 PM, Kevin Y. Kim wrote:

QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/html/index.html

QuickFIX Support: http://www.quickfixengine.org/services.html

Yes. Specifically, "./configure --with-ruby --prefix=/opt/local"

Two additional points:

1) I am using SVN revision 1844 (as specified on the Marketcetera page)

2) No libquickfix*.dylib is copied into the library directory.

Digging further, i don't think a .dylib file is generated at all.

-kevin

(Continue reading)

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Patrick Wright | 3 Dec 2007 22:27

Re: How do I manually reset my sequencenumber?

QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/html/index.html
QuickFIX Support: http://www.quickfixengine.org/services.html

Here is some C# code for this:

        public override void onMessage(QuickFix43.Logout message_,
SessionID session_)
        {

            Text text = new Text();
            if (message_.isSetText())
            {
                message_.get(text);
                string logoutMessage = text.ToString();
                if(logoutMessage.IndexOf(Low sequence number ") > -1)
                {
                    //message sequence number we are sending is too low
                    int index = logoutMessage.IndexOf("expecting");
                    if (index > -1)
                    {
                        int nextSpace = logoutMessage.LastIndexOf(' ');
                        if (nextSpace > -1)
                        {
                            int expectedNum =
Convert.ToInt32(logoutMessage.Substring(nextSpace + 1));

Session.lookupSession(session_).setNextSenderMsgSeqNum(expectedNum);

                        }
                    }

(Continue reading)

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troy.zimmerman | 3 Dec 2007 22:47

QuickFIX with Ruby 1.9

QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/html/index.html
QuickFIX Support: http://www.quickfixengine.org/services.html

Hello,

Has anybody been able to successfully build QuickFIX with Ruby support against Ruby 1.9? Using 1.8, everything builds beautifully. Using 1.9, make dies with the errors shown below. After a few minutes of poking around, it appears that the struct "RString" has changed between 1.8 and 1.9, and that SWIG has not been updated accordingly. However, I'm pretty new to C and SWIG, and I wanted to double check if anybody else (with more experience) has this working before I fire off an e-mail to the SWIG lists.

Oh, and thanks for QuickFIX. Seriously. This is an absolute dream to work with compared to all of the "enterprise" products I've been using. I hope someday I can contribute to the project.

Troy

Making all in ruby
make[3]: Entering directory `/usr/local/tmp/quickfix/src/ruby'
bash ./make_ruby.sh g++ -g -O2 -Wall -ansi -Wpointer-arith -Wwrite-strings -I/usr/include/libxml2 -I/usr/local/ruby/1.9/lib/ruby/1.9/x86_64-linux -lpthread -lxml2 -lz -lm

/usr/local/tmp/quickfix/src/temp /usr/local/tmp/quickfix/src/ruby
checking for main() in -lquickfix... yes
creating Makefile
/usr/local/tmp/quickfix/src/ruby (Continue reading)

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nri | 3 Dec 2007 23:57

Re: How do I manually reset my sequence number?

QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/html/index.html
QuickFIX Support: http://www.quickfixengine.org/services.html

try something like this...

     
FIX::Session::lookupSession(sessionId)->setNextSenderMsgSeqNum(Send());

FIX::Session::lookupSession(sessionId)->setNextTargetMsgSeqNum(Recv());

where Send() and Recv() are the values you want to set too.

cheers
Nick

mrvictory1999 wrote:
> 
> I am connecting to a broker using QuickFix.  In the case where our
> sequence numbers get out of sync, I am having trouble re-syncing.
> 
> Specifically, if my QuickFix engine believes the sequence number should be
> 200, but the broker thinks it should be 300, I'll get a message like:
> MsgSeqNum too low, expecting 300 but received 200 Logon
> 
> QuickFix will then repeatedly try to log in, incrementing the sequence
> number each time. So after 100 tries, it'll be at the right number.
> 
> I need to know how to manually set my sequence number to 300 so that I can
> skip the 100 reconnect attempts.
>

(Continue reading)

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Erich | 4 Dec 2007 15:58

Re porting last volume

QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/html/index.html
QuickFIX Support: http://www.quickfixengine.org/services.html

I am writing a FIX 4.2 market data publisher for an ECN type application. I
would like to report 'last trade' information in the security status
messages I send out but I am not sure how to report the quantity for the
last trade. The security status message has 'Buy Volume' and 'Sell Volume'
fields but these don't seem quite appropriate as we don't distinguish
between buy and sell for our last traded info. In fact as it stands the
market data publisher app won't have this info, just a price and a quantity.
What should I use?
--

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Erich | 4 Dec 2007 15:54

Re jecting individual groups in a market data request.

QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/html/index.html
QuickFIX Support: http://www.quickfixengine.org/services.html

I am writing a FIX 4.2 market data publisher for an ECN type application.
Clients will specify the market data they are interested in by sending in
market data requests. These messages may contain multiple repeated groups
and it is conceivable that my application receives a message with a mixture
of valid and invalid (i.e. one that requests something we don't support). In
this case I was hoping to be able to handle the valid groups and send back
rejection messages (market data request rejects) for each invalid group. Is
this appropriate or should I reject the entire message if one group is
invalid?
--

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Erich | 4 Dec 2007 15:48

Do I have to use MDEntryID?

QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/html/index.html
QuickFIX Support: http://www.quickfixengine.org/services.html

I am writting a FIX 4.2 market data publisher for an ECN-type platform. We
want to report market depth in snapshots followed by incremental refresh
messages. The order book is two sided and aggregated, i.e. we do not report
individual orders, just the total volume at each price level. The MDEntryID
seems unnecessary as every entry will be uniquely identified by the price
level and position number. Additionally I am not clear how this would work
with the snapshot as this message does not support the MDEntryID field?
--

-- 
View this message in context: http://www.nabble.com/Do-I-have-to-use-MDEntryID--tf4943472.html#a14151757
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Rick Lane | 4 Dec 2007 22:34

repeating group - saying field not available

QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/html/index.html
QuickFIX Support: http://www.quickfixengine.org/services.html

Greetings,

I'm having trouble retrieving a repeating group and was hoping someone could nudge me in the right direction. I'm attempting to grab SecurityDefinition.NoLegs group. Below is a snippet of the FIX message:

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Oren Miller | 4 Dec 2007 23:19

Re: repeating group - saying field not available

QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/html/index.html
QuickFIX Support: http://www.quickfixengine.org/services.html

Do you have the full message?

--oren

On Dec 4, 2007, at 3:34 PM, Rick Lane wrote:

QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/html/index.html

QuickFIX Support: http://www.quickfixengine.org/services.html

Greetings,

I'm having trouble retrieving a repeating group and was hoping someone could nudge me in the right direction. I'm attempting to grab SecurityDefinition.NoLegs group. Below is a snippet of the FIX message:

-------------------------------------------------------------------------
SF.Net email is sponsored by: The Future of Linux Business White Paper
from Novell.  From the desktop to the data center, Linux is going
mainstream.  Let it simplify your IT future.
http://altfarm.mediaplex.com/ad/ck/8857-50307-18918-4

_______________________________________________
Quickfix-developers mailing list
Quickfix-developers@...
https://lists.sourceforge.net/lists/listinfo/quickfix-developers

(Continue reading)

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Rick Lane | 5 Dec 2007 16:05

Re: repeating group - saying field not available

QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/html/index.html
QuickFIX Support: http://www.quickfixengine.org/services.html

After looking further into my issue, I believe it has to do with improperly creating the message. I'm attempting to generically create a group (not knowing, necessarily, which repeating group it is (meaning I don't know if it's the NoMDEntries, or NoLegs, etc. group). I'm given the message field by field, and I had been just adding the fields as they came (so even if a field was part of a repeating group, I'd just keep calling message.setField() for each time; each time it would overwrite the previous field.

So now I'm trying to properly construct the message using the Group class, however I'm having a hard time getting the length field to automatically be created like it is when you use type-specific groups. In other words, here are the messages I get, in order, from the exchange:

1.) [555] = 2
2.) [600] = [N/A]
3.) [623] = 1
4.) [602] = 980018
5.) [603] = 8
6.) [624] = 1
7.) [600] = [N/A]
8.) [623] = 1
9.) [602] = 980023
10.) [603] = 8
11.) [624] = 1

How could I construct a generic Group object such that it includes the tag [555]? If I do the following QuickFix doesn't know that both groups belong to the same sequence. Can groups be constructed (Continue reading)

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