fix-protocol

QuickFIX/J Error value out of range for this tag

由 半城伤御伤魂 提交于 2019-12-10 15:08:54
问题 I've implemented a Java program that uses QuickFIX/J (version 1.6.0). It gets a FIX message (execution report) from the counterparty with the repeating group NoPartyIDs (Tag 453) with following the values (Tag 453) NoPartyIDs = 4 (Tag 447) PartyIDSource = D (Tag 448) Party ID = XXX (Tag 452) PartyRole = 1 (Tag 447) PartyIDSource = D (Tag 448) Party ID = XXX (Tag 452) PartyRole = 66 (Tag 447) PartyIDSource = D (Tag 448) Party ID = XXX (Tag 452) PartyRole = 55 (Tag 802) NoPartySubIDs = 1 (Tag

Quickfix - Tag not defined for this message type

由 我们两清 提交于 2019-12-10 05:58:07
问题 I'm getting an exec report from my counter party, and my quickfix engine is rejecting it for "Tag not defined for this message type 371=1300" It seems to be saying that the exec report has a non-standard tag (1300), and my quickfix engine doesn't like it. However, I have added that tag into my dictionary XML file, as follows <field number="1300" name="MarketSegmentID" type="String" added="FIX.5.0" addedEP="52" abbrName="MktSegID" textId="FIELD_1300"> <enum value="BETP" symbolicName="BETP"

in HFT does it make sense to try to parallel orders processing?

由 假如想象 提交于 2019-12-09 06:25:21
问题 Well I assume this is more theoretical question for those who familar with hft. I receive orders from FAST and process them. I receive about 2-3 thousands orders per second. The question is if I should try to process them synchronous or asynchronous. Every time I receive next order I need to do following: update orderbook of corresponding instrument update indexes and indicators that depends on that order update strategies and schedule some actions if required (buy/sell something etc.) To do

QuickFIX/n - Initiator repeatedly throw errors during Logon phase

由 倖福魔咒の 提交于 2019-12-07 10:06:00
问题 I am using the trade client application on this link below to make connection between one of my VPS server and brokers server. http://www.quickfixn.org/tutorial/example-applications . After one week of struggle, I been able to make a connection to the broker's server finally in loosely speaking. However, when I run the trade client application, at logon stage I am getting this errors: Unable to write data to the transport connection: An existing connection was forcibly closed by the remote

Parsing FIX protocol in regex?

由 佐手、 提交于 2019-12-07 02:37:54
问题 I need to parse a logfiles that contains FIX protocol messages. Each line contains header information (timestamp, logging level, endpoint), followed by a FIX payload. I've used regex to parse the header information into named groups. E.g.: <?P<datetime>\d{2}/\d{2}/\d{2} \d{2}:\d{2}:\d{2}.\d{6}) (?<process_id>\d{4}/\d{1,2})\s*(?P<logging_level>\w*)\s*(?P<endpoint>\w*)\s* I then come to the FIX payload itself (^A is the separator between each tag) e.g: 8=FIX.4.2^A9=61^A35=A...^A11=blahblah... I

Incorrect NumInGroup count for repeating group QuickFix

由 ≡放荡痞女 提交于 2019-12-06 09:59:20
问题 I am unable to parse this market data incremental refresh message(fix 4.3): 8=FIX.4.3|9=187|35=X|34=4|49=XDEMO|52=20130224-22:31:05.283|56=demo310262=A|268=2|279=2|269=0|278=0014vd32|55=EUR/USD|290=1|64=20130227|279=0|269=0|278=0014vdb2|270=1.31934|271=1000000|290=1|546=3|10=124 Quickfix/j gives me the following: quickfix.FieldException: Incorrect NumInGroup count for repeating group, field=268 I know that is a repeating group issue, but I not quite sure how to change my spec in order to

Quickfix - Tag not defined for this message type

由 牧云@^-^@ 提交于 2019-12-05 17:17:18
I'm getting an exec report from my counter party, and my quickfix engine is rejecting it for "Tag not defined for this message type 371=1300" It seems to be saying that the exec report has a non-standard tag (1300), and my quickfix engine doesn't like it. However, I have added that tag into my dictionary XML file, as follows <field number="1300" name="MarketSegmentID" type="String" added="FIX.5.0" addedEP="52" abbrName="MktSegID" textId="FIELD_1300"> <enum value="BETP" symbolicName="BETP" textId="ENUM_1300_BETP"/> <enum value="BGL" symbolicName="BGL" textId="ENUM_1300_BGL"/> <enum value="BMTF"

Parsing FIX message in regex

由 こ雲淡風輕ζ 提交于 2019-12-05 13:53:20
I found the second answer of Parsing FIX protocol in regex? to be very nice so I tried it out. Here is my code. new_order_finder1 = re.compile("(?:^|\x01)(11|15|55)=(.*?)\x01") new_order_finder2 = re.compile("(?:^|\x01)(15|55)=(.*?)\x01") new_order_finder3 = re.compile("(?:^|\x01)(11|15|35|38|54|55)=(.*?)\x01") if __name__ == "__main__": line = "20150702-05:36:08.687 : 8=FIX.4.2\x019=209\x0135=D\x0134=739\x0149=PINE\x0152=20150702-05:36:08.687\x0156=CSUS\x011=KI\x0111=N09080243\x0115=USD\x0121=2\x0122=5\x0138=2100\x0140=2\x0144=126\x0148=AAPL.O\x0154=1\x0155=AAPL.O\x0157=DMA\x0158=TEXT\x0160

Parsing FIX protocol in regex?

由 ↘锁芯ラ 提交于 2019-12-05 09:12:01
I need to parse a logfiles that contains FIX protocol messages. Each line contains header information (timestamp, logging level, endpoint), followed by a FIX payload. I've used regex to parse the header information into named groups. E.g.: <?P<datetime>\d{2}/\d{2}/\d{2} \d{2}:\d{2}:\d{2}.\d{6}) (?<process_id>\d{4}/\d{1,2})\s*(?P<logging_level>\w*)\s*(?P<endpoint>\w*)\s* I then come to the FIX payload itself (^A is the separator between each tag) e.g: 8=FIX.4.2^A9=61^A35=A...^A11=blahblah... I need to extract specific tags from this (e.g. "A" from 35=, or "blahblah" from 11=), and ignore all

How to send FIX logon message with Python to GDAX/Coinbase

由 吃可爱长大的小学妹 提交于 2019-12-04 09:36:02
问题 I'm trying to establish a FIX 4.2 session to fix.gdax.com (docs: https://docs.gdax.com/#fix-api or https://docs.prime.coinbase.com/?python#logon-a) using Python 3.5 and stunnel. Everything is working apart from my logon message which is rejected and the session is closed by the server with no response making it difficult to debug what's going wrong. My Python code is as follows: s = socket.socket(socket.AF_INET, socket.SOCK_STREAM) s.connect(("127.0.0.1", 4197)) # address and port specified
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