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Im using quickfix. I start session and send MarketDataRequest, it works fine, but after the disconnect happened and quickfix session reconnected, i cant get any market data anymore. Server does not respond on my MarketDataRequests at all. Only session recreation fixes this issue.

How is that could be fixed? What should i do after reconnection to receive market data?

Vitaliy Nesterenko
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  • What is in your message log? The answer should be in there. Did your counterparty reject the MDRequest? – Grant Birchmeier Apr 22 '13 at 11:53
  • The problem is that there is nothing in the log. Just no any responce or reject. I get reject only if i send invalid message. – Vitaliy Nesterenko Apr 22 '13 at 12:16
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    This might be a question for your counterparty's support, then. Also check their interface's documentation; maybe there's a quirk to their system that you missed. – Grant Birchmeier Apr 22 '13 at 13:34
  • what do you mean by "server does not respond" ? probably it does respond but you somehow didn't catch the response. I would suggest to install wireshark or another sniffer and check what happening. – Oleg Vazhnev May 03 '13 at 18:50

2 Answers2

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Trying to get market data after disconnection is like trying to talk on the phone after you've hung up. It's impossible; the communication channel is gone!

(Is it possible you've left some important details out of your question?)

Grant Birchmeier
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  • I've edited my post, but i thought that it's obvious that i mean that i was reconnected after the disconnect. And after this reconnect i cant get responce on my marketdatarequest. But heartbeats works fine. – Vitaliy Nesterenko Apr 22 '13 at 09:21
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Your log should show the logon message (35=A) as well as the attempt to sync or reset the sequence numbers (35=4) depending on your FIX engine configuration.

Are you not seeing the logon or logoff (35=5) messages?

Try issuing a TestRequest (35=1), if you are disconnected then it looks like your sequence numbers are out of sync.

Chay Harley
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