INET Nordic FIX protocols extending to nanosecond granularity timestamps

Question

All INET Nordic FIX protocols will be enhanced by extending to nanosecond granularity timestamps on 16.oktober 2015 (see notification and section 3.1.1 in the spec).

The timestamps will look like this: 20150924-10:35:20.840117690

quickfix currently rejects messages that contain fields with this new format with the error: Incorrect data format for value

Are there any plans to support this new format? Or maybe some workaround?

John Zwinck · Accepted Answer · 2015-09-25T09:18:08.767

1

You can first try modifying your data dictionary. For example if you are using fix42.xml that comes with QuickFIX, you can change the affected timestamp fields from type='UTCTIMESTAMP' to type='STRING'.

If that isn't enough, you should instead write a patch against QuickFIX in C++, which should be somewhat straightforward once you know where to patch it, which I think is UtcTimeStampConvertor, around here: https://github.com/quickfix/quickfix/blob/master/src/C%2B%2B/FieldConvertors.h#L564

I think you need to add a case 27: above case 21: near the top, because your format has six extra digits. It looks like the rest of the function doesn't care about the total field length.

Of course if you want to actually inspect the sub-millisecond precision part of these timestamps, you'll need to do more.

edited Sep 25 '15 at 09:18

answered Sep 25 '15 at 08:59

John Zwinck

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Thanks for the quick reply! I'll see if modifying the datadictionary is enough. – hrannarorn Sep 25 '15 at 10:04
Please note: looks like this answer is specific to C++. You tagged "quickfixn", so the actual code change will be different. – Grant Birchmeier Sep 25 '15 at 14:22
I'm currently using the C# wrapper in the c++ impl but I'm hoping to migrate to quickfixn in the near future – hrannarorn Sep 25 '15 at 16:41

score 1 · Answer 2 · answered Sep 25 '15 at 16:21

No plans in QF/n, but only because this is the first I've heard of this.

I'll need to write some tests to see what the repercussions are. It may be that the time/date parser just truncates the extra nano places when it converts the string to a DateTime.

I've opened an issue: https://github.com/connamara/quickfixn/issues/352

score 1 · Answer 3 · answered Sep 29 '15 at 09:54

This change is as far as I know kind of breaking the fix protocol definition of timestamps but that's another story.

There is a static class in QuickFixn called DateTimeConverter under QuickFix/Fields/Converters.

To get this to work correctly you would need to add format strings in lines in that class.

Add "yyyyMMdd-HH:mm:ss.fffffff" to DATE_TIME_FORMATS and "HH:mm:ss.fffffff" to TIME_ONLY_FORMATS so that it would look like this.

/// <summary>
/// Convert DateTime to/from String
/// </summary>
public static class DateTimeConverter
{
    public const string DATE_TIME_FORMAT_WITH_MILLISECONDS = "{0:yyyyMMdd-HH:mm:ss.fff}";
    public const string DATE_TIME_FORMAT_WITHOUT_MILLISECONDS = "{0:yyyyMMdd-HH:mm:ss}";
    public const string DATE_ONLY_FORMAT = "{0:yyyyMMdd}";
    public const string TIME_ONLY_FORMAT_WITH_MILLISECONDS = "{0:HH:mm:ss.fff}";
    public const string TIME_ONLY_FORMAT_WITHOUT_MILLISECONDS = "{0:HH:mm:ss}";
    public static string[] DATE_TIME_FORMATS = { "yyyyMMdd-HH:mm:ss.fffffff", "yyyyMMdd-HH:mm:ss.fff", "yyyyMMdd-HH:mm:ss" };
    public static string[] DATE_ONLY_FORMATS = { "yyyyMMdd" };
    public static string[] TIME_ONLY_FORMATS = { "HH:mm:ss.fffffff", "HH:mm:ss.fff", "HH:mm:ss" };
    public static DateTimeStyles DATE_TIME_STYLES = DateTimeStyles.AssumeUniversal | DateTimeStyles.AdjustToUniversal;
    public static CultureInfo DATE_TIME_CULTURE_INFO = CultureInfo.InvariantCulture;

INET Nordic FIX protocols extending to nanosecond granularity timestamps

3 Answers3