0

This particular broker does not provide a DataDictionary so I have to create my own based on their documentation.

This is how they send a particular message:

FIX.4.4|9=709|35=y|34=53|49=DUMMYBROKER|56=<client_ID>|52=20210211- 12:12:37.358847|55=AUD/CAD|55=AUD/CHF|55=AUD/JPY|55=AUD/NZD|55=AUD/USD|55= CAD/CHF|55=CAD/JPY|55=CHF/JPY|55=EUR/AUD|55=EUR/CAD|55=EUR/CHF| ... etc

  • How can I allow QuickFix a field to appear multiple times?
  • Once I recieve the message what is the best way to read it? I am using QuickFIX/n.

This would probably provide me the last symbol only:

var symbolstring = message.GetString(Tags.Symbol);

This is how the SecurityList is defined in the DataDictionary:

<message name="SecurityList" msgtype="y" msgcat="app">
    <group name="NoMDEntries" required="Y">
        <field name="Symbol" required="N"/>
    </group>
</message>

I have tried changing "Y"/"N" in all variations, but it still cannot absorb the message properly.

  • I'm not sure it would work but you could try a repeating group. There should be a e.g. `146=3` tag like the examples on [here](https://gainfutures.com/GFAPI/html/0f30696e-680b-40a1-b935-1bdfbd9dd14d.htm). – Shoejep Jan 28 '22 at 22:15
  • I agree @Shoejep, but there isn't so I am not even sure if it is valid this way but this is how they send it. –  Jan 28 '22 at 22:23
  • Ask them what are they playing at ;) – Shoejep Jan 28 '22 at 22:35
  • No, they were quite generous with me. I am trying to build a good relationship with them. Instead I might just forward them your comment. :-D –  Jan 29 '22 at 20:36
  • It is definitely ***not*** a valid FIX message. – Grant Birchmeier Feb 01 '22 at 14:04

1 Answers1

0

This message is invalid FIX, and is simply not parseable by QuickFIX/n (or any QF engine).

A repeating group must start with a counter field which tells the receiver how many instances of that group will follow. Their message doesn't have that counter field.

Grant Birchmeier
  • 17,809
  • 11
  • 63
  • 98
  • Thank you @Grant Birchmeier, it is great to see that someone from Connamara has also confirm it. I will let them know about the issue. –  Feb 01 '22 at 15:05