FAQ Database Discussion Community

memory mapping files for high frequency trading?

I am working in a high frequency trading client for stocks in C++. I am using the quickfix/J library to receive information from my broker. I need these two processes to communicate (one written in Java and the other in C++) and the latency has to be minimized as much...

Confused about layers of FIX Protocol

What is the difference between the FIX Application Layer, FIX Presentation Layer, and FIX Session Layer?

QuickFIX/J mixing two different versions

I am writing an application that uses QuickFIX/J as FIX framework. My counterpart sends me an ExecutionReport message of FIX version 4.4 But only some fields (the Parties component) are of version 5.0 Now I am trying to implement that I can read this component. This one @Override public void...

Implementing a FIX client through QuickFixJ throws NoSuchMethodError

I am relatively new to FIX and this is my first time trying to connect. I am attempting to use the QuickFixJ library to connect to a UAT environment I have been provided with. Specifically I am using quickfixj-all-1.6.0.jar I have implemented the sample code from here and it works...

quickfix.Message cannot be cast to quickfix.fix50sp2.Message

I'm using the latest quickfix version which is 1.6.0. I already have code which is written against 1.5.3 and what I'm trying to do is upgrade that to 1.6.0 The problem I have is when I use the crack(msg,sessionID) method it throws quickfix.Message cannot be cast to quickfix.fix50sp2.Message error. I'm...

QuickFix/N sending error message before getting to crack

I am trying to subscribe to MarketData SnapShot full refresh. I can see data message 35=W coming in from an established API, but I cannot catch it in either FromApp or FromAdmin. The quick fix engine is immediately finding something wrong with the message (repeat tags) and is sending an...

Connecting F# app to FIXImulator

I'm trying to connect my F# app with FIXImulator. FIXImulator is running on local machine and listening on port 9878. The application compiles and runs (it also works in interactive mode). However, the connection is never established. I don't think the problem is with my code since it runs and...

QuickFix/N how best to deal with multiple FIX versions

I connect to several APIs that all use FXI4.2 but now I wish to connect to another that uses its own version of FIX4.4. I have an router app that send orders to the various APIs and it would appear that I need to duplicate all my methods (e.g. the...

Is it possible to change cast of an object dynamically?

I want have a "pointer" to an object but the object can be one of two classes. QuickFix.Message newOrderSingle; if (ecn.versionFIX.Equals(VersionFIX.FSS_FIX44)) { newOrderSingle = new QuickFix.FIX44.NewOrderSingle( new ClOrdID(masterForm.OrderBook.GetNewClOrdIDBroker(ecn.brokerCode)), new Symbol(symbol), new Side(side), new TransactTime(DateTime.Now), ordType = new OrdType(OrdType.LIMIT)); } else { newOrderSingle = new QuickFix.FIX42.NewOrderSingle( new ClOrdID(masterForm.OrderBook.GetNewClOrdIDBroker(ecn.brokerCode)), new HandlInst('1'), new...

SocketInitiator getSession give session not at the same order as in the config file

When I try to get a sessionconfig by the index that exist in the file that contains the sessionConfig (in our case "InitiatorSettings.cfg") [default] FileStorePath=data FileLogPath=log HeartBtInt=30 ReconnectInterval=5 [session] SessionName=badisInit1 BeginString=FIX.4.2 SenderCompID=client1 TargetCompID=server1 ConnectionType=initiator SocketConnectPort=9878 SocketConnectHost=localhost UseDataDictionary=N [session] SessionName=init0badis BeginString=FIX.4.2 SenderCompID=client1 TargetCompID=server12 ConnectionType=initiator...