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TradeCapture Report - Require Tag Missing

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TradeCapture Report - Require Tag Missing

WayneGraham
Hi

I am generating a TradeCaptureReportRequest, which seems to be accepted as I receive a TradeCaptureReportReqAck with flags 749 and 750 confirming success. I then receive a TradeCaptureRequestReport, which seems ok, but this is immediately followed by a string of error messages where Tag 571 is missing for the TradeCaptureRequestReport ?

Should I be clearing the TradeCaptureRequestReport in the On Message Sub before I can receive the next TradeCaptureRequestReport ?

Thanks very much.

Wayne


Here is my message log:

20140909-12:28:37.281 : 8=FIX.4.49=13835=AD34=249=SASBuat152=20140909-12:28:37.27756=LMXBD263=0568=14:28:37569=1580=260=20140909-00:00:00.00060=20140909-14:28:37.00010=209
20140909-12:28:37.496 : 8=FIX.4.49=9435=AQ49=LMXBD56=SASBuat134=252=20140909-12:28:38.788568=14:28:37569=1263=0749=0750=010=053
20140909-12:28:37.514 : 8=FIX.4.49=25035=AE49=LMXBD56=SASBuat134=352=20140909-12:28:38.788568=14:28:37912=N17=O87lagAAAAJwrgDo527=QGFGOAAAAAXWY00C48=10054722=832=9.231=10.8238275=2014090960=20140909-06:04:33.154552=154=237=AAGKZwAAAAJVH00M11=1.1-08:04:31-11=100341489010=133
20140909-12:28:37.647 : 8=FIX.4.49=10635=334=349=SASBuat152=20140909-12:28:37.64656=LMXBD45=358=Required tag missing371=571372=AE373=110=081

and my code:


Public Sub GetTradeHistory()
        GTHCounter = GTHCounter + 1
        Dim TradeRequestID As TradeRequestID = New TradeRequestID(Format(Now(), "HH:mm:ss") & "." & GTHCounter)
        Dim TradeRequestType As TradeRequestType = New TradeRequestType(TradeRequestType.MATCHED_TRADES_MATCHING_CRITERIA_PROVIDED_ON_REQUEST)
   
        Dim m1 As QuickFix.FIX44.TradeCaptureReportRequest = New QuickFix.FIX44.TradeCaptureReportRequest(TradeRequestID, TradeRequestType)

        Try
            m1.Header.SetField(New TargetCompID("LMXBD"))
            m1.Header.SetField(New SenderCompID("SASBuat1"))
            m1.Header.SetField(New SendingTime(Now()))

            m1.SetField(New SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT))

            Dim TransactTime1 As QuickFix.FIX44.TradeCaptureReportRequest.NoDatesGroup = New QuickFix.FIX44.TradeCaptureReportRequest.NoDatesGroup
            TransactTime1.Set(New TransactTime(Now().Date.ToString))
            Dim TransactTime2 As QuickFix.FIX44.TradeCaptureReportRequest.NoDatesGroup = New QuickFix.FIX44.TradeCaptureReportRequest.NoDatesGroup
            TransactTime2.Set(New TransactTime(Now().ToString))
            m1.AddGroup(TransactTime1)
            m1.AddGroup(TransactTime2)

            m1.Header.SetField(New BodyLength(135))
            m1.Trailer.SetField(New CheckSum(m1.CheckSum.ToString))

            m1.Validate()
            _sessionTrd.Send(m1)

        Catch ex As Exception
            MsgBox("Trade Capture Report Request: " & ex.Message)
        End Try

    End Sub

 Public Sub OnMessage(TCR As QuickFix.FIX44.TradeCaptureReportRequest, sessionID As SessionID)
        OutPutMsg("TradeReq: " & sessionID.ToString)
    End Sub

    Public Sub OnMessage(TCR As QuickFix.FIX44.TradeCaptureReportRequestAck, sessionID As SessionID)
        OutPutMsg("TradeReqAck: " & TCR.TradeRequestStatus.ToString)
    End Sub

    Public Sub OnMessage(TCR As QuickFix.FIX44.TradeCaptureReport, sessionID As SessionID)
        Dim _on As Integer = 0

        OutPutMsg("TradeCapRpt: " & TCR.TradeRequestID.ToString)
        _on = AddOrder()

    End Sub
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Re: TradeCapture Report - Require Tag Missing

Mike Gatny
QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/html/index.html
QuickFIX Support: http://www.quickfixengine.org/services.html


On Wed, Sep 10, 2014 at 2:27 AM, WayneGraham <[hidden email]> wrote:
8=FIX.4.4 9=106 35=3 34=3 49=SASBuat1 52=20140909-12:28:37.646 56=LMXBD 45=3 58=Required
tag missing 371=571 372=AE 373=1 10=081

This is quickfix sending a session-level reject for you automatically because tag 571 (TradeReportID) is missing from the AE message.  To prevent quickfix from doing that, you need to alter the DataDictionary xml file for message AE and set TradeReportID to required="N".   This tag is required by default, and it is unusual that a trade capture report would not have it.

--
Mike Gatny
Connamara Systems, LLC


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Re: TradeCapture Report - Require Tag Missing

Saha Binoy
QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/html/index.html
QuickFIX Support: http://www.quickfixengine.org/services.html

Most likely you are missing tag defined in FIXxx.xml. You want to find out the tag as defined by server side and include that in your FIXxx.xml.

-----Original Message-----
From: Mike Gatny [mailto:[hidden email]]
Sent: Wednesday, September 10, 2014 5:20 AM
To: WayneGraham
Cc: Quickfix Developers List
Subject: Re: [Quickfix-developers] TradeCapture Report - Require Tag Missing

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