User Defined Messages & Groups

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User Defined Messages & Groups

Michael Holm

I am using QuickFix 1.9.4 to connect to SFE. They have user defined messages with user defined repeating groups. I can process and handle the incoming messages okay. My problem exists with outgoing messages. I add the tags in the order I want them to be in the message, but they are serialized in a random / different way. I am just wondering what the best / recommended way to implement this is. I searched through the library and found the message_order and group_order structs. Should I create a new class and derive from the Message class similar to the MassQuote class?

 

Thanks

 

Michael Holm

Liquid Capital Markets Ltd
11 Old Jewry
London EC2R 8DU
Tel:020 7726 3028

 

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Re: User Defined Messages & Groups

Oren Miller
QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/html/index.html
QuickFIX FAQ: http://www.quickfixengine.org/wikifix/index.php?QuickFixFAQ
QuickFIX Support: http://www.quickfixengine.org/services.html

More specifically you need to create a Group class which specified  
the order you need the fields to be.  For instance, you can that  
MassQuote::NoQuoteSets is created like so:

class NoQuoteSets: public FIX::Group
{
     public:
     NoQuoteSets() : FIX::Group(296,302,FIX::message_order
(302,311,312,309,305,310,313,314,315,316,317,436,435,308,306,362,363,307
,364,365,367,304,0)) {}
     ...
}

So the order is defined by what is passed into the FIX::Group  
constructor.  The first field passed in is the field which contains  
the count for the repeating groups, the second is the delimiter which  
separates repeating groups.  Then you pass in a FIX::message_order  
which defines the order.  The first field should always be the same  
as the delimiter as it should always be first, and the last field  
should always be 0 to indicate you are done supplying fields.

--oren

On Jun 6, 2005, at 6:51 AM, Michael Holm wrote:

> I am using QuickFix 1.9.4 to connect to SFE. They have user defined  
> messages with user defined repeating groups. I can process and  
> handle the incoming messages okay. My problem exists with outgoing  
> messages. I add the tags in the order I want them to be in the  
> message, but they are serialized in a random / different way. I am  
> just wondering what the best / recommended way to implement this  
> is. I searched through the library and found the message_order and  
> group_order structs. Should I create a new class and derive from  
> the Message class similar to the MassQuote class?
>
>
> Thanks
>
>
> Michael Holm
>
> Liquid Capital Markets Ltd
> 11 Old Jewry
> London EC2R 8DU
> Tel:020 7726 3028
>
>
>



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