quickfix - 在 Quickfix C++ 中重复组消息

Question

我们似乎无法使用 QuickFix 处理某些群组消息。

我正在尝试使用 QuickFix (C++) 建立与 ICE 交换的连接。我创建了一个自定义数据字典来处理 ICE 的非标准消息。要处理的第一条消息是 SecurityDefinition。该消息包含大约 13000 个条目，分为 100 个 block 。我在下面附加了消息(为清楚起见，添加了 CR/LF 的前两个条目)。

我的问题是在数据字典中，我定义了一个组作为条目的一部分，其中包含他们在组中指定的所有字段。然而，由于标签无效(标签 = 305)，该消息在到达黑客之前就被拒绝了。

Message 2 Rejected: Tag not defined for this message type:305

这个词典条目看起来正确吗？是否有任何关于如何处理群组消息的文档？

字典条目:

<message name='SecurityDefinition' msgcat='app' msgtype='d'>
    <field name='SecurityResponseID' required='Y' />
    <field name='SecurityResponseType' required='Y' />
    <field name='SecurityReqID' required='Y' />
    <field name='TotNoRelatedSym' required='N' />
    <field name='NoRpts' required='N' />
    <field name='ListSeqNo' required='N' />
    <group name='NoUnderlyings' required='N'>
        <field name='UnderlyingSymbol' required='N' />
        <field name='UnderlyingSecurityID' required='N' />
        <field name='UnderlyingSecurityIDSource' required='N' />
        <field name='UnderlyingCFICode' required='N' />
        <field name='UnderlyingSecurityDesc' required='N' />
        <field name='UnderlyingMaturityDate' required='N' />
        <field name='UnderlyingContractMultiplier' required='N' />
        <field name='IncrementPrice' required='N' />
        <field name='IncrementQty' required='N' />
        <field name='LotSize' required='N' />
        <field name='NumofCycles' required='N' />
        <field name='LotSizeMultiplier' required='N' />
        <field name='Clearable' required='N' />
        <field name='StripId' required='N' />
        <field name='StripType' required='N' />
        <field name='StripName' required='N' />
        <field name='HubId' required='N' />
        <field name='HubName' required='N' />
        <field name='HubAlias' required='N' />
        <field name='UnderlyingUnitOfMeasure' required='N' />
        <field name='PriceDenomination' required='N' />
        <field name='PriceUnit' required='N' />
        <field name='Granularity' required='N' />
        <field name='NumOfDecimalPrice' required='N' />
        <field name='NumOfDecimalQty' required='N' />
        <field name='ProductId' required='N' />
        <field name='ProductName' required='N' />
        <field name='ProductDescription' required='N' />
        <field name='TickValue' required='N' />
        <field name='ImpliedType' required='N' />
        <field name='PrimaryLegSymbol' required='N' />
        <field name='SecondaryLegSymbol' required='N' />
        <field name='IncrementStrike' required='N' />
        <field name='MinStrike' required='N' />
        <field name='MaxStrike' required='N' />
    </group>
</message>

实际消息:

8=FIX.4.49=5004335=d49=ICE34=252=20121017-00:39:41.38556=600357=23322=3924323=4320=1393=1310382=13267=1711=100 311=1705282309=TEB SMG0013-TFL SMG0013305=8463=FXXXXX307=NG Basis Futures Spr - TETCO-ELA/TGP-500L - Feb13542=20130131436=1.09013=0.00059014=2500.09017=25009022=289024=19025=Y916=20130201917=201302289201=11969200=129202=Feb139300=60589301=Texas Eastern Transmission Corp. - East Louisiana Zone/Tennessee Gas Pipeline Co. - Zone L, 500 Leg Pool9302=TETCO-ELA/TGP-500L998=MMBtus9100=USD9101=USD / MMBtu9085=daily9083=49084=09061=4909062=NG Basis Futures Spr9063=Natural Gas Basis Futures Spread9032=1.259004=17051939005=1353778 311=1714677309=PGE SQF0014.H0014-SCB SQF0014.H0014305=8463=FXXXXX307=NG Basis Futures Spr - PG&E-Citygate/Socal-Citygate - Q1 14542=20131231436=1.09013=0.00059014=2500.09017=25009022=909024=19025=Y916=20140101917=201403319201=12339200=159202=Q1 149300=59979301=PG&E - Citygate/Socal - Citygate9302=PG&E-Citygate/Socal-Citygate998=MMBtus9100=USD9101=USD / MMBtu9085=daily9083=49084=09061=4909062=NG Basis Futures Spr9063=Natural Gas Basis Futures Spread9032=1.259004=13430529005=1344660

Answer 1

我们通过使用所有自定义字段创建一个名为 SecDefICE 的自定义组件并在自定义数据字典中重新定义 SecurityDefinition 消息来解决这个问题。

我们现在可以读取群组信息了。唯一的缺点是我们不得不使用通用组并按数字获取字段，而不是以类型安全的方式进行操作。当我有时间时，我将创建一个新的命名空间(FIXICE 或类似的)，它将具有正确的头文件(消息、字段、自定义破解程序等)

下面列出的是我们字典中的定义。

新组件

  <component name='SecDefICE' required='N'>
   <field name='UnderlyingSymbol' required='N' />
   <field name='UnderlyingSecurityID' required='N' />
   <field name='UnderlyingSecurityIDSource' required='N' />
   <field name='UnderlyingCFICode' required='N' />
   <field name='UnderlyingSecurityDesc' required='N' />
   <field name='UnderlyingMaturityDate' required='N' />
   <field name='UnderlyingContractMultiplier' required='N' />
   <field name='IncrementPrice' required='N' />
   <field name='IncrementQty' required='N' />
   <field name='LotSize' required='N' />
   <field name='NumofCycles' required='N' />
   <field name='LotSizeMultiplier' required='N' />
   <field name='Clearable' required='N' />
   <field name='StartDate' required='N' />
   <field name='EndDate' required='N' />
   <field name='StripId' required='N' />
   <field name='StripType' required='N' />
   <field name='StripName' required='N' />
   <field name='HubId' required='N' />
   <field name='HubName' required='N' />
   <field name='HubAlias' required='N' />
   <field name='UnderlyingUnitOfMeasure' required='N' />
   <field name='PriceDenomination' required='N' />
   <field name='PriceUnit' required='N' />
   <field name='Granularity' required='N' />
   <field name='NumOfDecimalPrice' required='N' />
   <field name='NumOfDecimalQty' required='N' />
   <field name='ProductId' required='N' />
   <field name='ProductName' required='N' />
   <field name='ProductDescription' required='N' />
   <field name='TickValue' required='N' />
   <field name='ImpliedType' required='N' />
   <field name='PrimaryLegSymbol' required='N' />
   <field name='SecondaryLegSymbol' required='N' />
   <field name='IncrementStrike' required='N' />
   <field name='MinStrike' required='N' />
   <field name='MaxStrike' required='N' />
  </component> 

新消息定义

  <message name='SecurityDefinition' msgcat='app' msgtype='d'>
   <field name='SecurityResponseID' required='Y' />
   <field name='SecurityResponseType' required='Y' />
   <field name='SecurityReqID' required='Y' />
   <field name='TotNoRelatedSym' required='N' />
   <field name='NoRpts' required='N' />
   <field name='ListSeqNo' required ='N' />
   <group name='NoUnderlyings' required='N'>
    <component name='SecDefICE' required='N' />
   </group>
   <field name='Text' required='N' />
    <!-- these are the original fields in 4.4 spec -->
    <!-- group name='NoUnderlyings' required='N' -->
    <!-- component name='UnderlyingInst' required='N' -->
    <!-- /group -->
    <!-- component name='Instrument' required='N' -->
    <!-- component name='InstrumentExtension' required='N' -->
    <!-- field name='Currency' required='N' -->
    <!-- field name='TradingSessionID' required='N' -->
    <!-- field name='TradingSessionSubID' required='N' -->
    <!-- field name='EncodedTextLen' required='N' -->
    <!-- field name='EncodedText' required='N' -->
    <!-- group name='NoLegs' required='N' -->
    <!-- component name='InstrumentLeg' required='N' -->
    <!-- /group -->
    <!-- field name='ExpirationCycle' required='N' -->
    <!-- field name='RoundLot' required='N' -->
    <!-- field name='MinTradeVol' required='N' -->
  </message>