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Support for higher precision timestamps

Christoph John
QuickFIX/J Documentation: http://www.quickfixj.org/documentation/
QuickFIX/J Support: http://www.quickfixj.org/support/


Hi,

just as an information since some might be get hit by this next year as exchanges or brokers might
start sending timestamps with beyond millisecond precision (e.g. MiFID II). I know that QFJ is not
the tool for HFT ;) but without the changes below you wouldn't be able to receive messages with
timestamps beyond millisecond precision. I think most exchanges will switch to at least microsecond
precision.

There are two JIRA issues for this
http://www.quickfixj.org/jira/browse/QFJ-921
http://www.quickfixj.org/jira/browse/QFJ-873

The first has already been implemented (but not merged yet) and patches QFJ to accept UtcTimeStamps
(or UtcTimeOnly) with up to picosecond precision. Internally, everything is still milliseconds,
though. This is intended for users which simply want to be able to connect to counterparties that
send out higher precision timestamps. Without the patch, QFJ would reject the messages.

The latter issue will be implemented in due course and will enable QFJ to also send out and process
timestamps with up to nanoseconds precision. This will be implemented for QFJ 1.7.0 only since the
nanosecond support is easier to implement on JDK8.

Cheers,
Chris.


--
Christoph John
Development & Support
Direct: +49 241 557080-28
Mailto:[hidden email]
       


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Re: Support for higher precision timestamps

Christoph John
QuickFIX/J Documentation: http://www.quickfixj.org/documentation/
QuickFIX/J Support: http://www.quickfixj.org/support/


Hi,

just as a note: the 1.6.4-SNAPSHOT version has now been updated to accept incoming timestamps up to
picosecond precision (but internally everything is still milliseconds).
Once QFJ-873 has been implemented, the 1.7.0-SNAPSHOT version will be non-backward compatible due to
the changes to the UtcTimestamp fields. They will then use the LocalDate/Time classes from the JDK 8
java.time packages. So everyone using that version probably needs to do code changes in their
application code (unless all fields are treated as Strings anyway).

Cheers,
Chris.


On 11/04/17 09:37, Christoph John wrote:

> QuickFIX/J Documentation: http://www.quickfixj.org/documentation/
> QuickFIX/J Support: http://www.quickfixj.org/support/
>
>
> Hi,
>
> just as an information since some might be get hit by this next year as exchanges or brokers might
> start sending timestamps with beyond millisecond precision (e.g. MiFID II). I know that QFJ is not
> the tool for HFT ;) but without the changes below you wouldn't be able to receive messages with
> timestamps beyond millisecond precision. I think most exchanges will switch to at least microsecond
> precision.
>
> There are two JIRA issues for this
> http://www.quickfixj.org/jira/browse/QFJ-921
> http://www.quickfixj.org/jira/browse/QFJ-873
>
> The first has already been implemented (but not merged yet) and patches QFJ to accept UtcTimeStamps
> (or UtcTimeOnly) with up to picosecond precision. Internally, everything is still milliseconds,
> though. This is intended for users which simply want to be able to connect to counterparties that
> send out higher precision timestamps. Without the patch, QFJ would reject the messages.
>
> The latter issue will be implemented in due course and will enable QFJ to also send out and process
> timestamps with up to nanoseconds precision. This will be implemented for QFJ 1.7.0 only since the
> nanosecond support is easier to implement on JDK8.
>
> Cheers,
> Chris.
>
>

--
Christoph John
Development & Support
Direct: +49 241 557080-28
Mailto:[hidden email]
       


http://www.macd.com <http://www.macd.com/>
----------------------------------------------------------------------------------------------------
       
----------------------------------------------------------------------------------------------------
MACD GmbH
Oppenhoffallee 103
D-52066 Aachen
Tel: +49 241 557080-0 | Fax: +49 241 557080-10
         Amtsgericht Aachen: HRB 8151
Ust.-Id: DE 813021663

Geschäftsführer: George Macdonald
----------------------------------------------------------------------------------------------------
       
----------------------------------------------------------------------------------------------------

take care of the environment - print only if necessary

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