chunked resend request behavior

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chunked resend request behavior

xz2145
QuickFIX/J Documentation: http://www.quickfixj.org/documentation/
QuickFIX/J Support: http://www.quickfixj.org/support/



Hi,

 

I am using QFJ 1.6.0 to connect to CME drop copy and encountered an issue recently in chunked resend request. (CME places a 2500 limit on resend request)

 

A simple example:

ResendRequestChunkSize=10

 

1.      My client expected target seq no to be 1 but received 20 so it sent a resend request begin=1 and end=10.

2.      Let’s assume there were no application messages in 1-10 but in 11-20.

3.      CME responded a sequence reset with GapFill = Y and new seq no <36> = 21.

4.      QFJ continued with 21 and didn’t send the 2nd resend request begin=11 and end=20. Thus I lost all application messages in 11-20.

 

So the problem was in step #3. Should CME send <36>=11 (or the seq no of first application message between 11 and 20) instead of 21? Or should QFJ assume the sequence reset corresponds to the 1st resend request (1-10) only and ignore the <36> and send the 2nd one (11-20)?

 

Thanks,

Xiaojun

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Re: chunked resend request behavior

Eric San Mateo
QuickFIX/J Documentation: http://www.quickfixj.org/documentation/
QuickFIX/J Support: http://www.quickfixj.org/support/



Step 3, 36 should be 11. A gap fill sequence reset is used to skip over admin messages over a resend request range. Setting 36=21 means that CME told QFJ that all messages 1-20 are admin messages.

Regards,

Eric San Mateo

A-FIX Solutions | <a dir="ltr" href="tel:+63%20917%20308%209371" x-apple-data-detectors="true" x-apple-data-detectors-type="telephone" x-apple-data-detectors-result="1">+63 917 308 9371

_____________________________
From: Zhang, Xiaojun <[hidden email]>
Sent: Wednesday, March 2, 2016 2:23 AM
Subject: [Quickfixj-users] chunked resend request behavior
To: <[hidden email]>


Hi,

 

I am using QFJ 1.6.0 to connect to CME drop copy and encountered an issue recently in chunked resend request. (CME places a 2500 limit on resend request)

 

A simple example:

ResendRequestChunkSize=10

 

1.      My client expected target seq no to be 1 but received 20 so it sent a resend request begin=1 and end=10.

2.      Let’s assume there were no application messages in 1-10 but in 11-20.

3.      CME responded a sequence reset with GapFill = Y and new seq no <36> = 21.

4.      QFJ continued with 21 and didn’t send the 2nd resend request begin=11 and end=20. Thus I lost all application messages in 11-20.

 

So the problem was in step #3. Should CME send <36>=11 (or the seq no of first application message between 11 and 20) instead of 21? Or should QFJ assume the sequence reset corresponds to the 1st resend request (1-10) only and ignore the <36> and send the 2nd one (11-20)?

 

Thanks,

Xiaojun

This email is confidential and subject to important disclaimers and conditions including on offers for the purchase or sale of securities, accuracy and completeness of information, viruses, confidentiality, legal privilege, and legal entity disclaimers, available at http://www.jpmorgan.com/pages/disclosures/email




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Re: chunked resend request behavior

xz2145
QuickFIX/J Documentation: http://www.quickfixj.org/documentation/
QuickFIX/J Support: http://www.quickfixj.org/support/


I see. I have a further question. If CME sent 36=11 (assuming 11 was an application message) in step 3 it would send message 11 next. But it just sent 20 in the beginning. Does that mean seq no decreased from CME's perspective?

-----Original Message-----
From: Eric San Mateo [mailto:[hidden email]]
Sent: Tuesday, March 01, 2016 9:22 PM
To: [hidden email]; [hidden email]
Subject: Re: [Quickfixj-users] chunked resend request behavior

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



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Re: chunked resend request behavior

Eric San Mateo
QuickFIX/J Documentation: http://www.quickfixj.org/documentation/
QuickFIX/J Support: http://www.quickfixj.org/support/



Not sure I got the question, it would be better to see the message exchange. If 36=20 was sent, this tells the receiver to set the next expected sequence number to 20, so the next message should have sequence number 20.

 

Regards,

Eric San Mateo

A-FIX Solutions | +63 917 308 9371

 

From: [hidden email]
Sent: Wednesday, March 2, 2016 11:02 AM
To: [hidden email]
Subject: Re: [Quickfixj-users] chunked resend request behavior

 

QuickFIX/J Documentation: http://www.quickfixj.org/documentation/

QuickFIX/J Support: http://www.quickfixj.org/support/

 

 

I see. I have a further question. If CME sent 36=11 (assuming 11 was an application message) in step 3 it would send message 11 next. But it just sent 20 in the beginning. Does that mean seq no decreased from CME's perspective?

 

-----Original Message-----

From: Eric San Mateo [mailto:[hidden email]]

Sent: Tuesday, March 01, 2016 9:22 PM

To: [hidden email]; [hidden email]

Subject: Re: [Quickfixj-users] chunked resend request behavior

 

QuickFIX/J Documentation: http://www.quickfixj.org/documentation/

QuickFIX/J Support: http://www.quickfixj.org/support/

 

 

 

This email is confidential and subject to important disclaimers and conditions including on offers for the purchase or sale of securities, accuracy and completeness of information,  viruses, confidentiality, legal privilege, and legal entity disclaimers, available at http://www.jpmorgan.com/pages/disclosures/email

 

 

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