Undocumented FIX field

Created at 06 Jan 2020, 20:22
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terry2

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Joined 07.01.2019

Undocumented FIX field
06 Jan 2020, 20:22

Hi,

we noticed 2 issues:

  1. We're getting messages that contain undocumented fields. Specifically for 35=W we're getting field 271 which isn't mentioned in the docs. Example msg:

    8=FIX.4.4^A9=962^A35=W^A34=51^A49=cServer^A50=QUOTE^A52=20200105-23:02:03.633^A56=fxpro.xxx^A57=Quote^A55=15^A268=20^A269=1^A270=83.006^A271=500000^A278=1738907366^A269=1^A270=83.007^A271=2500000^A278=1738906624^A269=1^A270=83.011^A271=500000^A278=1738903395^A269=1^A270=83.004^A271=1700000^A278=1738906627^A269=1^A270=83.008^A271=500000^A278=1738907363^A269=1^A270=83.013^A271=500000^A278=1738907362^A269=1^A270=83.025^A271=1000000^A278=1738902100^A269=1^A270=83.001^A271=250000^A278=1738902099^A269=1^A270=83.01^A271=100000^A278=1738906623^A269=1^A270=83.003^A271=500000^A278=1738906777^A269=0^A270=82.956^A271=1000000^A278=1738902086^A269=0^A270=82.972^A271=500000^A278=1738906765^A269=0^A270=82.98^A271=1200000^A278=1738902092^A269=0^A270=82.982^A271=250000^A278=1738902089^A269=0^A270=82.973^A271=1600000^A278=1738906773^A269=0^A270=82.976^A271=2500000^A278=1738906770^A269=0^A270=82.975^A271=2500000^A278=1738907356^A269=0^A270=82.969^A271=500000^A278=1738905215^A269=0^A270=82.974^A271=600000^A278=1738907358^A269=0^A270=82.944^A271=1000000^A278=1738906298^A10=246^A

    Is there a particular reason this isn't documented? Also we notice this only with FxPro.

  2. We're getting 35=W messages with 268=0 i.e. no usable data. Is that expected?
    8=FIX.4.4^A9=96^A35=W^A34=82^A49=cServer^A50=QUOTE^A52=20200105-23:02:03.634^A56=fxpro.xxx^A57=Quote^A55=1285^A268=0^A10=057^A

Kind regards

@terry2
Replies

PanagiotisCharalampous
07 Jan 2020, 10:27

Hi AundreyLTD,

  1. We will document the missing filed, thanks for spotting this.
  2. This is expected when there is no depth of market available.

Best Regards,

Panagiotis 

Join us on Telegram

 

@PanagiotisCharalampous

terry2
07 Jan 2020, 11:26

RE:

Thanks for the quick response! We're still concerned about 2. since we get this for a lot of instruments in an interesting pattern (see attached msg stream). Observations:

  • for a symbol we get 2 msgs
  • the first has always data, the second has always 268=0
  • both msgs have exactly the same SendingTime

We don't believe this is what's happening on the markets... Could you point us in what way we can investigate or have an explanation of what could be happening?

 

Msg stream:

 IN 20191211-10:58:44.251783139 8=FIX.4.4^A9=132^A35=W^A34=112^A49=CSERVER^A50=QUOTE^A52=20191211-10:58:44.246^A56=fondex.xxx^A57=Quote^A55=93^A268=2^A269=0^A270=1323.73^A269=1^A270=1323.84^A10=092^A
 IN 20191211-10:58:44.251883607 8=FIX.4.4^A9=96^A35=W^A34=113^A49=CSERVER^A50=QUOTE^A52=20191211-10:58:44.246^A56=fondex.xxx^A57=Quote^A55=93^A268=0^A10=163^A
 IN 20191211-10:58:44.251885327 8=FIX.4.4^A9=129^A35=W^A34=114^A49=CSERVER^A50=QUOTE^A52=20191211-10:58:44.246^A56=fondex.xxx^A57=Quote^A55=97^A268=2^A269=0^A270=920.5^A269=1^A270=921.41^A10=209^A
 IN 20191211-10:58:44.252045271 8=FIX.4.4^A9=96^A35=W^A34=115^A49=CSERVER^A50=QUOTE^A52=20191211-10:58:44.246^A56=fondex.xxx^A57=Quote^A55=97^A268=0^A10=169^A
 IN 20191211-10:58:44.252046991 8=FIX.4.4^A9=128^A35=W^A34=116^A49=CSERVER^A50=QUOTE^A52=20191211-10:58:44.246^A56=fondex.xxx^A57=Quote^A55=99^A268=2^A269=0^A270=58.94^A269=1^A270=58.97^A10=186^A
 IN 20191211-10:58:44.252094999 8=FIX.4.4^A9=96^A35=W^A34=117^A49=CSERVER^A50=QUOTE^A52=20191211-10:58:44.246^A56=fondex.xxx^A57=Quote^A55=99^A268=0^A10=173^A
 IN 20191211-10:58:44.252096580 8=FIX.4.4^A9=128^A35=W^A34=118^A49=CSERVER^A50=QUOTE^A52=20191211-10:58:44.246^A56=fondex.xxx^A57=Quote^A55=100^A268=2^A269=0^A270=64.57^A269=1^A270=64.6^A10=154^A
 IN 20191211-10:58:44.252117472 8=FIX.4.4^A9=97^A35=W^A34=119^A49=CSERVER^A50=QUOTE^A52=20191211-10:58:44.246^A56=fondex.xxx^A57=Quote^A55=100^A268=0^A10=207^A
 IN 20191211-10:58:44.253892152 8=FIX.4.4^A9=132^A35=W^A34=125^A49=CSERVER^A50=QUOTE^A52=20191211-10:58:44.248^A56=fondex.xxx^A57=Quote^A55=29^A268=2^A269=0^A270=8.77526^A269=1^A270=8.77678^A10=135^A
 IN 20191211-10:58:44.253906052 8=FIX.4.4^A9=96^A35=W^A34=126^A49=CSERVER^A50=QUOTE^A52=20191211-10:58:44.248^A56=fondex.xxx^A57=Quote^A55=29^A268=0^A10=168^A
 IN 20191211-10:58:44.259593683 8=FIX.4.4^A9=134^A35=W^A34=128^A49=CSERVER^A50=QUOTE^A52=20191211-10:58:44.253^A56=fondex.xxx^A57=Quote^A55=31^A268=2^A269=0^A270=10.45797^A269=1^A270=10.46063^A10=200^A
 IN 20191211-10:58:44.259595219 8=FIX.4.4^A9=96^A35=W^A34=129^A49=CSERVER^A50=QUOTE^A52=20191211-10:58:44.253^A56=fondex.xxx^A57=Quote^A55=31^A268=0^A10=160^A
 IN 20191211-10:58:44.259597167 8=FIX.4.4^A9=132^A35=W^A34=130^A49=CSERVER^A50=QUOTE^A52=20191211-10:58:44.254^A56=fondex.xxx^A57=Quote^A55=32^A268=2^A269=0^A270=1.78862^A269=1^A270=1.78882^A10=110^A
 IN 20191211-10:58:44.259598426 8=FIX.4.4^A9=96^A35=W^A34=131^A49=CSERVER^A50=QUOTE^A52=20191211-10:58:44.254^A56=fondex.xxx^A57=Quote^A55=32^A268=0^A10=155^A
 IN 20191211-10:58:44.266027435 8=FIX.4.4^A9=131^A35=W^A34=132^A49=CSERVER^A50=QUOTE^A52=20191211-10:58:44.260^A56=fondex.xxx^A57=Quote^A55=33^A268=2^A269=0^A270=10.1481^A269=1^A270=10.149^A10=025^A
 IN 20191211-10:58:44.266029756 8=FIX.4.4^A9=96^A35=W^A34=133^A49=CSERVER^A50=QUOTE^A52=20191211-10:58:44.260^A56=fondex.xxx^A57=Quote^A55=33^A268=0^A10=155^A

 

@terry2

PanagiotisCharalampous
07 Jan 2020, 12:11

Hi AundreyLTD,

We will check this and come back to you.

Best Regards,

Panagiotis 

Join us on Telegram

@PanagiotisCharalampous

PanagiotisCharalampous
07 Jan 2020, 16:43

Hi AundreyLTD,

We tried to reproduce this behavior but we could not. Could you please provide us with the following additional information?

  1. The account number, type (demo/live) and broker.
  2. The complete log for exchanged FIX messages starting from login for a session where this happens. 

If it is more convenient for you, you can send this information to us at community@spotware.com

Best Regards,

Panagiotis 

Join us on Telegram

@PanagiotisCharalampous

terry2
07 Jan 2020, 18:36

RE:

PanagiotisCharalampous said:

Hi AundreyLTD,

We tried to reproduce this behavior but we could not. Could you please provide us with the following additional information?

  1. The account number, type (demo/live) and broker.
  2. The complete log for exchanged FIX messages starting from login for a session where this happens. 

If it is more convenient for you, you can send this information to us at community@spotware.com

Best Regards,

Panagiotis 

Join us on Telegram

Thank you. We've sent an email with the same title as this forum thread including the logs. Thanks for assisting in solving this curiosity!

Kind regards,
Jernej

@terry2
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