Posted: Dec 11, 2013 @ 07:51 AM             Msg. 1 of 5

In testing my application I noticed a problem with the FAST FIX server if a Market Data Message is rejected. It is as follows:

My app makes two MD requests as follows - note the second one is invalid so is correctly rejected.

MarketDataRequest -> {59, V, 1, 1, 1, 0, null, null, null, [ [MDEntries -> {0}] [MDEntries -> {1}] ], [ [Instruments -> {GE, 201512, null, CME, FXXXXS}] ]}
MarketDataRequest -> {59, V, 2, 3, 1, 0, null, null, null, [ [MDEntries -> {0}] [MDEntries -> {1}] ], [ [Instruments -> {GE, 201612, null, CME, FXXXXS}] ]}

In response to the first (good) request server correctly replies with:
MarketDataSnapshotFullRefresh -> {2, W, 1, [ [MDEntries -> {0, 99.055, 6993, null, null, null}] [MDEntries -> {1, 99.06, 1889, null, null, null}] ]}

Sever then correctly rejects the invalid MD request:
MarketDataRequestReject -> {58, Y, 2, 4, Unsupported SubscriptionRequestType}

but now price updates for the first request come as follows with the MDReqID set to the value of the rejected message when they should have the value of the first message:
MarketDataSnapshotFullRefresh -> {2, W, 2, [ [MDEntries -> {0, 99.055, 7499, null, null, null}] [MDEntries -> {1, 99.06, 1889, null, null, null}] ]}

MarketDataSnapshotFullRefresh -> {2, W, 2, [ [MDEntries -> {0, 99.055, 6992, null, null, null}] [MDEntries -> {1, 99.06, 1889, null, null, null}] ]}

and so on.

The MDReqID is the third field in the message (after the "W") .

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Michael Hall

Posted: Dec 12, 2013 @ 10:18 AM             Msg. 2 of 5

According our logs, we sent correct subscription id. We cannot reproduce it on our side. If it is reproducible on your side, could you please check raw data that coming from our server? Thank you.

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Victor Vins
Lead Software Developer

Posted: Dec 13, 2013 @ 11:34 AM             Msg. 3 of 5

Thanks for checking this. I haven't been able to test this as the test FIX server has been down for last two days. Is there any way you can check the test servers are running before you go home each evening?

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Michael Hall

Posted: Dec 13, 2013 @ 12:12 PM             Msg. 4 of 5

Actually, FIX was running. What time did you try to connect?

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Victor Vins
Lead Software Developer

Posted: Dec 16, 2013 @ 01:17 PM             Msg. 5 of 5

I was trying to connect all through the day and was getting the message " No responder, not sending message" in response to socketInitiator.start();

Anyway today I've been able to logon to the FIX server and have rerun the "unsupported" test and it now works:

MarketDataRequest -> {59, V, 1, 1, 1, 0, null, null, null, [ [MDEntries -> {0}] [MDEntries -> {1}] ], [ [Instruments -> {GE, 201503, null, CME, FXXXXS}] ]}

MarketDataRequest -> {59, V, 2, 6, 1, 0, null, null, null, [ [MDEntries -> {0}] [MDEntries -> {1}] ], [ [Instruments -> {GE, 201603, null, CME, FXXXXS}] ]}

MarketDataRequestReject -> {58, Y, 2, 4, Unsupported SubscriptionRequestType}

MarketDataSnapshotFullRefresh -> {2, W, 1, [ [MDEntries -> {0, 99.53, 6784, 20131216, 180734000, null}] [MDEntries -> {1, 99.535, 19244, null, null, null}] ]}
New bid = 99.53

MarketDataSnapshotFullRefresh -> {2, W, 1, [ [MDEntries -> {0, 99.53, 6784, 20131216, 180734000, null}] [MDEntries -> {1, 99.535, 19356, null, null, null}] ]}

MarketDataSnapshotFullRefresh -> {2, W, 1, [ [MDEntries -> {0, 99.53, 6784, 20131216, 180734000, null}] [MDEntries -> {1, 99.535, 19380, null, null, null}] ]}

and so on....

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Michael Hall