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@TimelordUK TimelordUK released this 20 Jan 10:04
· 23 commits to master since this release
3.5.0
9c20926

Note we are receiving increasing numbers of production style support questions normally which resolve to missing fields within the dictionary file. This is particularly problematic when these fields belong to components such as Instrument as the message cannot be parsed correctly. Please check carefully before raising such issues as they take considerable time to check and fix. In particular a good start point is to fetch tokens such as below from the fix log and see if any fields are unknown. All missing fields have to be added into the correct messages and defined properly else you will experience problems which may seem like bugs in this library. If you are working against a commercial vendor check the specification they provide carefully and ensure missing fields are all present. see the jspf-cserver example for a bespoke set of messages working with this library.

We will not provide support unless it is clear these basic checks have been done and that full examples are available to demonstrate the problem along with the corresponding dictionary file being used.

example demo applications written with this library

description link
a good start point showing FIX 4 and 5 market data request/snapshot and custom generated types. jspf-md-demo
simple example with a custom dictionary that targets cserver jspf-cserver
example trade capture applicaton jspf-demo

What's Changed

  • Set PossDupFlag and OrigSendingTime when resending application messages by @douglasmuraoka in #82
  • Gap fill with wrong seq num & not inflating correctly if end seq is 0 by @douglasmuraoka in #83

Full Changelog: 3.4.0...3.5.0

Change Summary

some great contribution improvements with replay

  1. PR #82
  2. PR #83
  3. latest packages

example command line usage parse FIX log

fetch trade capure messages from a log and display in object notation

node node_modules/jspurefix/dist/jsfix-cmd --fix=../../jsfix.test_client.txt --delimiter="|"  --session=../../data/session/test-initiator.json --type=AE --objects
AE [TradeCaptureReport] = {
    "StandardHeader": {
        "BeginString": "FIX4.4",
        "BodyLength": 194,
        "MsgType": "AE",
        "SenderCompID": "accept-comp",
        "TargetCompID": "init-comp",
        "MsgSeqNum": 11,
        "TargetSubID": "fix",
        "SendingTime": "2023-11-11T14:45:19.705Z"
    },
    "TradeReportID": "100007",
    "TradeReportTransType": 0,
    "TradeReportType": 0,
    "TrdType": 0,
    "ExecID": "600007",
    "OrdStatus": "2",
    "PreviouslyReported": false,
    "Instrument": {
        "Symbol": "Gold",
        "SecurityID": "Gold.INC"
    },
    "LastQty": 118,
    "LastPx": 4.07,
    "TradeDate": "2023-11-11T00:00:00.000Z",
    "TransactTime": "2023-11-11T14:45:19.705Z",
    "StandardTrailer": {
        "CheckSum": "016"
    }
}

see tokenised output from log

node .\node_modules\jspurefix\dist\jsfix-cmd --fix=..\..\jsfix.test_client.txt --delimiter="|"  --type=AE --session=..\..\data\session\test-initiator.json --tokens
[0] 8 (BeginString) = FIX4.4, [1] 9 (BodyLength) = 0000193
[2] 35 (MsgType) = AE[TradeCaptureReport], [3] 49 (SenderCompID) = accept-comp
[4] 56 (TargetCompID) = init-comp, [5] 34 (MsgSeqNum) = 3
[6] 57 (TargetSubID) = fix, [7] 52 (SendingTime) = 20231111-14:44:59.672
[8] 571 (TradeReportID) = 100000, [9] 487 (TradeReportTransType) = 0
[10] 856 (TradeReportType) = 0[Submit], [11] 828 (TrdType) = 0[RegularTrade]
[12] 17 (ExecID) = 600000, [13] 39 (OrdStatus) = 2[Filled]
[14] 570 (PreviouslyReported) = N[NotReportedToCounterparty], [15] 55 (Symbol) = Gold
[16] 48 (SecurityID) = Gold.INC, [17] 32 (LastQty) = 171
[18] 31 (LastPx) = 6.28, [19] 75 (TradeDate) = 20231111
[20] 60 (TransactTime) = 20231111-14:44:59.672, [21] 10 (CheckSum) = 226

FIX 5 message types generated for quickfix and repo based definitions as below.

export interface ILogon {
  StandardHeader: IStandardHeader// [1] BeginString.8, BodyLength.9 .. HopRefID.630
  EncryptMethod: number// [2] 98 (Int)
  HeartBtInt: number// [3] 108 (Int)
  RawDataLength?: number// [4] 95 (Length)
  RawData?: Buffer// [5] 96 (RawData)
  ResetSeqNumFlag?: boolean// [6] 141 (Boolean)
  NextExpectedMsgSeqNum?: number// [7] 789 (Int)
  MaxMessageSize?: number// [8] 383 (Length)
  NoMsgTypes?: ILogonNoMsgTypes[]// [9] RefMsgType.372, MsgDirection.385
  TestMessageIndicator?: boolean// [10] 464 (Boolean)
  Username?: string// [11] 553 (String)
  Password?: string// [12] 554 (String)
  NewPassword?: string// [13] 925 (String)
  EncryptedPasswordMethod?: number// [14] 1400 (Int)
  EncryptedPasswordLen?: number// [15] 1401 (Length)
  EncryptedPassword?: Buffer// [16] 1402 (RawData)
  EncryptedNewPasswordLen?: number// [17] 1403 (Length)
  EncryptedNewPassword?: Buffer// [18] 1404 (RawData)
  SessionStatus?: number// [19] 1409 (Int)
  DefaultApplVerID?: string// [20] 1137 (String)
  DefaultApplExtID?: number// [21] 1407 (Int)
  DefaultCstmApplVerID?: string// [22] 1408 (String)
  Text?: string// [23] 58 (String)
  EncodedTextLen?: number// [24] 354 (Length)
  EncodedText?: Buffer// [25] 355 (RawData)
  StandardTrailer: IStandardTrailer// [26] SignatureLength.93, Signature.89, CheckSum.10
}

you can benchmark the library with something like

npm run qf50sp2-bench-md

> jspurefix@3.2.0 qf50sp2-bench-md
> node dist/jsfix-cmd  --dict=qf50sp2 --fix=data/examples/FIX.5.0SP2/quickfix/md-data-snapshot/fix.txt --benchmark --delimiter="|" --repeats=80000

{
    "content": "8=FIX.5.0SP2|9=0000430|35=W|49=init-comp|56=accept-comp|115=DTS|34=3187|57=fix|145=NCFX1_FIX50|52=20231031-20:51:03.893|122=20231030-10:18:33.507|262=EURJPY10Y=TDS|48=EURJPY10Y=TDS|22=8|167=FXFWD|762=NONE|15=EUR|20460=EUZZ02X3F8ZYPHZZZZ|268=3|269=0|278=2971|270=-3657.05|271=0|272=20231030|273=10:18:33.507|336=1|269=1|278=2972|270=-3590.35|271=0|272=20231030|273=10:18:33.507|336=1|269=H|278=2973|270=-3623.7|272=20231030|273=10:18:33.507|336=1|10=052|",
    "view": "[0] 8 (BeginString) = FIX.5.0SP2[FIX.5.0SP2], [1] 9 (BodyLength) = 0000430\r\n[2] 35 (MsgType) = W[MarketDataSnapshotFullRefresh], [3] 49 (SenderCompID) = init-comp\r\n[4] 56 (TargetCompID) = accept-comp, [5] 115 (OnBehalfOfCompID) = DTS\r\n[6] 34 (MsgSeqNum) = 3187, [7] 57 (TargetSubID) = fix\r\n[8] 145 (DeliverToLocationID) = NCFX1_FIX50, [9] 52 (SendingTime) = 20231031-20:51:03.893\r\n[10] 122 (OrigSendingTime) = 20231030-10:18:33.507, [11] 262 (MDReqID) = EURJPY10Y=TDS\r\n[12] 48 (SecurityID) = EURJPY10Y=TDS, [13] 22 (SecurityIDSource) = 8[ExchangeSymbol]\r\n[14] 167 (SecurityType) = FXFWD[FxForward], [15] 762 (SecuritySubType) = NONE\r\n[16] 15 (Currency) = EUR, [17] 20460 (InstrumentCustom) = EUZZ02X3F8ZYPHZZZZ\r\n[18] 268 (NoMDEntries) = 3, [19] 269 (MDEntryType) = 0[Bid]\r\n[20] 278 (MDEntryID) = 2971, [21] 270 (MDEntryPx) = -3657.05\r\n[22] 271 (MDEntrySize) = 0, [23] 272 (MDEntryDate) = 20231030\r\n[24] 273 (MDEntryTime) = 10:18:33.507, [25] 336 (TradingSessionID) = 1[Day]\r\n[26] 269 (MDEntryType) = 1[Offer], [27] 278 (MDEntryID) = 2972\r\n[28] 270 (MDEntryPx) = -3590.35, [29] 271 (MDEntrySize) = 0\r\n[30] 272 (MDEntryDate) = 20231030, [31] 273 (MDEntryTime) = 10:18:33.507\r\n[32] 336 (TradingSessionID) = 1[Day], [33] 269 (MDEntryType) = H[MidPrice]\r\n[34] 278 (MDEntryID) = 2973, [35] 270 (MDEntryPx) = -3623.7\r\n[36] 272 (MDEntryDate) = 20231030, [37] 273 (MDEntryTime) = 10:18:33.507\r\n[38] 336 (TradingSessionID) = 1[Day], [39] 10 (CheckSum) = 052",
    "msg_type": "W",
    "iterations": 80000,
    "elapsed_ms": 590,
    "fields": 40,
    "content_length": 453,
    "micros_per_msg": 7.375,
    "chars_per_second": 61423729,
    "fields_per_second": 5423729
}

Quickfix XML Trim

produce a version of quickfix from src file only including the specified messages and supporting fields. Will also decorate fields with tag ids for easier readability. All components, fields and groups included to support just those messages.

node dist/jsfix-cmd  --dict=qf44 --trim --type="0,1,2,3,4,5,AE"
    <message name='Reject' msgcat='admin' msgtype='3'>
       <!-- 45 SEQNUM -->
      <field name='RefSeqNum' required='Y'/>
       <!-- 371 INT -->
      <field name='RefTagID' required='N'/>
       <!-- 372 STRING -->
      <field name='RefMsgType' required='N'/>
       <!-- 373 INT -->
      <field name='SessionRejectReason' required='N'/>
       <!-- 58 STRING -->
      <field name='Text' required='N'/>
       <!-- 354 LENGTH -->
      <field name='EncodedTextLen' required='N'/>
       <!-- 355 DATA -->
      <field name='EncodedText' required='N'/>
    </message>

note programatically

async function getTrimDefinitions (types: string[]): Promise<FixDefinitions> {
  const builder = new QuickFixXmlFileBuilder(definitions)
  builder.write(types)
  const d = builder.elasticBuffer.toString()
  const parser = new QuickFixXmlFileParser(() => new StringDuplex(d), () => new EmptyLogger())
  return await parser.parse()
}

est('check builder', async () => {
  const msgTypes = ['0', '1', '2', '3', '4', '5', 'AE']
  const newdDefinitions = await getTrimDefinitions(msgTypes)
  expect(newdDefinitions).toBeTruthy()
  msgTypes.forEach(mt => {
    const m = newdDefinitions.message.get(mt)
    expect(m).toBeTruthy()
  })
})

Contributors

douglasmuraoka
Assets 2
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