QuickFix市场数据消息错误

Question

I am new to fix. I am using quick fix library in my app. Im able to do logon and exchange heart beat. When i send the marketdata request, im getting the response from the server. But my application is sending reject message to fix, when it receives a message. And so im not able to process the message. Below are the incoming and outgoing message.

20160623-11:19:45.898 : 8=FIX.4.49=24235=X34=12049=CfhDemoPrices52=20160623-11:19:46.41456=PrimoDEMOFIX262=PrimoApp123268=2279=1269=0278=30/23-14404955=GBPUSD270=1.48854271=1500000290=164=20160627279=1269=1278=30/23-14405455=GBPUSD270=1.48885271=1000000290=110=004
20160623-11:19:45.924 : 8=FIX.4.49=13735=334=12249=PrimoDEMOFIX52=20160623-11:19:45.92256=CfhDemoPrices45=12058=Tag not defined for this message type371=55372=X373=210=140

and below is how i subscribe for market data:

        QuickFix.FIX44.MarketDataRequest msg = new QuickFix.FIX44.MarketDataRequest();

        // Fill message fields
        msg.SetField(new MDReqID("PrimoApp123"));
        msg.SetField(new SubscriptionRequestType('1'));
        msg.SetField(new MarketDepth(1));
        msg.SetField(new MDUpdateType(1));

        // Add the MDEntryTypes group
        QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup noMDEntryTypes = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
        noMDEntryTypes.SetField(new MDEntryType('0'));
        msg.AddGroup(noMDEntryTypes);

        // Add the NoRelatedSym group
        QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup noRelatedSym = new QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup();
        noRelatedSym.SetField(new Symbol("GBPUSD"));
        msg.AddGroup(noRelatedSym);

        // Send message
        Session.SendToTarget(msg, FeederApp.mysession);

Please help me with this if possible

Answer 1

Did you even look at what your reject message says?

45=120   // RefSeqNum - seq num of message that was rejected
58=Tag not defined for this message type
371=55   // RefTagID - tag 55 is the problem
372=X    // RefMsgType - the rejected message was an X (MarketDataIncrementalRefresh)
373=2    // SessionRejectReason 2=[TagNotDefinedForThisMessageType]

So according to this, the problem is that your DataDictionary is not configured to expect tag 55 (Symbol) inside of message type X.

However, that doesn't appear to be entirely accurate. If you're pasted message is correct, it breaks down like this:

8 =FIX.4.4
9 =242
35 =X
34 =120
49 =CfhDemoPrices
52 =20160623-11:19:46.414
56 =PrimoDEMOFIX
262 =PrimoApp123
268 =2     // 2 MDEntry Sequences
  279 =1   // 1st sequence
  269 =0
  278 =30/23-144049
  55 =GBPUSD     // this looks ok here...
  270 =1.48854
  271 =1500000
  290 =1
  64 =20160627  // what?  this doesn't belong here!

  279 =1   // 2nd sequence
  269 =1
  278 =30/23-144054
  55 =GBPUSD
  270 =1.48885
  271 =1000000
  290 =1

10=004

Therefore, I suspect that either (1) you made an error when you copy/pasted your message, or (2) it's actually field 64 that is your problem.

Next Steps:

1) Read this page to learn how to customize the DataDictionary:
http://quickfixn.org/tutorial/custom-fields-groups-and-messages.html

2) Get documentation from your counterparty and make sure your DataDictionary reflects all the field/message customizations that they have added to their system.