Documentation for QuickFIX/C++ (with Python and Ruby)

Getting Started

Configuration

A quickfix acceptor or initiator can maintain multiple FIX sessions. A FIX session is defined in QuickFIX as a unique combination of a BeginString (the FIX version number), a SenderCompID (your ID), and a TargetCompID (the ID of your counterparty). A SessionQualifier can also be use to disambiguate otherwise identical sessions.

The SessionSettings class has the ability to pull settings out of any C++ stream such as a file stream. You can also pass it a filename. If you decide to write your own components (storage for a particular database, a new kind of connector etc...), you can also use this pass in settings.

A settings file is set up with two types of headings, a [DEFAULT] and a [SESSION] heading. [SESSION] tells QuickFIX that a new Session is being defined. [DEFAULT] is a where you can define settings that all sessions use by default. If you do not provide a setting that QuickFIX needs, it will throw a ConfigError telling you what setting is missing or improperly formatted.

Sample Settings File

# default settings for sessions
[DEFAULT]
ConnectionType=initiator
ReconnectInterval=60
SenderCompID=TW

# session definition
[SESSION]
# inherit ConnectionType, ReconnectInterval and SenderCompID from default
BeginString=FIX.4.1
TargetCompID=ARCA
StartTime=12:30:00
EndTime=23:30:00
HeartBtInt=20
SocketConnectPort=9823
SocketConnectHost=123.123.123.123
DataDictionary=somewhere/FIX41.xml

[SESSION]
BeginString=FIX.4.0
TargetCompID=ISLD
StartTime=12:00:00
EndTime=23:00:00
HeartBtInt=30
SocketConnectPort=8323
SocketConnectHost=23.23.23.23
DataDictionary=somewhere/FIX40.xml

[SESSION]
BeginString=FIX.4.2
TargetCompID=INCA
StartTime=12:30:00
EndTime=21:30:00
# overide default setting for RecconnectInterval
ReconnectInterval=30
HeartBtInt=30
SocketConnectPort=6523
SocketConnectHost=3.3.3.3
# (optional) alternate connection ports and hosts to cycle through on failover
SocketConnectPort1=8392
SocketConnectHost1=8.8.8.8
SocketConnectPort2=2932
SocketConnectHost2=12.12.12.12
DataDictionary=somewhere/FIX42.xml

QuickFIX Settings

ID Description Valid Values Default
Session
BeginString Version of FIX this session should use
FIXT.1.1
FIX.4.4
FIX.4.3
FIX.4.2
FIX.4.1
FIX.4.0
SenderCompID Your ID as associated with this FIX session case-sensitive alpha-numeric string
TargetCompID Counter parties ID as associated with this FIX session case-sensitive alpha-numeric string
SessionQualifier Additional qualifier to disambiguate otherwise identical sessions case-sensitive alpha-numeric string
DefaultApplVerID

Required only for FIXT 1.1 (and newer). Ignored for earlier transport versions. Specifies the default application version ID for the session. This can either be the ApplVerID enum (see the ApplVerID field) or the BeginString for the default version.

FIX.5.0SP2
FIX.5.0SP1
FIX.5.0
FIX.4.4
FIX.4.3
FIX.4.2
FIX.4.1
FIX.4.0
9
8
7
6
5
4
3
2
ConnectionType Defines if session will act as an acceptor or an initiator
initiator
acceptor
StartTime Time of day that this FIX session becomes activated Time in the format of HH:MM:SS, represented in UTC
EndTime Time of day that this FIX session becomes deactivated Time in the format of HH:MM:SS, represented in UTC
StartDay For week long sessions, the starting day of week for the session. Use in combination with StartTime. Day of week in English using any abbreviation (i.e. mo, mon, mond, monda, monday are all valid)
EndDay For week long sessions, the ending day of week for the session. Use in combination with EndTime. Day of week in English using any abbreviation (i.e. mo, mon, mond, monda, monday are all valid)
LogonTime Time of day that this session logs on Time in the format of HH:MM:SS, represented in UTC SessionTime value
LogoutTime Time of day that this session logs out Time in the format of HH:MM:SS, represented in UTC EndTime value
LogonDay For week long sessions, the day of week the session logs on. Use in combination with LogonTime. Day of week in English using any abbreviation (i.e. mo, mon, mond, monda, monday are all valid) StartDay value
LogoutDay For week long sessions, the day of week the session logs out. Use in combination with LogoutTime. Day of week in English using any abbreviation (i.e. mo, mon, mond, monda, monday are all valid) EndDay value
UseLocalTime

Indicates StartTime and EndTime are expressed in localtime instead of UTC. Times in messages will still be set to UTC as this is required by the FIX specifications.

Y
N
 N
MillisecondsInTimeStamp Determines if milliseconds should be added to timestamps. Only available for FIX.4.2 and greater.
Y
N
 Y
TimestampPrecision Used to set the fractional part of timestamp. Allowable values are 0 to 9. If set, overrrides MillisecondsInTimeStamp. 0-9
SendRedundantResendRequests

If set to Y, QuickFIX will send all necessary resend requests, even if they appear redundant. Some systems will not certify the engine unless it does this.

When set to N, QuickFIX will attempt to minimize resend requests. This is particularly useful on high volume systems.

Y
N
 N
ResetOnLogon Determines if sequence numbers should be reset when recieving a logon request. Acceptors only.
Y
N
 N
ResetOnLogout Determines if sequence numbers should be reset to 1 after a normal logout termination.
Y
N
 N
ResetOnDisconnect Determines if sequence numbers should be reset to 1 after an abnormal termination.
Y
N
 N
RefreshOnLogon

Determines if session state should be restored from persistence layer when logging on. Useful for creating hot failover sessions.

Y
N
 N
Validation
UseDataDictionary

Tell session whether or not to expect a data dictionary.

You should always use a DataDictionary if you are using repeating groups.

Y
N
 Y
DataDictionary

XML definition file for validating incoming FIX messages. If no DataDictionary is supplied, only basic message validation will be done.

This setting should only be used with FIX transport versions older than FIXT.1.1. See TransportDataDictionary and AppDataDictionary for FIXT.1.1 settings.

Path of a valid XML data dictionary file.

QuickFIX comes with the following defaults in the spec directory:

  • FIX44.xml
  • FIX43.xml
  • FIX42.xml
  • FIX41.xml
  • FIX40.xml
TransportDataDictionary

XML definition file for validating admin (transport) messages. This setting is only valid for FIXT.1.1 (or newer) sessions.

For older transport versions (FIX.4.0 - FIX.4.4), see DataDictionary.

Path of a valid XML data dictionary file.

QuickFIX comes with the following defaults in the spec directory:

  • FIXT1.1.xml
  • (that's the only one)
AppDataDictionary

XML definition file for validating application messages. This setting is only valid for FIXT.1.1 (or newer) sessions.

For older transport versions (FIX.4.0 - FIX.4.4), see DataDictionary.

This setting can be used as a prefix to specify multiple application dictionaries for the FIXT transport. For example: 

DefaultApplVerID=FIX.4.2
# For default application version ID
AppDataDictionary=FIX42.xml
# For nondefault application version ID
# Use BeginString suffix for app version
AppDataDictionary.FIX.4.4=FIX44.xml

Path of a valid XML data dictionary file.

QuickFIX comes with the following defaults in the spec directory:

  • FIX50SP2.xml
  • FIX50SP1.xml
  • FIX50.xml
  • FIX44.xml
  • FIX43.xml
  • FIX42.xml
  • FIX41.xml
  • FIX40.xml
ValidateLengthAndChecksum

If set to N, messages with incorrect length or checksum fields will not be rejected.

You can also use this to force acceptance of repeating groups without a data dictionary. In this scenario you will not be able to access all repeating groups.

Y
N
 Y
ValidateFieldsOutOfOrder

If set to N, fields that are out of order (i.e. body fields in the header, or header fields in the body) will not be rejected.

Useful for connecting to systems which do not properly order fields.
Y
N
 Y
ValidateFieldsHaveValues

If set to N, fields without values (empty) will not be rejected.

Useful for connecting to systems which improperly send empty tags.
Y
N
 Y
ValidateUserDefinedFields

If set to N, user defined fields will not be rejected if they are not defined in the data dictionary, or are present in messages they do not belong to.

Y
N
 Y
PreserveMessageFieldsOrder

Should the order of fields in the main outgoing message body be preserved or not (as defined in the configuration file).

If "N", then order is preserved only within groups (per mandated FIX behavior).
Y
N
 N
CheckCompID

If set to Y, messages must be received from the counterparty with the correct SenderCompID and TargetCompID.

Some systems will send you different CompIDs by design, so you must set this to N.
Y
N
 Y
CheckLatency

If set to Y, messages must be received from the counterparty within a defined number of seconds (see MaxLatency).

It is useful to turn this off if a system uses localtime for its timestamps instead of GMT.
Y
N
 Y
MaxLatency

If CheckLatency is set to Y, this defines the number of seconds latency allowed for a message to be processed.

 positive integer 120
Miscellaneous
HttpAcceptPort

Port to listen to HTTP requests. Pointing a browser to this port will bring up a control panel. Must be in DEFAULT section.

positive integer
Initiator
ReconnectInterval Time between reconnection attempts in seconds. Only used for initiators positive integer 30
HeartBtInt Heartbeat interval in seconds. Only used for initiators. positive integer
LogonTimeout Number of seconds to wait for a logon response before disconnecting. positive integer 10
LogoutTimeout Number of seconds to wait for a logout response before disconnecting. positive integer 2
SocketConnectPort Socket port for connecting to a session. Only used with a SocketInitiator positive integer
SocketConnectHost Host to connect to. Only used with a SocketInitiator valid IP address in the format of x.x.x.x or a domain name
SocketConnectPort<n>

Alternate socket ports for connecting to a session for failover, where n is a positive integer.

e.g. SocketConnectPort1, SocketConnectPort2... must be consecutive and have a matching SocketConnectHost[n]

 positive integer
SocketConnectHost<n>

Alternate socket hosts for connecting to a session for failover, where n is a positive integer.

(i.e.) SocketConnectHost1, SocketConnectHost2... must be consecutive and have a matching SocketConnectPort[n]

 valid IP address in the format of x.x.x.x or a domain name
SocketNodelay Indicates a socket should be created with TCP_NODELAY. Currently, this must be defined in the [DEFAULT] section.
Y
N
 N
SocketSendBufferSize Indicates the size of SO_SNDBUF. Currently, this must be defined in the [DEFAULT] section. positive integer 0
SocketReceiveBufferSize Indicates the size of SO_RCVBUF. Currently, this must be defined in the [DEFAULT] section. positive integer 0
Acceptor
SocketAcceptPort Socket port for listening to incoming connections. Only used with a SocketAcceptor. positive integer, valid open socket port. Currently, this must be defined in the [DEFAULT] section.
SocketReuseAddress Indicates a socket should be created with SO_REUSADDR. Only used with a SocketAcceptor.
Y
N
 Y
SocketNodelay Indicates a socket should be created with TCP_NODELAY. Currently, this must be defined in the [DEFAULT] section.
Y
N
 N
Storage
PersistMessages

If set to N, no messages will be persisted. This will force QuickFIX to always send GapFills instead of resending messages. Use this if you know you never want to resend a message. Useful for market data streams.

Y
N
 N
FILE
FileStorePath Directory to store sequence number and message files. valid directory for storing files, must have write access
MYSQL
MySQLStoreDatabase Name of MySQL database to access for storing messages and session state. valid database for storing files, must have write access and correct DB shema quickfix
MySQLStoreUser User name logging in to MySQL database. valid user with read/write access to appropriate tables in database root
MySQLStorePassword Users password. correct MySQL password for user empty password
MySQLStoreHost Address of MySQL database. valid IP address in the format of x.x.x.x or a domain name localhost
MySQLStorePort Port of MySQL database. positive integer standard MySQL port
MySQLStoreUseConnectionPool

Use database connection pools. When possible, sessions will share a single database connection. Otherwise each session gets its own connection.

Y
N
 N
POSTGRESQL
PostgreSQLStoreDatabase Name of PostgreSQL database to access for storing messages and session state. valid database for storing files, must have write access and correct DB shema quickfix
PostgreSQLStoreUser User name logging in to PostgreSQL database. valid user with read/write access to appropriate tables in database postgres
PostgreSQLStorePassword Users password. correct PostgreSQL password for user empty password
PostgreSQLStoreHost Address of MySQL database. valid IP address in the format of x.x.x.x or a domain name localhost
PostgreSQLStorePort Port of PostgreSQL database. positive integer standard PostgreSQL port
PostgreSQLStoreUseConnectionPool

Use database connection pools. When possible, sessions will share a single database connection. Otherwise each session gets its own connection.

Y
N
 N
ODBC
OdbcStoreUser User name logging in to ODBC database.

Valid user with read/write access to appropriate tables in database. Ignored if UID is in the OdbcStoreConnectionString.

sa
OdbcStorePassword Users password. correct ODBC password for user. Ignored if PWD is in the OdbcStoreConnectionString. empty password
OdbcStoreConnectionString ODBC connection string for database Valid ODBC connection string DATABASE=quickfix;DRIVER={SQL Server};SERVER=(local);
Logging
FILE
FileLogPath Directory to store logs. valid directory for storing files, must have write access
FileLogBackupPath Directory to store backup logs. valid directory for storing backup files, must have write access
SCREEN
ScreenLogShowIncoming Print incoming messages to standard out.
Y
N
 Y
ScreenLogShowOutgoing Print outgoing messages to standard out.
Y
N
 Y
ScreenLogShowEvents Print events to standard out.
Y
N
 Y
MYSQL
MySQLLogDatabase Name of MySQL database to access for logging. valid database for storing files, must have write access and correct DB shema quickfix
MySQLLogUser User name logging in to MySQL database. valid user with read/write access to appropriate tables in database root
MySQLLogPassword User's password. correct MySQL password for user empty password
MySQLLogHost Address of MySQL database. valid IP address in the format of x.x.x.x or a domain name localhost
MySQLLogPort Port of MySQL database. positive integer standard MySQL port
MySQLLogUseConnectionPool

Use database connection pools. When possible, sessions will share a single database connection. Otherwise each session gets its own connection.

Y
N
 N
MySQLLogIncomingTable Name of table where incoming messages will be logged. Valid table with correct schema. messages_log
MySQLLogOutgoingTable Name of table where outgoing messages will be logged. Valid table with correct schema. messages_log
MySQLLogEventTable Name of table where events will be logged. Valid table with correct schema. event_log
POSTGRESQL
PostgreSQLLogDatabase Name of PostgreSQL database to access for logging. valid database for storing files, must have write access and correct DB shema quickfix
PostgreSQLLogUser User name logging in to PostgreSQL database. valid user with read/write access to appropriate tables in database postgres
PostgreSQLLogPassword Users password. correct PostgreSQL password for user empty password
PostgreSQLLogHost Address of PostgreSQL database. valid IP address in the format of x.x.x.x or a domain name localhost
PostgreSQLLogPort Port of PostgreSQL database. positive integer standard PostgreSQL port
PostgreSQLLogUseConnectionPool

Use database connection pools. When possible, sessions will share a single database connection. Otherwise each session gets its own connection.

Y
N
 N
PostgresSQLLogIncomingTable Name of table where incoming messages will be logged. Valid table with correct schema. messages_log
PostgresSQLLogOutgoingTable Name of table where outgoing messages will be logged. Valid table with correct schema. messages_log
PostgresSQLLogEventTable Name of table where events will be logged. Valid table with correct schema. event_log
ODBC
OdbcLogUser User name logging in to ODBC database. valid user with read/write access to appropriate tables in database sa
OdbcLogPassword Users password. correct ODBC password for user. Ignored if UID is in the OdbcLogConnectionString. empty password
OdbcLogConnectionString ODBC connection string for database Valid ODBC connection string. Ignored if PWD is in the OdbcStoreConnectionString. DATABASE=quickfix;DRIVER={SQL Server};SERVER=(local);
OdbcLogIncomingTable Name of table where incoming messages will be logged. Valid table with correct schema. messages_log
OdbcLogOutgoingTable Name of table where outgoing messages will be logged. Valid table with correct schema. messages_log
OdbcLogEventTable Name of table where events will be logged. Valid table with correct schema. event_log
SSL
SSL settings must be defined in the DEFAULT section.
SSLProtocol

This directive can be used to control the SSL protocol flavors the application should use when establishing its environment.

(values are case-insensitive)

SSLv2
Secure Sockets Layer (SSL) protocol, version 2.0. It is the original SSL protocol as designed by Netscape Corporation.

SSLv3
Secure Sockets Layer (SSL) protocol, version 3.0. It is the successor to SSLv2 and the currently (as of February 1999) de-facto standardized SSL protocol from Netscape Corporation. It's supported by almost all popular browsers.

TLSv1
Transport Layer Security (TLS) protocol, version 1.0.

TLSv1_1
Transport Layer Security (TLS) protocol, version 1.1.

TLSv1_2
Transport Layer Security (TLS) protocol, version 1.2.

all
This is a shortcut for
+SSLv2 +SSLv3 +TLSv1 +TLSv1_1 +TLSv1_2 and a convenient way for enabling all protocols except one when used in combination with the minus sign on a protocol, e.g.
all -SSLv2

all -SSLv2
SSLCipherSuite

This complex directive uses a colon-separated cipher-spec string consisting of OpenSSL cipher specifications to configure the Cipher Suite the client is permitted to negotiate in the SSL handshake phase.

Notice that this directive can be used both in per-server and per-directory context.

In per-server context it applies to the standard SSL handshake when a connection is established.

In per-directory context it forces a SSL renegotation with the reconfigured Cipher Suite after the HTTP request was read but before the HTTP response is sent.

An SSL cipher specification in cipher-spec is composed of 4 major attributes plus a few extra minor ones.

Key Exchange Algorithm:
RSA or Diffie-Hellman variants.

Authentication Algorithm:
RSA, Diffie-Hellman, DSS or none.

Cipher/Encryption Algorithm:
DES, Triple-DES, RC4, RC2, IDEA or none.

MAC Digest Algorithm:
MD5, SHA or SHA1.

For more details refer to mod_ssl documentation.

Example:
RC4+RSA:+HIGH:

HIGH:!RC4
CertificationAuthoritiesFile

Sets the all-in-one file where you can assemble the Certificates of Certification Authorities (CA) whose clients you deal with.
CertificationAuthoritiesDirectory

Sets the directory where you keep the Certificates of Certification Authorities (CAs) whose clients you deal with.

Acceptor
ServerCertificateFile

This directive points to the PEM-encoded Certificate file and optionally also to the corresponding RSA or DSA Private Key file for it (contained in the same file).
ServerCertificateKeyFile

The PEM-encoded Private Key file.

If the Private Key is not combined with the Certificate in the server certificate file, use this additional directive to point to the file with the stand-alone Private Key.

CertificateVerifyLevel

The Certificate verification level.

It applies to the authentication process used in the standard SSL handshake when a connection is established.
0 (do not verify)
1 (verify)
CertificateRevocationListFile

The all-in-one file where you can assemble the Certificate Revocation Lists (CRL) of Certification Authorities (CA) whose clients you deal with.
CertificateRevocationListDirectory

The directory where you keep the Certificate Revocation Lists (CRL) of Certification Authorities (CAs) whose clients you deal with.
Initiator
ClientCertificateFile

The PEM-encoded Certificate file and optionally also to the corresponding RSA or DSA Private Key file for it (contained in the same file).
ClientCertificateKeyFile

The PEM-encoded Private Key file.

If the Private Key is not combined with the Certificate in the server certificate file, use this additional directive to point to the file with the stand-alone Private Key.