To disable field encoding and enable transfer decoding in FAST

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Chetan Singh Bisht

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May 18, 2017, 6:05:48 AM5/18/17

to objectcomputing_financial

I am currently working in a project where the requirement is as follows:

All messages sent by the server are transfer encoded in terms of the FAST protocol. While

all application messages sent by the server (e.g. Market Data Incremental Refresh, Security

Definition, etc.) are field encoded, the administrative messages it sends (e.g. Logon,

Heartbeat, etc.) are not. All messages (i.e. both administrative and application) initiated by

the client should be transfer encoded but not field encoded.

Can someone please help in how to achieve the above requirement?

Dale Wilson

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May 18, 2017, 5:30:39 PM5/18/17

to quickfa...@googlegroups.com

I'm not quite sure what that requirement means.

FAST is an encoding/decoding technique for messages. Messages are encoded/decoded by encoding the fields that make up the message. I'm not sure how you can encode a message without encoding the fields that make up the message.

Can you clarify the requirement?

Dale

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Chetan Singh Bisht

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May 19, 2017, 2:27:40 AM5/19/17

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Thanks Dale, for the reply.

You are absolutely correct Dale , I got confused with the requirement.

Actually the thing is the other party(customer) wants us to put operators in the template xml like copy,tail etc, which I was not aware about.

Now currently I am working on copy operator. What I understand from all the document and other material available on net is that Quickfast maintains a dictionary which is used by multiples entries within a UDP message to check the previous value.

eg: Lets say in the below given template we can have multiple MDEntries depending upon NoMDEntries tag value. Lets say we have 2 as the value .

What I did was , I put the value of MDEntryType (with copy oprerator ) as 1 (some random value) in the first entry, but for the second entry I did not put any value.

After I decode the message the value of MDEntryType should be 1 for both the entries.

Is my understanding correct ?

<template dictionary="1" id="1" name="MDIncRefreshSample_1">
    <string id="35" name="MessageType">
        <constant value="X"></constant>
    </string>     <string id="49" name="SenderCompID">
        <constant value="Client"></constant>
    </string>     <string id="56" name="TargetCompID">
        <constant value="Server"></constant>
    </string>     <uint32 id="34" name="MsgSeqNum"></uint32>
    <uint64 id="52" name="SendingTime"></uint64>
    <sequence name="MDEntries">
        <length id="268" name="NoMDEntries"></length>
        <uint32 id="279" name="MDUpdateAction">
            <copy value="1"></copy>
        </uint32>
        <string id="269" name="MDEntryType">
            <copy value="0"></copy>
        </string>
        <uint32 id="278" name="MDEntryID"></uint32>
        <uint32 id="48" name="SecurityID">
            <delta></delta>
        </uint32>
        <decimal id="270" name="MDEntryPx">
            <exponent>
                <default value="-2"></default>
            </exponent>
            <mantissa>
                <delta></delta>
            </mantissa>
        </decimal>
        <int32 id="271" name="MDEntrySize">
            <delta></delta>
        </int32>
        <string id="37" name="OrderID"></string>
        <uint32 id="273" name="MDEntryTime">
            <copy></copy>
        </uint32>
    </sequence>
</template>

Now when I try to implement the above in my code, I am not able to copy the value in the second entry.

Here is the snippet of the code I used (help taken from testRoundTrip.cpp)

Template Created :

</sequence>

</template>

</templates>

Message creation plus encoding and decoding: (I have poulated the value in streamtype field only once)

Messages::MessagePtr msg(new Messages::Message(templateRegistry->maxFieldCount()));

msg->addField(identity_timestamp, Messages::FieldUInt32::create(1));

msg->addField(identity_srcId, Messages::FieldUInt32::create(2));

msg->addField(identity_seqNum, Messages::FieldUInt32::create(3));

msg->addField(identity_isix, Messages::FieldUInt32::create(4));

msg->addField(identity_isin, Messages::FieldAscii::create("isin"));

msg->addField(identity_exchId, Messages::FieldAscii::create("exchId"));

msg->addField(identity_instGrp, Messages::FieldAscii::create("instGrp"));

msg->addField(identity_instTypCod, Messages::FieldAscii::create("instTypCod"));

msg->addField(identity_currCode, Messages::FieldAscii::create("currCode"));

msg->addField(identity_ticSiz, Messages::FieldDecimal::create(Decimal(123, -1)));

msg->addField(identity_setId, Messages::FieldUInt32::create(5));

lengthIdentity.setId("1141");

Messages::SequencePtr sequence_MDFeedTypes(new Messages::Sequence(lengthIdentity, 2));

Messages::FieldSetPtr entry(new Messages::FieldSet(6)); // todo Hardcoded 6?

entry->addField(identity_streamType, Messages::FieldAscii::create("streamType")); // Populated the value 1st time

entry->addField(identity_streamService, Messages::FieldAscii::create("streamService"));

entry->addField(identity_inetAddr, Messages::FieldAscii::create("inetAddr.com"));

entry->addField(identity_port, Messages::FieldUInt32::create(2222));

entry->addField(identity_mktDepth, Messages::FieldUInt32::create(10));

sequence_MDFeedTypes->addEntry(Messages::FieldSetCPtr(entry));

entry.reset(new Messages::FieldSet(6));

entry->addField(identity_streamType, Messages::FieldAscii::create("")); // Did not Populate the value 2nd time

entry->addField(identity_streamService, Messages::FieldAscii::create(""));

entry->addField(identity_inetAddr, Messages::FieldAscii::create("inetAddr.org"));

entry->addField(identity_port, Messages::FieldUInt32::create(2224));

entry->addField(identity_mdBookType, Messages::FieldUInt32::create(3));

sequence_MDFeedTypes->addEntry(Messages::FieldSetCPtr(entry));

msg->addField(identity_MDFeedTypes, Messages::FieldSequence::create(sequence_MDFeedTypes));

Codecs::Encoder encoder(templateRegistry);

Codecs::DataDestination destination;

template_id_t templId = 3; // from the XML above

encoder.encodeMessage(destination, templId, *msg);

std::string fastString;

destination.toString(fastString);

std::cout<<"fastString is "<<fastString<<std::endl;

destination.clear();

Codecs::Decoder decoder(templateRegistry);

Codecs::DataSourceString source(fastString);

Codecs::SingleMessageConsumer consumer;

Codecs::GenericMessageBuilder builder(consumer);

decoder.decodeMessage(source, builder);

Messages::Message & msgOut(consumer.message());

Messages::MessageFormatter formatter(std::cout);

formatter.formatMessage(msgOut); // I have made some printing changes to print the ouptut per tag

validateMessage1(msgOut);

encoder.reset();

encoder.encodeMessage(destination, templId, msgOut);

std::string reencoded;

destination.toString(reencoded);

destination.clear();

I am able to encode and successfully decode the message, but the value is not getting copied in the second entry (streamType tag).

Here is my decoded ouput:

1st entry:

streamType[1022]=streamType

streamService[]=streamService

inetAddr[]=inetAddr.com

port[TBD]=

2nd entry:

streamType[1022]= //value not copied

streamService[]=

inetAddr[]=inetAddr.org

port[TBD]=

Could you please let us know, if we are making a mistake somewhere. I am very new to this :)

I have following queries too :

1/ Do we need to explicitly need to enable/disable dictionary in quickfast ? (In FIX we could do that with flag, DataDictionary = Y/N).

Also in the template created above , I found this line:

Is it neccesary to give dictionary name while using operators and how are they related?

2/ Do we also need to explicitly mention that PMAP bits are required?

Codecs::PresenceMap pmap(1); // I came across this function, so I got this doubt whether we need to explicitly mention about pmap.

On Friday, 19 May 2017 03:00:39 UTC+5:30, Dale Wilson wrote:

I'm not quite sure what that requirement means.

FAST is an encoding/decoding technique for messages. Messages are encoded/decoded by encoding the fields that make up the message. I'm not sure how you can encode a message without encoding the fields that make up the message.

Can you clarify the requirement?

Dale

On Thu, May 18, 2017 at 5:05 AM, Chetan Singh Bisht <chetan...@gmail.com> wrote:

I am currently working in a project where the requirement is as follows:

All messages sent by the server are transfer encoded in terms of the FAST protocol. While
all application messages sent by the server (e.g. Market Data Incremental Refresh, Security
Definition, etc.) are field encoded, the administrative messages it sends (e.g. Logon,
Heartbeat, etc.) are not. All messages (i.e. both administrative and application) initiated by
the client should be transfer encoded but not field encoded.

Can someone please help in how to achieve the above requirement?

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