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问题:

I have a FIX application which is connected to several price providers. It distributes the data it received to our inner applications. When it is sending the received messages from the price providers to the target applications, it modifies the SendingTime(52) field in FIX header which is not acceptable. The inner applications want to get the original SendingTime value. How can I say to the QuickFIXJ engine not to assign a timestamp value?
Thanks

回答1:

What you desire... is kind of wrong. Header fields are to be used by the engine, and for application data (which is what this relayed SendingTime kind of is on the second leg). Your inner FIX connection should not be clobbering the SendingTime field. You might need the actual SendingTime field if you are diagnosing problems with your inner connection!

What you really need is a second SendingTime field. You should edit the DD of your inner FIX applications to add another field for which to store the old SendingTime value. Tell your inner target apps to refer to that field.

NOTE: You probably don't want to use OrigSendingTime (tag 122) for this. That field has a very specific usage already. Name your new field something else.

回答2:

FIX Market Data messages (35=W, 35=X) usually have MDEntryDate (#272) and MDEntryTime (#273) fields to represent the timestamp of the market data price. If it is related to Quote/trade messages, you may have the TransactTime (#60) field.

It worth keep the SendingTime (#52) and MDEntryDate MDEntryTime/TransactTime separated, you can compare the difference between the price's timestamp and the counter party's infra structure timestamp (sending time). It would help to identify delay between the systems.

If the message you are handling does not have any Application DateTime field, you can pick one. which its value would be the SendingTime for the original FIX message you've received.

You can either select and use an existent field (http://www.onixs.biz/fix-dictionary/4.4/fields_by_name.html) or you can create your own user defined field.

Once you decided to create your own field, it is a good practice to check the oficial Global Technical Committee user defined fields list at https://www.fixtrading.org/standards/user-defined-fields/ and using the user defined fields range.

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