How do I reorder tags in MarketDataRequest message?
Question
I'm trying to subscribe to a price stream, using the following code:
Using l_msg As New QuickFix42.MarketDataRequest(New MDReqID(Date.Now.Ticks.ToString), New SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT_PLUS_UPDATES), New MarketDepth(1))
l_msg.setField(New MDUpdateType(1))
l_msg.setField(New AggregatedBook(False))
l_msg.setField(New NoMDEntryTypes(2))
l_msg.setField(New MDEntryType("0"c))
l_msg.setField(New MDEntryType("1"c))
l_msg.setField(New Symbol("EUR/USD"))
l_msg.setField(New NoRelatedSym(1))
Session.sendToTarget(l_msg, SENDER_COMP_ID.Value, TARGET_COMP_ID.Value)
End Using
The produced FIX message is:
8=FIX.4.2 9=140 35=V 34=2 49=SENDER_COMP_ID 52=20110909-15:44:02.855 56=TARGET_COMP_ID 55=EUR/USD 146=1 262=634511906383686907 263=1 264=1 265=1 266=N 267=2 269=1 10=079
I need to reorder the tags so 55 comes right after tag 146.
I tried invoking setField
in different order, but it gives the same result every time.
What is the correct way of handling message tag order?
Edit - problem resolved:
I followed DumbCoder suggestion and build the message by using addGroup
instead of setField
. The following code sample helped me as well:
http://forexforums.dailyfx.com/fix-api-support/411090-fix-api-example.html
Note: The sample is written in Java and targets QF44.
Solution
AFAIK quickfix uses a map to read tags and then populate their values, so the placement of the tags is language decided and not by the library.
Set ValidateFieldsOutOfOrder as N on your acceptor, so even if the tags are out of order your message isn't rejected. This caused a lot of work for me, because whatever I tried the tags were never in orer and I had to relent on putting tags in order. And an acceptor which rejects messages if tags aren't in order isn't a good option. You cannot rely on every fix library to do your bidding.