quickfix : how to get Symbol ( flag 55 ) from messages?

Question

I'm running QuickFix with the Python API and connecting to a TT FIX Adapter using FIX4.2

I am logging on and sending a market data request for two instruments. That works fine and data from the instruments comes in as expected. I can get all kinds of information from the messages.

However, I am having trouble getting the Symbol (flag 55) field.

    import quickfix as fix

    def fromApp(self, message, sessionID):

        ID = fix.Symbol()
        message.getField(ID)
        print ID

This works for the very first message [the initial Market Data Snapshot (flag 35 = W)] that comes to me. Once I start getting incremental refreshes (flag 35 = X), I can no longer get the Symbol field. Every message that arrives results in a Field Not Found error.

This is confusing me because in the logs, the Symbol field is always present, whether the message type is W or X.

Thinking the Symbol is in the header of refresh messages, I tried get.Field(ID) when 35 = W and get.Header().getField(ID) when 35 = X, however this did not work.

Can somebody help me figure out what is going on here? I would like to be able to explicitly tell my computer what instruments it is looking at.

Thanks

Answer 1

Your question is pretty simple, but you've mixed in some misconceptions as well.

1) Symbol will never be in the header. It is a body field.

2) In X messages, the symbol is in a repeating group. You first have to get a group object with msg.GetGroup(), then get the symbol from that. See this example code, from the repeating groups doc page.

3) In W messages, the symbol is not in a group. That's why it works for you there.

It seems clear you are pretty new to QuickFIX and FIX in general. I think you should take few minutes and skim through the "Working with Messages" section of the docs.

Also, the FIXimate website can be your best friend.