Ah, custom messages. Fun stuff.
- You need to add your counterparty's customizations to the DataDictionary xml file. Choose the appropriate FIXnn.xml file for your FIX version.
- Then, because you are adding custom messages, you'll want to regenerate the QF/n source and rebuild the library so you can get classes for your new messages.
- Instructions for rebuilding are here: https://github.com/connamara/quickfixn
- You'll need to install Ruby. This annoys some people, but we haven't found any more-windows-oriented code-generator that we don't hate. Sorry in advance.
- (If you were just adding fields to existing messages, you could probably get away with not rebuilding. But you're adding messages, so you pretty much have to regenerate/rebuild.)
To Windows developers, it may seem annoying that rebuilding the library is required, but it really is the norm for all the QF engines. FIX is just too fudgey a protocol for a single build to satisfy everyone, because it seems that every counterparty likes to screw with the message definitions.