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python-3.xquickfixfix-protocol

FIX 4.4 FieldNotFound: Field not found

I receive the following message from counterparty:

8=FIX.4.4|9=219|35=W|34=4|49=id|52=20200618-14:34:20.738|56=id1|42=20200618-14:34:20.688|55=EUR/USD|262=1|268=2|269=0|270=1.12083|271=500000|269=1|270=1.12084|271=500000|10094=2020.06.18 14:34:20.688|10=141|

The message contains the field 268 = 2, and both groups begin with the field 269, and I am trying to extract fields 270. My code looks like this:

message= quickfix.Message('8=FIX.4.4\x019=219\x0135=W\x0134=4\x0149=id\x0152=20200618-14:34:20.738\x0156=id1\x0142=20200618-14:34:20.688\x0155=EURUSD\x01262=1\x01268=2\x01269=0\x01269=1\x01270=1.12083\x01270=1.12084\x01271=500000\x01271=500000\x0110094=2020.06.18 14:34:20.688\x0110=141\x01')

group = quickfix44.MarketDataSnapshotFullRefresh.NoMDEntries()

fix_no_entries = quickfix.NoMDEntries()
message.getField(fix_no_entries)
no_entries = fix_no_entries.getValue() # print = 2 as expected

message.getGroup(1, group)

However, when running the getGroup line, I get the error:

FieldNotFound: Field not found

Any idea on what is going wrong?

Thank you again guys!

Solution

  • Quickfix doesn't know about your message structure, so you need to provide some info about how to parse the message, otherwise it's just a bunch of fields without groups.

    <message>
  <header>
    <field number="8"><![CDATA[FIX.4.4]]></field>
    <field number="9"><![CDATA[183]]></field>
    <field number="35"><![CDATA[W]]></field>
    <field number="34"><![CDATA[4]]></field>
    <field number="49"><![CDATA[id]]></field>
    <field number="52"><![CDATA[20200618-14:34:20.738]]></field>
    <field number="56"><![CDATA[id1]]></field>
  </header>
  <body>
    <field number="42"><![CDATA[20200618-14:34:20.688]]></field>
    <field number="55"><![CDATA[EURUSD]]></field>
    <field number="262"><![CDATA[1]]></field>
    <field number="268"><![CDATA[2]]></field>
    <field number="269"><![CDATA[0]]></field>
    <field number="269"><![CDATA[1]]></field>
    <field number="270"><![CDATA[1.12083]]></field>
    <field number="270"><![CDATA[1.12084]]></field>
    <field number="271"><![CDATA[500000]]></field>
    <field number="271"><![CDATA[500000]]></field>
    <field number="10094"><![CDATA[2020.06.18 14:34:20.688]]></field>
  </body>
  <trailer>
    <field number="10"><![CDATA[182]]></field>
  </trailer>
</message>

    Quickfix data dictionaries are the way to configure the message parser. Quickfix already comes along with some pre-configured dictionaries, you can customize it according with your needs.

    data_dictionary = quickfix.DataDictionary("quickfix/FIX44.xml")
message= quickfix.Message('...', data_dictionary, True)
print(message.toXML())

    Now the message is structured and it's possible to retrieve groups data:

    <message>
  <header>
    <field number="8"><![CDATA[FIX.4.4]]></field>
    <field number="9"><![CDATA[183]]></field>
    <field number="35"><![CDATA[W]]></field>
    <field number="34"><![CDATA[4]]></field>
    <field number="49"><![CDATA[id]]></field>
    <field number="52"><![CDATA[20200618-14:34:20.738]]></field>
    <field number="56"><![CDATA[id1]]></field>
  </header>
  <body>
    <field number="42"><![CDATA[20200618-14:34:20.688]]></field>
    <field number="55"><![CDATA[EURUSD]]></field>
    <field number="262"><![CDATA[1]]></field>
    <field number="268"><![CDATA[2]]></field>
    <field number="10094"><![CDATA[2020.06.18 14:34:20.688]]></field>
    <group>
      <field number="269"><![CDATA[0]]></field>
    </group>
    <group>
      <field number="269"><![CDATA[1]]></field>
      <field number="270"><![CDATA[1.12083]]></field>
    </group>
    <group>
      <field number="270"><![CDATA[1.12084]]></field>
      <field number="271"><![CDATA[500000]]></field>
    </group>
    <group>
      <field number="271"><![CDATA[500000]]></field>
    </group>
  </body>
  <trailer>
    <field number="10"><![CDATA[182]]></field>
  </trailer>
</message>