I am currently working on our FIX client to change the StreamingQuoteDuration on our quote requests to 2 minutes in order to work around a max stream limit imposed by our counterparty. I have encountered an issue with the Quote Cancel message that is received after 2 minutes. QuickFIX/n, the FIX library that our client uses, rejects the message stating that it is missing a required field - NoQuoteEntries (tag 295).
Our counterparty claims this is not a required field in their Rules Of Engagement document but I am unable to prevent QuickFIX from rejecting the message. Does anybody know how I can achieve this? I've asked the counterparty to include that tag but they are not able or willing to do so.
We are using the FIX 4.2 protocol. Here are the FIX logs from our quote messages log:
8=FIX.4.2|9=118|35=Z|34=31|49=[Redacted]|56=[Redacted]|52=20210510-10:43:16.428|117=*|298=1|131=EUR-GBP-EUR-1-20210512|10=065
8=FIX.4.2|9=129|35=3|34=1549=[Redacted]|52=20210510-10:43:16.792|56=[Redacted]45=31|58=Required tag missing|371=295|372=Z|373=1|10=063
You need to customize your FIX42.xml file (the DataDictionary) to match your counterparty's published Rules of Engagement.