Configuring QuickFIX/N

An acceptor or initiator can maintain as many FIX sessions as you would like. A FIX session is defined in QuickFix/N as a unique combination of a BeginString (the FIX version number), a SenderCompID (your ID), and a TargetCompID (the ID of your counterparty). A SessionQualifier can also be used to disambiguate otherwise identical sessions.

Each session can have several settings associated with them. Some of these settings may not be known at compile time and are therefore passed via a class called SessionSettings. SessionSettings behaves as a data dictionary that can be set and queried.

The SessionSettings class has the ability to parse settings out of any System.IO.TextReader. You can also simply pass it a filename. If you decide to write your own components (eg, storage for a particular database) you may also use this to store settings.

A settings file is set up with two types of heading; [DEFAULT] and [SESSION]. [SESSION] tells QuickFIX/N that a new Session is being defined. [DEFAULT] is a section to define settings which will be associated with sessions that don't explicitly define them. QuickFIX/N itself will not define default values for all required settings. If you do not provide a setting that QuickFIX/N needs, it will throw a ConfigError telling you what setting is missing or improperly formatted.

Below are the settings that can be associated with a session based on the default functionality provided with QuickFIX/N, followed by an example.

QuickFIX Settings

Session

Setting Description Valid Values Default
BeginString Version of FIX this session uses
FIXT.1.1
FIX.4.4
FIX.4.3
FIX.4.2
FIX.4.1
FIX.4.0
SenderCompID Your ID as associated with this FIX session case-sensitive alpha-numeric string
SenderSubID (Optional) Your subID as associated with this FIX session case-sensitive alpha-numeric string
SenderLocationID (Optional) Your locationID as associated with this FIX session case-sensitive alpha-numeric string
TargetCompID Counterparty's ID as associated with this FIX session case-sensitive alpha-numeric string
TargetSubID (Optional) Counterparty's subID as associated with this FIX session case-sensitive alpha-numeric string
TargetLocationID (Optional) Counterparty's locationID as associated with this FIX session case-sensitive alpha-numeric string
SessionQualifier Additional qualifier to disambiguate otherwise identical sessions case-sensitive alpha-numeric string
DefaultApplVerID Required only for FIXT 1.1 (and newer). Ignored for earlier transport versions. Specifies the default application version ID for the session. This can be the ApplVerID enum (see the ApplVerID field) or the BeginString for the default version.
FIX.5.0SP2
FIX.5.0SP1
FIX.5.0
FIX.4.4
FIX.4.3
FIX.4.2
FIX.4.1
FIX.4.0
-
ConnectionType Defines if session will act as an acceptor or initiator
initiator
acceptor
-
StartTime Time of day that this FIX session becomes activated Time in the format of HH:MM:SS. Uses "TimeZone" if specified, else UTC -
EndTime Time of day that this FIX session becomes deactivated Time in the format of HH:MM:SS. Uses "TimeZone" if specified, else UTC -
StartDay For week long sessions, the starting day of week of the session. Use in combination with StartTime. Day of week in English using any abbreviation (ie mo, mon, mond, monda, monday are valid) -
EndDay For week long sessions, the ending day of week for the session. Use in combination with EndTime. Day of week in English using any abbreviation (ie mo, mon, mond, monda, monday are valid) -
MillisecondsInTimeStamp Determines if milliseconds should be added to timestamps. Only available for FIX.4.2 and greater.
Y
N
Y
ResetOnLogon Determines if sequence numbers should be reset when receiving a logon request. Acceptors only.
Y
N
N
ResetOnLogout Determines if sequence numbers should be reset to 1 after a normal logout termination.
Y
N
N
ResetOnDisconnect Determines if sequence numbers should be reset to 1 after an abnormal termination
Y
N
N
RefreshOnLogon Determines if session state should be restored from persistence layer when logging on. Useful for creating hot failover sessions.
Y
N
N
EnableLastMsgSeqNumProcessed Add the last message sequence number processed in the header (optional tag 369).
Y
N
N
MaxMessagesInResendRequest Sets the maximum number of messages to retransmit in a single resend request. Any integer greater than 0 is valid. Use 0 for infinity (default). 0
SendLogoutBeforeDisconnectFromTimeout Specifies whether a logout message should be sent before a connection is disconnected due to a timeout.
Y
N
N
IgnorePossDupResendRequests Specifies whether to ignore a resend request when PossDupFlag (tag 43) is set to true
Y
N
N
UseLocalTime Specifies whether to use local machine time for session schedule (StartTime and EndTime).
Y
N
N
TimeZone Specifies time zone ID used for session schedule. Cannot be used with UseLocalTime. Supplied ID will be passed to TimeZoneInfo.FindSystemTimeZoneById. (See here for how to get a list of valid IDs on your system.) Any time zone ID supported on target system. -
RequiresOrigSendingTime If N, do not reject SequenceReset/PossDup messages that lack OrigSendingTime
Y
N
Y

Validation

Setting Description Valid Values Default
UseDataDictionary Tells session whether or not to expect a data dictionary. You should always use a DataDictionary if you are using repeating groups.
Y
N
Y
DataDictionary
XML definition file for validating incoming FIX messages. If no DataDictionary is supplied, only basic message validation will be done.

This setting should only be used with FIX transport versions older than FIXT.1.1. See TransportDataDictionary and AppDataDictionary for FIXT.1.1 settings.
Valid XML data dictionary file. QuickFIX/N comes with the following defaults in the spec/fix directory

FIX44.xml
FIX43.xml
FIX42.xml
FIX41.xml
FIX40.xml
-
TransportDataDictionary
XML definition file for validating admin (transport) messages. This setting is only valid for FIXT.1.1 (or newer) sessions.

See DataDictionary for older transport versions (FIX.4.0-FIX.4.4) for additional information.
Valid XML data dictionary file. QuickFIX/N comes with the following defaults in the spec/fix directory

FIXT1.1.xml
-
AppDataDictionary
XML definition file for validating application messages. This setting is only valid for FIXT.1.1 (or newer) sessions.

See DataDictionary for older transport versions (FIX.4.0-FIX.4.4) for additional information.

This setting supports the possibility of a custom application data dictionary for each session. This setting would only be used with FIXT.1.1 and newer transport protocols. This setting can be used as a prefix to specify multiple application dictionaries for the FIXT transport. For example:

DefaultApplVerID=FIX.4.2 # For default application version ID AppDataDictionary=FIX42.xml # For nondefault application version ID # Use BeginString suffix for app version AppDataDictionary.FIX.4.4=FIX44.xml
Valid XML data dictionary file, QuickFIX/N comes with the following defaults in the spec/fix directory

FIX50SP2.xml
FIX50SP1.xml
FIX50.xml
FIX44.xml
FIX43.xml
FIX42.xml
FIX41.xml
FIX40.xml
-
ValidateFieldsOutOfOrder If set to N, fields that are out of order (ie, body fields in the header, or header fields in the body) will not be rejected. Useful for connecting to systems which do not properly order fields.
Y
N
Y
ValidateFieldsHaveValues If set to N, fields without values (empty) will not be rejected. Useful for connecting to systems that improperly send empty tags.
Y
N
Y
ValidateUserDefinedFields If set to N, user defined fields will not be rejected if they are not defined in the data dictionary, or are not present in messages they do not belong to.
Y
N
Y
CheckLatency If Y, messages must be received from the counterparty within a defined number of seconds (see MaxLatency). It is useful to turn this off if a system uses localtime for its timestamps instead of GMT.
Y
N
Y
MaxLatency If CheckLatency=Y, this defines the number of seconds latency allowed for a message to be processed.
positive integer
120

Initiator

Setting Description Valid Values Default
ReconnectInterval Time between reconnection attempts in seconds. Only used for initiators. NOTE: must be defined in DEFAULT section Positive integer 30
HeartBtInt Heartbeat interval in seconds. Only used for initiators. Positive integer -
LogonTimeout Number of seconds to wait for a logon response before disconnecting. Positive integer 10
LogoutTimeout Number of seconds to wait for a logout response before disconnecting. Positive integer 2
SocketConnectPort Socket port for connecting to a session. Only used for initiators. Positive integer -
SocketConnectHost Host to connect to. Only used for initiators. Valid IP address in the format of x.x.x.x or a domain name -
SocketConnectPort<n> Alternate socket ports for connecting to a session for failover, where n is a positive integer. ie, SocketConnectPort1, SocketConnectPort2... must be consecutive and have a matching SocketConnectHost<n> Positive integer -
SocketConnectHost<n> Alternate socket hosts for connecting to a session for failover, where n is a positive integer. ie, SocketConnectHost1, SocketConnectHost2... must be consecutive and have a matching SocketConnectPort<n> Valid IP address in the format of x.x.x.x or a domain name -
SocketNodelay Disable Nagle's algorithm for this connection. Written data to the network is not buffered pending acknowledgement of previously written data. Currently, this must be defined in the [DEFAULT] section.
Y
N
Y

Acceptor

Setting Description Valid Values Default
SocketAcceptPort Socket port for listening to incoming connections. Only used with acceptors. Positive integer, valid open socket port -
SocketAcceptHost Socket host for listening to incoming connections. If not provided, the acceptor will listen on all network interfaces (0.0.0.0) Valid IP address in the format of x.x.x.x 0.0.0.0
SocketNodelay Disable Nagle's algorithm for this connection. Written data to the network is not buffered pending acknowledgement of previously written data. Currently, this must be defined in the [DEFAULT] section.
Y
N
Y

Storage

Setting Description Valid Values Default
PersistMessages If set to N, no messages will be persisted. This will force QuickFIX to always send GapFills instead of resending messages. Use this if you know you never want to resend a message. Useful for market data streams.
Y
N
Y

File Storage

Setting Description Valid Values Default
FileStorePath Directory to store sequence number and message files. Valid directory for storing files, must have write access. -

Logging

Setting Description Valid Values Default
FileLogPath Directory to store logs. Valid directory for storing files, must have write access -
DebugFileLogPath Directory to store ThreadedClientAcceptor thread logs. Valid directory for storing files, must have write access Value of FileLogPath if present, else "log".

SSL

Setting Description Valid Values Default
SSLEnable Determine if SSL should be used.
Y
N
Y if SSLCertificatePath is specified, otherwise N
SSLServerName The expected certificate name of the server (usually same as DNS name). Only used for initiators. string defaults to value of SocketConnectHost
SSLProtocols Specifies the SSLProtocol to use (according to the C# SslProtocols enum). If .NET 4.5 is used there are more valid values. Refer to this MSDN page for a complete list of valid values.
Ssl2
Ssl3
Tls
Default
Any other valid SslProtocols enum value
Default
SSLValidateCertificates If Y, the remote party's certificate will be verified against the certificate specified by the SSLCACertificate setting (or the operating system's list of trusted CAs if that setting is not specified).
NOTE: setting the value to N is a security risk.
Setting the value to N will also set SSLCheckCertificateRevocation to N.
Y
N
Y
SSLCheckCertificateRevocation Determine if certificate revocation list (CRL) should be used to check if SSL certificates have been revoked. Will be overridden to N if SSLValidateCertificates=N.
Y
N
Y
SSLCertificate Specifies which SSL certificate (containing a private key) to use. Required for acceptor, but not for initiator unless client certificates are used. The certificate can be loaded either from a pfx file or from the current user's personal certificate store.
  • Path to a .pfx-file to which read access is granted
  • Distinguished name (ex: CN=CertName) of a certificate in the current user's personal certificate store
  • Subject name (ex: CertName) of a certificate in the current user's personal certificate store
-
SSLCertificatePassword Password for the SSL certificate string -
SSLRequireClientCertificate Determine if acceptor should require client certificates from all acceptors
Y
N
Y
SSLCACertificate Specifies the CA certificate used by acceptor to validate client certificates. If not specified, then all certificates installed on the computer's certificate store (under "Trusted Root Certificates") are used. The certificate can be loaded either from a file or from the current user's personal certificate store.
  • Path to a .cer- or .pfx-file to which read access is granted
  • Distinguished name (ex: CN=CertName) of a certificate in the current user's personal certificate store
  • Subject name (ex: CertName) of a certificate in the current user's personal certificate store
-

Sample Initiator Settings File

Here is a typical initiator settings file you might find in a firm that wants to connect to several ECNs.

# default settings for sessions
[DEFAULT]
FileStorePath=store
FileLogPath=log
ConnectionType=initiator
ReconnectInterval=60
SenderCompID=TW

# session definition
[SESSION]
# inherit FileStorePath, FileLogPath, ConnectionType, 
#    ReconnectInterval and SenderCompID from default
BeginString=FIX.4.1
TargetCompID=ARCA
StartTime=12:30:00
EndTime=23:30:00
HeartBtInt=20
SocketConnectPort=9823
SocketConnectHost=123.123.123.123
DataDictionary=somewhere/FIX41.xml

[SESSION]
BeginString=FIX.4.0
TargetCompID=ISLD
StartTime=12:00:00
EndTime=23:00:00
HeartBtInt=30
SocketConnectPort=8323
SocketConnectHost=23.23.23.23
DataDictionary=somewhere/FIX40.xml

[SESSION]
BeginString=FIX.4.2
TargetCompID=INCA
StartTime=12:30:00
EndTime=21:30:00
# overide default setting for RecconnectInterval
ReconnectInterval=30
HeartBtInt=30
SocketConnectPort=6523
SocketConnectHost=3.3.3.3
# (optional) alternate connection ports 
#  and hosts to cycle through on failover
SocketConnectPort1=8392
SocketConnectHost1=8.8.8.8
SocketConnectPort2=2932
SocketConnectHost2=12.12.12.12
DataDictionary=somewhere/FIX42.xml

Sample Acceptor Settings File

Here is a typical acceptor settings file.

# default settings for sessions
[DEFAULT]
FileStorePath=store
FileLogPath=log
ConnectionType=acceptor
ReconnectInterval=60
SenderCompID=ARCA

# session definition
[SESSION]
# inherit FileStorePath, FileLogPath, ConnectionType, 
#  ReconnectInterval and SenderCompID from default
BeginString=FIX.4.1
TargetCompID=TW
StartTime=12:30:00
EndTime=23:30:00
HeartBtInt=20
SocketAcceptPort=9823
DataDictionary=somewhere/FIX41.xml

[SESSION]
BeginString=FIX.4.0
TargetCompID=TW
StartTime=12:00:00
EndTime=23:00:00
HeartBtInt=30
SocketAcceptPort=8323
DataDictionary=somewhere/FIX40.xml

[SESSION]
BeginString=FIX.4.2
TargetCompID=TW
StartTime=12:30:00
EndTime=21:30:00
# overide default setting for RecconnectInterval
ReconnectInterval=30
HeartBtInt=30
SocketAcceptPort=6523
# (optional) only listen for incoming connections on a specific host
SocketAcceptHost=127.0.0.1
DataDictionary=somewhere/FIX42.xml