DailyFX Forum - Price Engine Client SDK Support

adaptor class

bernesbyj — Mon, 26 Oct 2009 00:02:06 GMT

is there any examples of adaptor class for price engine client, I am I newbie to c++ network programming. is this the way to use class no mention of it in listener.cpp? I am confused!

Getting wrong bidHigh price?

Youholder — Wed, 21 Oct 2009 05:18:02 GMT

We recently met a strange phenomenon in receiving bidHigh price with PEC SDK.

By comparing the application provided by FXCM, we use TICKALL for subscribe type rather than ALL to receive bidHgh price.

The subscribing code is:

Code:

mdr.setFXCMTimingInterval(FXCMTimingIntervalFactory.TICK);

    mdr.setSubscriptionRequestType(SubscriptionRequestTypeFactory.SUBSCRIBE);

    mdr.setMDEntryTypeSet(MarketDataRequest.MDENTRYTYPESET_TICKALL);

But what we observed with bigHigh is very strange.
Take 2009-10-20(TPE) as example, the bidHigh of USD/CHF we received is:

00:00:08(TPE) receive 16:00:06(GMT) bidHigh=1.022799
... (no bidHigh update)
05:00:00(TPE) receive 21:00:00(GMT) bidHigh=1.011080
... (bidHgh update normally)
06:21:44(TPE) receive 22:21:44(GMT) bidHigh=1.012459
06:21:46(TPE) receive 22:21:45(GMT) bidHigh=1.012049
06:21:53(TPE) receive 22:21:52(GMT) bidHigh=1.012459
06:21:53(TPE) receive 22:21:52(GMT) bidHigh=1.012089
... (no more bidHigh update received)

restart our program at 11:51(TPE)
11:51:14(TPE) receive 3:51:05(GMT) bidHigh=1.012459

From the above observation, we found:

1. the bidHigh price is not keeping updated, although Bid and Ask are continuously updated at the mean time.
2. the udpated bigHigh could be even smaller than last bidHigh! (this is weird)

This is really troubling us in developing a reliable FXCM forex quoting app.
Can anyone have any suggestion on this issue?
It will be very appreciated.

Youholder

credentials and terminal for production access

yuvalaviel — Mon, 19 Oct 2009 20:03:13 GMT

Hi,

I have credentials for the trading API with 'terminal=real'.
The application I wrote needs also an access to the price engine.
Do I need other credentials? What 'terminal' should I use?

Thanks in advance,
Yuval.

PEC loadStationDescriptor always returns false

creoman — Fri, 25 Sep 2009 17:53:47 GMT

Hi!
I created simple console solution in VS2008 and copied these lines of code from your example (which btw works):

Code:

if (!ConnectionManagerEx::init(true)){

                return 0;

        }



        ConnectionManagerEx::setDebug(true);

        ConnectionManagerEx::setNoReconnectAttempts(10);

        ConnectionManagerEx::setNoReloginAttempts(10);

        ConnectionManagerEx::setAsync(false);

        ConnectionManagerEx::setSecurePreferable(false);



        IUserSession* _session = ConnectionManagerEx::createUserSession("http://www.fxcorporate.com/Hosts.jsp", "develop", "PriceServer", "test1", "password1", NULL);



        bool result = _session->loadStationDescriptor();

result is always FALSE.

Please help!!!

Below is debug trace:

Quote:

HostReader::setHttpTimeout. 180000
UniversalUserSession::loadStationDescriptor.....
HostReader::read from Host develop
HostReader::getHttpContent. Start
HostReader::getHttpContent. InternetConnect. Host=www.fxcorporate.com
HostReader::getHttpContent. InternetConnect. Port=80. Done
HostReader::getHttpContent. Use method POST
HostReader::getHttpContent. HttpOpenRequest. URL=/Hosts.jsp?ID=376546500&PN=develop&SN=
HostReader::getHttpContent. Set HTTP timeout = 180000
HostReader::getHttpContent. HttpSendRequest
HostReader::getHttpContent. InternetQueryDataAvailable Start.
HostReader::getHttpContent. InternetQueryDataAvailable End. Number of available bytes 1252
HostReader::getHttpContent. InternetReadFile Start. Number of bytes to read1252
HostReader::getHttpContent. InternetReadFile End. Number of bytes received 1252
HostReader::getHttpContent. InternetQueryDataAvailable Start.
HostReader::getHttpContent. InternetQueryDataAvailable End. Number of available bytes 0
HostReader::getHttpContent. Response received
HostReader::getHttpContent. HttpQueryInfo Status Code=200
HostReader::getHttpContent. Finish. Return 1252 bytes
HostReader::read from Host. Done UniversalUserSession::loadStationDescriptor done.....
UniversalUserSession::loadStationDescriptor something wrong up there

Subscribe mode with FXCMTimingInterval?

joachimm — Fri, 21 Aug 2009 16:42:41 GMT

Is there a way to subscribe for hourly updates?

I used

Quote:

marketDataRequest.setSubscriptionRequestType(Subsc riptionRequestTypeFactory.SUBSCRIBE);
marketDataRequest.setFXCMTimingInterval(FXCMTiming IntervalFactory.HOUR1);

and I still get tick updates.

I'd like to subscribe to updates using a timing interval rather than request updates manually when the interval ends.

Thanks --Joachim

Getting Historical Data Appears to be all Jackedup...

Kaboo — Mon, 17 Aug 2009 17:37:09 GMT

Please correct me if I am wrong (and I sure hope I am) but it appears that when the trade sever is ask for historical data the server returns the last 300 bars (closest to the ending date). Thus, if the server was ask for daily bars starting from 1/1/2000 and ending on 1/1/2008; the server will return 300 daily bars, (starting sometime around 10/1/2007) and ending on 1/1/2008 (or is it only up to 12/31/2007?)

Anyway, if this example is true, then it seems to me that the way the server returns historical data is ASS BACKWARDS and a pain in the backside to work with!!!

It would appear to me that if I asked for information starting from 1/1/2000 and ending on 1/1/2008 that I would get (if not all the data) at least N items starting at the beginning (in this case; 1/1/2000)! Thus I would expect to get something like this:

1/1/2000 to (1/1/2000 + 300 items, thus somewhere around 3/1/2001) then I could ask the server for the next data chunk with a start date of 3/2/2001 and keep my end date of 1/1/2008 the same. By following this method it makes it easy to save the data to memory or to disk.

After reading the blogs and seeing the amount of time the Fxcm support team must waste on this one issue, I suspect that I�m not the only one who thinks the �Get Historical Data� function is all jacked up (it is probably a bug that can't be fixed due to backwards compatibility). However, regardless of why the function is the way it is today; can we get a new (extended) version of this function that will return data chunks starting from the starting date? � Please!!

DateTime Time Resolution...

Kaboo — Mon, 17 Aug 2009 03:32:30 GMT

For tick data, what is the time resolution of the time stamp? Do we get, for example: 5:23:45.3692 pm or just 5:23:45 pm?

Thanks,

Discrepancies

ticker — Mon, 27 Jul 2009 19:59:26 GMT

We have a primary site and a backup site connecting into FXCM for data.
For each symbol we then track the number of updates and we can see that there is a difference between the primary site instance and our backup site instance. We put a sequence number on our messages so we know we are not dropping data on our side. From what we can tell it looks like that within the Java API when we make a request for data we noticed the port it connects to at FXCM changes - indicating it reconnected to FXCM.
Is this normal and expected behavior? Why would it reconnect and can we prevent it. We think while it is reconnecting we are losing data and that is why the counts are off. Any help would be greatly appreciated.

Data Discrepancies

ticker — Thu, 16 Jul 2009 15:03:47 GMT

Hello, we use the Java Price Engine Client API to receive the FXCM real-time price updates and have noticed our Java client applications, one instance running at our primary site and one running at are secondary site are not receiving the exact same number of update messages. I can see with netstat the client application is reconnecting with the price server every few minutes. Is the behavior expected or could this be causing me to lose real time updates?

Here is the output from netstat
Fri Jul 10 13:43:29 CDT 2009
tkr@ticker-commodity3-live:~> netstat -t | grep nyfiobridge
tcp 0 0 ticker-commodity3:39723 nyfiobridge.fx:www-http CLOSE_WAIT
tcp 0 0 ticker-commodity3:39724 nyfiobridge.fx:www-http CLOSE_WAIT
tcp 0 0 ticker-commodity3:39725 nyfiobridge.fx:www-http CLOSE_WAIT
tcp 0 0 ticker-commodity3:55062 nyfiobridge.fx:www-http CLOSE_WAIT
tcp 0 0 ticker-commodity3:55063 nyfiobridge.fx:www-http CLOSE_WAIT
tcp 0 0 ticker-commodity3:55061 nyfiobridge.fx:www-http CLOSE_WAIT
tcp 0 0 ticker-commodity3:55058 nyfiobridge.fx:www-http CLOSE_WAIT
tcp 0 0 ticker-commodity3:55059 nyfiobridge.fx:www-http CLOSE_WAIT
tcp 0 0 ticker-commodity3:55064 nyfiobridge.fx:www-http TIME_WAIT
tcp 0 0 ticker-commodity3:55065 nyfiobridge.fx:www-http ESTABLISHED
tkr@ticker-commodity3-live:~> date
Fri Jul 10 13:44:18 CDT 2009
tkr@ticker-commodity3-live:~> netstat -t | grep nyfiobridge
tcp 0 0 ticker-commodity3:39724 nyfiobridge.fx:www-http CLOSE_WAIT
tcp 0 0 ticker-commodity3:39725 nyfiobridge.fx:www-http CLOSE_WAIT
tcp 0 0 ticker-commodity3:55062 nyfiobridge.fx:www-http CLOSE_WAIT
tcp 0 0 ticker-commodity3:55063 nyfiobridge.fx:www-http CLOSE_WAIT
tcp 0 0 ticker-commodity3:55061 nyfiobridge.fx:www-http CLOSE_WAIT
tcp 0 0 ticker-commodity3:55058 nyfiobridge.fx:www-http CLOSE_WAIT
tcp 0 0 ticker-commodity3:55059 nyfiobridge.fx:www-http CLOSE_WAIT
tcp 0 0 ticker-commodity3:55066 nyfiobridge.fx:www-http CLOSE_WAIT
tcp 0 0 ticker-commodity3:55067 nyfiobridge.fx:www-http ESTABLISHED
tcp 0 0 ticker-commodity3:55065 nyfiobridge.fx:www-http CLOSE_WAIT
tkr@ticker-commodity3-live:~> date
Fri Jul 10 13:44:44 CDT 2009
tkr@ticker-commodity3-live:~> netstat -t | grep nyfiobridge
tcp 0 0 ticker-commodity3:39725 nyfiobridge.fx:www-http CLOSE_WAIT
tcp 0 0 ticker-commodity3:55062 nyfiobridge.fx:www-http CLOSE_WAIT
tcp 0 0 ticker-commodity3:55063 nyfiobridge.fx:www-http CLOSE_WAIT
tcp 0 0 ticker-commodity3:55061 nyfiobridge.fx:www-http CLOSE_WAIT
tcp 0 0 ticker-commodity3:55058 nyfiobridge.fx:www-http CLOSE_WAIT
tcp 0 0 ticker-commodity3:55059 nyfiobridge.fx:www-http CLOSE_WAIT
tcp 0 0 ticker-commodity3:55068 nyfiobridge.fx:www-http ESTABLISHED
tcp 0 0 ticker-commodity3:55066 nyfiobridge.fx:www-http CLOSE_WAIT
tcp 0 0 ticker-commodity3:55067 nyfiobridge.fx:www-http CLOSE_WAIT
tcp 0 0 ticker-commodity3:55065 nyfiobridge.fx:www-http CLOSE_WAIT

Proxying PEC MarketDataRequests

meyeraj — Thu, 11 Jun 2009 19:42:07 GMT

I have a question regarding the relationship between an IUserSession, TradingSessionStatus and MarketDataRequests.

I am writing a server that accepts multiple client connections and proxies client MarketDataRequest's through a single IUserSession.

The workflow so far is: Client connects, create IUserMessageListener, call IUserSession.setMessageListener(newListenerClient) , create TradingSessionStatusRequest, session.send(tssr), on IUserMessageListener.update register new TradingSessionStatus and create new MarketDataRequest (can this same clientTSS be used for future MDR's from that client?), session.send, wait for IUserMessageListener.update, write message to client connection.

I am confused about if I should be issuing multiple TradingSessionStatusRequests, one for each client, expecting to get back separate TradingSessionStatus's which would then be used to issue individual MarketDataRequest's?

It seems like each call to setMessageListener should result eventually result in a new TradingSessionStatus returned to the listener? Or do I have to send out a TSSR after setMessageListener so that listener will receive an update callback?

Any help is much appreciated. Thanks.

Targetting x64

ManyLeaves — Mon, 08 Jun 2009 16:02:38 GMT

Are x64 builds available for fix.lib and fxmsg.lib? Are x64 builds available for fxmsg.dll, pdas.dll and zlib.dll? Is it possible to target x64 either directly or indirectly?

Historical Data Transimission- End notification C++ API

Quantic — Sat, 02 May 2009 15:02:56 GMT

Having requested a period of historical data, what flags does one look for when the server notifies the client that (A) all data has been delivered or (B) Max amount of records have been sent ie 300.
Where are the ISession::(flag) definitions defined, there meaning and number of.

Discrepancy between PEC and Marketscope prices

yuvalaviel — Tue, 28 Apr 2009 12:42:21 GMT

Hi,

I noticed that the prices given by PEC and those given by Marketscope 2.0 differ.
The difference ranges between +1.4 pip and -1.2 pip.
This is true for all time intervals.
Most often however, the difference is exactly 0.9 pip.

I am looking at the Ask price.
Below is the query code.

Why is that and how can it be resolved?
Thanks,
Yuval.

PHP Code:


		
			
  private void askForCandles(int aNumPeriods) {

        //prepare MarketDataRequest

        try {

            MarketDataRequest mdr = new MarketDataRequest();

            mdr.setFXCMTimingInterval(FXCM_INTERVAL);

            mdr.setMDEntryTypeSet(MarketDataRequest.MDENTRYTYPESET_ASKEXTRA);

            mdr.setSubscriptionRequestType(SubscriptionRequestTypeFactory.SNAPSHOT);



            mdr.setTradingSessionID(cUserSession.getTradingSession().getID());

            mdr.setTradingSessionSubID(cUserSession.getTradingSession().getSubID());

            mdr.setFXCMNoSnapshot(aNumPeriods+1);

            mdr.setMDReqID(cUserSession.getNextRequestID());



            String[] ccys = cCcyPair.split(";");

            for (int i = 0; i < ccys.length; i++) {

                logger.trace("CCY[" + i + "]=" + ccys[i]);

                Instrument instr = cTss.getSecurity(ccys[i]);

                if (instr != null) {

                    mdr.addRelatedSymbol(instr);

                }



                IMessage msg = mdr.toMessage(null, ConnectionManagerEx.getMessageFactory());

                String status = cUserSession.send(msg);

            }



        } catch (Exception e) {

            e.printStackTrace();

        }

}

Unstable Connection

fxfoley — Fri, 10 Apr 2009 14:58:19 GMT

My subscription to market data seems to lose connection often. Can you tell if I'm doing something wrong from the following message.

StatusListener. About to reset subscription
StatusListener. need to restore subscription
FXCM Timing Inverval: 2
ID: FXCM
USB ID: PriceServer
History Count: 1
NextRequestId:1238809385007PriceServer40587-3
MDR Message: MarketDataRequest{mMDReqID='1238809385007PriceServ er40587-2', mSubscriptionRequestType=SubscriptionRequestType:S ubscribe (1), mMDEntryTypeSet=3, mNoRelatedSym=[TradingSecurity --- begin superclass toString Instrument{mFXCMSymPrecision=3, mFXCMSymID=10, mSymbol='EUR/JPY', mTouchTime=0, mFXCMSymPointSize=0.0010, mFXCMSymSortOrder=10} --- end superclass toString {mCurrency='EUR', mRoundLot=100000.0, mFXCMSymInterestBuy=0.0, mFXCMSymInterestSell=0.0, mFXCMSymMarginRatio=0.0, mFXCMSubscriptionStatus='null'}], mTradingSessionID='FXCM', mTradingSessionSubID='PriceServer', mFXCMTimingInterval=FXCMTimingInterval:5 Min (2), mFXCMStartDate=null, mFXCMStartTime=null, mFXCMEndDate=null, mFXCMEndTime=null, mFXCMNoSnapshot=1, mResponseFormat='null', mMakingTime=1239352016760}
java.lang.NullPointerException
at com.fxcm.fix.pretrade.MarketDataRequest.toMessage( MarketDataRequest.java:579)
at com.fxcm.fix.pretrade.MarketDataRequest.toMessage( MarketDataRequest.java:545)
at .FxcmPriceSession.createSubscriptionRequestMessage (FxcmPriceSession.java:333)
at
.FxcmPriceSession$2.update(FxcmPriceSession.java:2 73)
at com.fxcm.messaging.util.UniversalUserSession.sendS tatusUpdate(UniversalUserSession.java:963)
at com.fxcm.messaging.util.UniversalUserSession$Relog ger.run(UniversalUserSession.java:1128)
at java.lang.Thread.run(Unknown Source)
client: inc status msg = Connecting to the Server...

Thanks,

PEC just returns between UTC 21:00 Sunday and 20:00 Friday?

imported_Simeon — Thu, 09 Apr 2009 06:31:47 GMT

well, the trading time is from 5:15 PM ET Sunday afternoon through 4:00 PM ET Friday afternoon.
But using pec java sdk, i just got price data from UTC 21:00 Sunday to 20:00 Friday.
why was that ?
Thanks for your help ~