Quickfix read custom repeating group

Question

I have this sample response that I get from my service provider. They have defined tags which are already defined (I have checked from FIXimate).

8=FIXT.1.19=108135=IB49=NSECM56=MTBM34=1924=1115=21828=61826=Nifty CPSE1815=2294.51816=2310.151817=2286.551818=2276.751819=2294.21820=1967852601488651821=262231822=257851823=0.771824=2799.551825=2139.51827=-1826=Nifty GrowSect 151815=7037.751816=7070.351817=7023.651818=6990.61819=7042.91820=7768216282514231821=782041822=750561823=0.751824=7354.551825=5942.151827= 1826=Nifty50 Value 201815=5444.71816=5465.61817=5417.41818=5413.61819=5425.91820=1.90667550936387E+151821=1348851822=1341791823=0.231824=5563.81825=4171.651827=-1826=Nifty Mid Liq 151815=4133.551816=4206.551817=4133.551818=4107.21819=4205.41820=1573956262705091821=428041822=442911823=2.391824=4677.051825=3770.551827=-1826=Nifty Pvt Bank1815=15385.21816=15415.51817=15339.751818=15248.81819=15377.71820=9015155094048031821=589741822=592681823=0.851824=16152.151825=13298.31827=+1826=NIFTY MIDCAP 1001815=19184.851816=19326.31817=19184.851818=19046.551819=19314.251820=7127426889917151821=1858871822=1884631823=1.411824=21840.851825=17700.91827=-10=174

Problem is I am unable to read the repeating group. I create a custom group as

 noIndexRecords = int(message.getField(1828))
 if noIndexRecords > 0:
    group = fix.Group(1828, 1826, )
    message.getGroup(num=1, group=group)

But this shows me a FieldNotFound error. I have made changes to specifications file FIX50SP2.xml as:

Fields added:

<field number='1815' name="OpenIndex" type="PRICE"/>
<field number='1816' name="HighIndex" type="PRICE"/>
<field number='1817' name="LowIndex" type="PRICE"/>
<field number='1818' name="CloseIndex" type="PRICE"/>
<field number='1819' name="IndexValue" type="PRICE"/>
<field number='1820' name="MarketCapitalization" type="DOUBLE"/>
<field number='1821' name="NoOfDownMoves" type="INT"/>
<field number='1822' name="NoOfUpMoves" type="INT"/>
<field number='1823' name="PercentageChange" type="DECIMAL"/>
<field number='1824' name="YearlyHigh" type="PRICE"/>
<field number='1825' name="YearlyLow" type="PRICE"/>
<field number='1826' name="IndexName" type="STRING"/>
<field number='1827' name="NetChangeIndicator" type="CHAR"/>
<field number='1828' name="NumberOfRecords" type="INT"/>
<field number='8288' name='NoIndexRecords' type='NUMINGROUP'/>

Message Category added:

<message name='IndexBroadcast' msgtype="IB" msgcat="app">
            <field name="NumberOfRecords" required="N"/>
            <component name="NoIndexRecord" required="N"/>

Component defined as:

<component name="NoIndexRecord">
    <group name='NoIndexRecords' required='N'>
        <field name='IndexName' required='Y'/>
        <field name='SecurityID' required='N'/>
        <field name='OpenIndex' required='N'/>
        <field name='HighIndex' required='N'/>
        <field name='LowIndex' required='N'/>
        <field name='CloseIndex' required='N'/>
        <field name='IndexValue' required='N'/>
        <field name='MarketCapitalization' required='N'/>
        <field name='NoOfDownMoves' required='N'/>
        <field name='NoOfUpMoves' required='N'/>
        <field name='PercentageChange' required='N'/>
        <field name='YearlyHigh' required='N'/>
        <field name='YearlyLow' required='N'/>
        <field name='NetChangeIndicator' required='N'/>
    </group>
</component>

I have gone through different discussions and forums and was unable to find the solution. A similar question goes unanswered.

Any help is appreciated. Thanks

Primer

Try arranging the tags in the component, in the data dictionary, in the order of the tags you receive in the FIX message. Secondly I am not sure if you use a component with a recompilation of the underlying quickfix library. – Aryl

Tags are arranged according to format message is received....I didn't got the second part about recompilation – Primer

Answer 1

I have made changes to specifications file FIX50SP2.xml

I assume you are referring to the file spec/FIX50SP2.xml of the QuickFIX C++ Fix Engine Library. For that to work, I think you would need to recompile the quickfix-engine. Unless you are forking the QuickFix engine project, that probably isn't what you want.

Try defining your fields like this:

import quickfix

class MarketCapitalizationField(quickfix.DoubleField):
    number = 1820

    def __init__(self, data=None)
        args = (self.number,) if data is None else (self.number, data)
        super(MarketCapitalizationField, self).__init__(*args)

class IndexNameField(quickfix.StringField):
    number = 1826

    def __init__(self, data=None)
        args = (self.number,) if data is None else (self.number, data)
        super(IndexNameField, self).__init__(*args)

class NumberOfRecordsField(quickfix.IntField):
    number = 1828

    def __init__(self, data=None)
        args = (self.number,) if data is None else (self.number, data)
        super(NumberOfRecordsField, self).__init__(*args)

... and then reading your message like this:

noIndexRecords = int(message.getField(NumberOfRecords.number))
for idx in range(1, noIndexRecords+1):
    message.getGroup(i, group)
    group.getField(MarketCapitalizationField.number)
    group.getField(IndexNameField.number)

Marijn