QuickFIX C++：发送MarketDataRequest后服务器无响应求助

架构老林

2026-8-18

FIX协议与QuickFIX问题排查：发送MarketDataRequest无响应

我是FIX协议与QuickFIX的新手，成功运行QuickFIX官方仓库的tradingclient示例后，自行构建了Initiator类。连接状态正常（能看到指定间隔的心跳包），配置文件与官方示例一致且能正常获取行情，但发送MarketDataRequest后服务器无任何响应，也未抛出异常。以下是我的代码及运行输出：

FIXTrader.h

#pragma once

#include <quickfix/Session.h>
#include <quickfix/MessageCracker.h>
#include <quickfix/Values.h>
#include <quickfix/Mutex.h>

#include <quickfix/fix43/MarketDataRequest.h>

#include <queue>

namespace FIX
{
    class FIXTrader: public Application, MessageCracker
    {
    public:
        virtual ~FIXTrader() {};
        void run();

    private:

        void onCreate(const SessionID&);
        void onLogon(const SessionID&);
        void onLogout(const SessionID&);
        void toAdmin(Message&, const SessionID&);
        void toApp(Message&, const SessionID&)
            throw(DoNotSend);
        void fromAdmin(const Message&, const SessionID&)
            throw(FieldNotFound, IncorrectDataFormat, IncorrectTagValue, RejectLogon);
        void fromApp(const Message&, const SessionID&)
            throw(FieldNotFound, IncorrectDataFormat, IncorrectTagValue, UnsupportedMessageType);

        void onMessage(const FIX43::ExecutionReport&, const FIX::SessionID&);
        void onMessage(const FIX43::OrderCancelReject&, const FIX::SessionID&);
        void onMessage(const FIX43::MarketDataRequest&, const FIX::SessionID&);
        void onMessage(const FIX43::MarketDataRequestReject&, const FIX::SessionID&);

        FIX43::MarketDataRequest queryMarketDataRequest43();

        void queryHeader(FIX::Header& header);
    };
}

#pragma comment(lib, "ws2_32.lib")

FIXTrader.cpp相关代码

void FIX::FIXTrader::onMessage
(const FIX43::ExecutionReport&, const FIX::SessionID&) {}
void FIX::FIXTrader::onMessage
(const FIX43::OrderCancelReject&, const FIX::SessionID&) {}
void FIX::FIXTrader::onMessage
(const FIX43::MarketDataRequest&, const FIX::SessionID&)
{
    std::cout << "request success" << std::endl;
}
void FIX::FIXTrader::onMessage
(const FIX43::MarketDataRequestReject&, const FIX::SessionID&)
{
    std::cout << "request rejected" << std::endl;
}


FIX43::MarketDataRequest FIX::FIXTrader::queryMarketDataRequest43()
{
    FIX::MDReqID mdReqID("MARKETDATAID");
    FIX::SubscriptionRequestType subType(FIX::SubscriptionRequestType_SNAPSHOT_PLUS_UPDATES);
    FIX::MarketDepth marketDepth(0);

    FIX43::MarketDataRequest::NoMDEntryTypes marketDataEntryGroup;
    FIX::MDEntryType mdEntryType(FIX::MDEntryType_BID);
    marketDataEntryGroup.set(mdEntryType);

    FIX43::MarketDataRequest::NoRelatedSym symbolGroup;
    FIX::Symbol symbol("EURUSD.x");
    symbolGroup.set(symbol);

    FIX43::MarketDataRequest message(mdReqID, subType, marketDepth);
    message.addGroup(marketDataEntryGroup);
    message.addGroup(symbolGroup);

    queryHeader(message.getHeader());

    std::cout << message.toXML() << std::endl;
    std::cout << message.toString() << std::endl;

    return message;
}

void FIX::FIXTrader::run()
{
    try
    {
        FIX::Message md = queryMarketDataRequest43();
        std::cout << "Sending marketrequest" << std::endl;
        std::cout << "sendToTarget() => " << FIX::Session::sendToTarget(md) << std::endl;
        std::cout << "Sent marketrequest" << std::endl;
        while (_getwch() != 126);
    }
    catch (std::exception& e)
    {
        std::cout << "Message Not Sent: " << e.what();
    }
}

main函数

#include "FixTrader.h"
#include <quickfix/FileStore.h>
#include <quickfix/FileLog.h>
#include <quickfix/SocketInitiator.h>
#include <quickfix/SessionSettings.h>
#include <quickfix/config.h>

// #include "quickfix/Application.h"

int main(int argc, char** argv)
{
    try
    {
        if (argc < 2) return 1;
        std::string fileName = argv[1];

        FIX::SessionSettings settings(fileName);

        FIX::FIXTrader trader_app;
        FIX::FileStoreFactory storeFactory(settings);
        FIX::FileLogFactory logFactory(settings);
        FIX::SocketInitiator initiator
        (trader_app, storeFactory, settings, logFactory /*optional*/);
        initiator.start();
        trader_app.run();
        initiator.stop();
        return 0;
    }
    catch (FIX::ConfigError& e)
    {
        std::cout << e.what();
        return 1;
    }
}

运行输出

C:\fix_trader\Release>fix_trader.exe configfile.txt
<message>
<header>
<field number="8"><![CDATA[FIX.4.3]]></field>
<field number="35"><![CDATA[V]]></field>
<field number="49"><![CDATA[***]]></field>
<field number="56"><![CDATA[****]]></field>
</header>
<body>
<field number="146"><![CDATA[1]]></field>
<field number="262"><![CDATA[MARKETDATAID]]></field>
<field number="263"><![CDATA[1]]></field>
<field number="264"><![CDATA[0]]></field>
<field number="267"><![CDATA[1]]></field>
<group>
<field number="55"><![CDATA[EURUSD.x]]></field>
</group>
<group>
<field number="269"><![CDATA[0]]></field>
</group>
</body>
<trailer>
</trailer>
</message>
8=FIX.4.3 9=79 35=V 49=*** 56=**** 146=1 55=EURUSD.x 262=MARKETDATAID 263=1 264=0 267=1 269=0 10=223 
Sending marketrequest
OUT: 8=FIX.4.3 9=109 35=V 34=5 49=*** 52=20220924-07:35:58.000 56=**** 146=1 55=EURUSD.x 262=MARKETDATAID 263=1 264=0 267=1 269=0 10=184 
sendToTarget() => 1
Sent marketrequest
fromAdmin: 8=FIX.4.3 9=62 35=A 34=1 49=**** 52=20220924-07:35:58.404 56=*** 98=0 108=30 10=234 
Logon successful! Session ID: FIX.4.3:***->****
fromAdmin: 8=FIX.4.3 9=50 35=0 34=2 49=**** 52=20220924-07:36:28.662 56=*** 10=194 
fromAdmin: 8=FIX.4.3 9=50 35=0 34=3 49=**** 52=20220924-07:36:58.682 56=*** 10=200 
fromAdmin: 8=FIX.4.3 9=50 35=5 34=4 49=**** 52=20220924-07:37:06.188 56=*** 10=201 
Logged out from session: FIX.4.3:***->****

问题排查与解决方案

消息组顺序不符合FIX规范
从输出的消息结构可以看到，NoRelatedSym（含55字段的组）出现在NoMDEntryTypes（含269字段的组）之前，但FIX 4.3规范要求MarketDataRequest的组顺序是先NoMDEntryTypes，再NoRelatedSym。
建议移除手动设置Header的queryHeader函数——QuickFIX会自动填充SenderCompID、TargetCompID等必要Header字段，手动修改容易打乱消息内部结构。

未实现MessageCracker的消息分发逻辑
你的FIXTrader继承了MessageCracker，但fromApp方法未调用crack方法，导致服务器返回的行情消息无法路由到对应的onMessage处理函数。补充实现：

void FIX::FIXTrader::fromApp(const Message& message, const SessionID& sessionID)
    throw(FieldNotFound, IncorrectDataFormat, IncorrectTagValue, UnsupportedMessageType)
{
    crack(message, sessionID);
}

同时需要添加行情响应消息的处理函数，否则即使收到响应也无法感知：

void FIX::FIXTrader::onMessage(const FIX43::MarketDataSnapshotFullRefresh&, const FIX::SessionID&)
{
    std::cout << "Received market data snapshot" << std::endl;
}

void FIX::FIXTrader::onMessage(const FIX43::MarketDataIncrementalRefresh&, const FIX::SessionID&)
{
    std::cout << "Received market data incremental update" << std::endl;
}

发送消息时机过早
当前代码在Initiator启动后立刻发送请求，此时会话可能未完全建立。建议将请求发送逻辑移到onLogon方法中，确保登录成功后再发送：

void FIX::FIXTrader::onLogon(const SessionID& sessionID)
{
    std::cout << "Logon successful! Session ID: " << sessionID << std::endl;
    try
    {
        FIX43::MarketDataRequest md = queryMarketDataRequest43();
        FIX::Session::sendToTarget(md, sessionID);
        std::cout << "Sent marketrequest after logon" << std::endl;
    }
    catch (std::exception& e)
    {
        std::cout << "Message Not Sent: " << e.what();
    }
}

对应的run函数只保留等待逻辑：

void FIX::FIXTrader::run()
{
    while (_getwch() != 126);
}

MDReqID唯一性检查
部分服务器会拒绝重复的MDReqID请求，建议使用带时间戳的唯一ID，比如：
```
FIX::MDReqID mdReqID("MARKETDATAID_" + std::to_string(time(nullptr)));
```

内容的提问来源于stack exchange，提问作者Karthik Sivasubramaniam

QuickFIX C++：发送MarketDataRequest后服务器无响应求助

FIXTrader.h #

FIXTrader.cpp相关代码 #

main函数 #

运行输出 #

问题排查与解决方案 #

FIXTrader.h

FIXTrader.cpp相关代码

main函数

运行输出

问题排查与解决方案