topic Re: reading FIX tags in SAS Programming

reading FIX tags

ralph_muro — Wed, 07 Aug 2013 13:38:13 GMT

I am trying to read a number of FIX TAGS but can not guarentee the order that the tags will be placed in a file and between different files.. Is there a way to use the @ pointer in a way where the tag of interest is not always in the same order reletive to the other tags? Should I consider a different method to get the data I need? Maybe substring?

data ccgINmsgs;
infile &ccgorderspath &ccgrecord &readlength;
input timein 19.
@'35=' inmsgtype :$1.
@'49=' sendercompid :$30.
@'52=' fixtimein :$21.
@'11=' clordid :$50.
@'55=' symbol :$7.;

humantimein = input(substr(fixtimein,10,8), time8.);
humanDATEin = input(substr(fixtimein,1,8), ANYDTDTE8.);
complete_timein = dhms(humanDATEin,0,0,humantimein);
format complete_timein datetime16.;
format humanDATEin DATE8.;
*ns_timein = input(substr(timein,10,9), 9.);
RUN;

sample data: this string breaks because tag 52 comes before 49. this is out of the expected order.
13739260586369179258=FIX.4.3 9=0156 35=D 52=20130715-22:07:38 34=48 49=XXXX-CCG-1 56=FXALL 1=XXXX_XXXX 54=1 11=69432400003 38=1000000 55=GBP/USD 44=1.5101900 40=2 60=20130715-22:07:38 64=SPOT 10=060

Re: reading FIX tags

data_null__ — Wed, 07 Aug 2013 14:58:30 GMT

Can you start the search from column 1 each time.

filename FT15F001 temp; 
data ccgINmsgs;
infile FT15F001;
input timein 19. 
@1 @'35=' inmsgtype :$1.
@1 @'49=' sendercompid :$30.
@1 @'52=' fixtimein :$21.
@1 @'11=' clordid :$50. 
@1 @'55=' symbol :$7.; 

humantimein = input(substr(fixtimein,10,8), time8.);
humanDATEin = input(substr(fixtimein,1,8), ANYDTDTE8.); 
complete_timein = dhms(humanDATEin,0,0,humantimein);
format complete_timein datetime16.; 
format humanDATEin DATE8.; 
*ns_timein = input(substr(timein,10,9), 9.); 
parmcards; 
13739260586369179258=FIX.4.3 9=0156 35=D 52=20130715-22:07:38 34=48 49=XXXX-CCG-1 56=FXALL 1=XXXX_XXXX 54=1 11=69432400003 38=1000000 55=GBP/USD 44=1.5101900 40=2 60=20130715-22:07:38 64=SPOT 10=060 
;;;;

Re: reading FIX tags

ralph_muro — Wed, 07 Aug 2013 15:09:54 GMT

That did it... its the little things that get me.