I am attempting to configure quickfix python to be compatible with CME's market segment gateway (MSGW), this would entail deriving a unique session based on TargetSubID. From the quickfix python documentation it appears uniqueness of a session is based on BeginString, SenderCompID, TargetCompID. I would like to configure quickfix such that TargetSubID is used in constructing a unique session. From the quickfix python documentation, it is not readily apparent how I can get this configuration. I have found that other quickfix implementation (albeit with different code bases) have this feature (Apache Camel). Any suggestions or solutions as to coaxing quickfix python into constructing a unique session with another parameter would be greatly appreciated. Continue reading...
