It's important to include as many details as possible so that we can help you more effectively. For example, which logger implementation are you using? Which version of QFJ? That said, I don't know of any of the bundled logger implementations that would log out of order. The messages are logged as soon as they are sent or received.

Sorry for not providing the full info
The manifest file in quickfixj-core.jar is showing

Manifest-Version: 1.0
Ant-Version: Apache Ant 1.7.0
Created-By: 10.0-b19 (Sun Microsystems Inc.)
Main-Class: org.quickfixj.Version
Implementation-Title: QuickFIX/J Core
Implementation-Version: $

And I am using default logging that comes with quickfix. Below is my
config file Ii used (Note I did not use TimeZone, but want to use
US/Eastern soon)

[DEFAULT]
StartTime=00:00:00
EndTime=23:59:59
FileIncludeMilliseconds=Y
FileIncludeTimeStampForMessages=Y
FileLogPath=db
FileStorePath=db
MillisecondsInTimeStamp=Y
UseDataDictionary=N
SocketTcpNoDelay=Y

#ScreenLogEvents=N
#ScreenLogShowIncoming=N
#ScreenLogShowOutgoing=N
#ScreenLogShowHeartBeats=N
PersistMessages=N

[SESSION]
ConnectionType=initiator
BeginString=FIX.4.0
SenderCompID=R005
TargetCompID=S005
SocketConnectPort=10000
SocketConnectHost=xxx
HeartBtInt=30.

Here is the snapshot of the message that got logged unordered. Where the
flow that actually happened was received IOI, sent Order and received
EXE/REJ.

IOI:
20090127-15:05:22.388: Received:
8=FIX.4.0^A9=0110^A35=6^A34=352^A49=S005^A56=R005^A52=20090127-15:05:
22^A38=500^A55=QQQQ^A54=1^A23=XLAX:5:1224149972996979^A27=0^A44=29.31^A1
0=253^A

EXE/REJ:
20090127-15:05:22.415: Received:
8=FIX.4.0^A9=0211^A35=8^A34=353^A49=S005^A56=R005^A52=20090127-15:05:
22^A32=0^A38=500^A39=0^A6=0.0^A37=XLAX:5:1224149972996979^A40=2^A11=XLAX
:5:1224149972996979^A44=29.31
^{A14=500^A17=1224149972996980^A55=QQQQ^A20=0^A54=2^A59=3^A150=0^A31=0.0}
A151=500^A10=017^A
20090127-15:05:22.415: Received:
8=FIX.4.0^A9=0217^A35=8^A34=354^A49=S005^A56=R005^A52=20090127-15:05:
22^A32=250^A38=500^A39=1^A6=29.31^A37=XLAX:5:1224149972996979^A40=2^A11=
XLAX:5:1224149972996979^A44=29
.31^A14=250^A17=1224149972996981^A55=QQQQ^A20=0^A54=2^A59=3^A150=1^A31=2
9.31^A151=250^A10=100^A
20090127-15:05:22.416: Received:
8=FIX.4.0^A9=0209^A35=8^A34=355^A49=S005^A56=R005^A52=20090127-15:05:
22^A32=0^A38=500^A39=4^A6=0.0^A37=XLAX:5:1224149972996979^A40=2^A11=XLAX
:5:1224149972996979^A44=29.31
^A14=0^A17=1224149972996982^A55=QQQQ^A20=0^A54=2^A59=3^A150=4^A31=0.0^A1
51=500^A10=191^A

ORDER:
20090127-15:05:22.426: Sending:
8=FIX.4.0^A9=166^A35=D^A34=314^A43=N^A49=R005^A52=20090127-15:05:22^A5
6=S005^A97=N^A11=XLAX:5:1224149972996979^A21=1^A23=XLAX:5:12241499729969
79^A38=500^A40=2^A44=29.31^A54
=2^A55=QQQQ^A58=TAKEN^A59=3^A10=128^A

Thanks
=Sangeetha