I think this is more a question for the mailing list: https://lists.sourceforge.net/lists/listinfo/quickfixj-users

But basically, you just need to open different sessions. Each session can have a data dictionary of its own. http://www.quickfixj.org/quickfixj/usermanual/1.5.3/usage/configuration.html#Sample%20Settings%20File

Thank you, but you mean something like:
[session]
BeginString=FIX.4.4
SocketConnectPort=10201
DataDictionary=..\config\FIX44.xml

But what about quickfixj classes definition into .jar file?, how do them behave when y create new instance.

But the problem is here :

FOR BROKER "X"
<?xml version="1.0" encoding="utf-8"?>
<fix major="4" type="FIX" servicepack="0" minor="4">
<header>
<field name="BeginString" required="Y" />
<field name="BodyLength" required="Y" />
...
<field name="OnBehalfOfCompID" required="N" />
<field name="DeliverToCompID" required="N" />

//Create Instance
quickfix.fix44.MarketDataRequest mdRequest =
new quickfix.fix44.MarketDataRequest(.... /Not required OnBehalfOfCompID and DeliverToCompID/);

FOR BROKER "Z"
<?xml version="1.0" encoding="utf-8"?>
<fix major="4" type="FIX" servicepack="0" minor="4">
<header>
<field name="BeginString" required="Y" />
<field name="BodyLength" required="Y" />
...
<field name="OnBehalfOfCompID" required="Y" />
<field name="DeliverToCompID" required="Y" />

//Create Instance
quickfix.fix44.MarketDataRequest mdRequest =
new quickfix.fix44.MarketDataRequest(.... /Required OnBehalfOfCompID and DeliverToCompID/);

If you want to validate the message against a specific data dictionary then you should call dataDictionary.validate(Message)