[Quickfix-users] Using NewOrderMultileg to send a two legged Order
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From: Fix U. <fi...@ym...> - 2010-06-29 13:13:41
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Dear Fix Users,"IB"));"abcdef"));"AB"));"MULTILEG");newOrder.set(FIX::TimeInForce(FIX::TimeInForce_DAY)); newOrder.set(FIX::SecurityExchange("GLOBEX")); newOrder.setField(204, "0"); //CustomOrFirm, required for options newOrder.setField(55, "ES"); //Symbol newOrder.setField(440, newOrder.setField(555, "2"); //No Legs //Values for Leg 1, Field and Value pairs for the Option Contract ---------------------------------------------------------------------------------- 600=>"ES" //Leg Symbol; 608=> "OCF" //LegCFICode 610=>"201007" //LegMaturity 612=>"1000" //LegStrikePrice 624=>"1" //LegSide Values for Leg 2, Field and Value pairs for the Future Contract -------------------------------------------------------------------------------- 600=>"ES" //Symbol 608=> "F" //LegCFICode 610=>"201009" //Leg Maturity 624=>"2" //LegSide Can someone pls show me how I can pass these leg1 and leg2 values into my NewOrderMultileg message ? I am using latest (C++) QuickFix. Thank you very much. Jim "AB12345"); //Account First, I tried to send this message to the list yesterday but I think it did not go thru. If you see multiple posts, I appologize. I'm a new QuickFix user. I'm trying to create a FIX43::NewOrderMultileg message to create a contract with two legs. Both legs are contracts on Emini (symbol "ES"). One leg is a future contract, and the second leg is an option on the future contract. My values are as follows: Common Values: ---------------------- FIX43::NewOrderMultileg newOrder; newOrder.getHeader().setField(FIX::TargetCompID( newOrder.getHeader().setField(FIX::SenderCompID( newOrder.getHeader().setField(FIX::MsgType( newOrder.setField(167, |