Re: [Quickfix-users] Using NewOrderMultileg to send a two legged Order
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Re: [Quickfix-users] Using NewOrderMultileg to send a two legged Order
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From: Grant B. <gbi...@co...> - 2010-06-29 21:30:18
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I myself have not worked too much with IB's interface, but I know we've done some IB projects in the past. IB should ideally have a spec that describes their FIX interface, and you should be able to use that as a guide to constructing your XML file. In your case, you should be using FIX4.2, with the FIX42.xml file customized to include that FIX 4.3 message (and any contained fields) that IB has decided to use. You should definitely familiarize yourself with the XML file format and generating the custom code, as nearly every broker has their own novel customizations and thinly-documented ways of messing up your day. -Grant On Tue, Jun 29, 2010 at 3:56 PM, Fix User <fi...@ym...> wrote: > Dear Grant, > > Thank you. You're very kind. I'm really glad you responded to my email for > two reasons, first, obviously I've been struggling with my Multileg Order > and your help allowed me to keep going. Second, I've been looking into > getting some support (having someone to fall back on if needed) once our > system goes live, and I was pleasantly surprised to see your company offers > production support. At some point in the future I would like to talk to you > on this topic. > > Going back to my multileg order, after incorporating the changes you've > mentioned below, I'm now able to compile my app and send an order, however, > my order is getting rejected with "Unsupported Message Type". I'm attaching > a gif with to show the error. > > I'm using Interactive Brokers (IB) as my broker. IB uses FIX42. I was told > by IB that they're using the Multileg Order from FIX43. From that > I interpretted IB may be accepting a FIX43 Multileg Order, > but, after reading your email I'm now thinking IB may have added the > Multileg order into their FIX42 using a procedure similar to what you've > described below. I'm almost tempted to add the Multileg order to FIX42.xml > and rebuild and see what happens but before that I wanted to ask you if you > have any experience working with IB and if so, if my thinking is correct > here. > > I really appreciate any comments/suggestions you might have on this. > > Thanks much. > > Joe > > ________________________________ > From: Grant Birchmeier <gbi...@co...> > To: qui...@li... > Sent: Tue, June 29, 2010 12:42:03 PM > Subject: Re: [Quickfix-users] Using NewOrderMultileg to send a two legged > Order > > QuickFIX Documentation: > http://www.quickfixengine.org/quickfix/doc/html/index.html > QuickFIX Support: http://www.quickfixengine.org/services.html > > I see where you're having trouble. Many of the QF fields and > components are actually from code that is generated from the info > specified in an XML file. For FIX 4.3, the file is spec/FIX43.xml > (this directory also contains the generator script). The generated > items are not described in the online docs, but it looks like they are > in the source release and probably in the binaries. You can find the > source for such classes in src/C++/. > > To your question: You should be able to create a > FIX43::NewOrderMultileg::NoLegs group, which derives from FIX::Group. > The CustomerOrFirm field was removed from FIX 4.3; if your > counterparty is using it anyway, then you'll need to edit the > FIX43.xml file and regenerate/rebuild some source. > > Because most brokers take massive liberties with the FIX specs (such > as adding custom fields and putting existing fields in messages they > don't normally belong in), you usually have to tailor the xml file to > their system and regenerate. I'm disappointed to see that this isn't > really covered in the C++ QF docs. (In QuickFIX/J, the Java version, > this is a standard part of the build process.) There are multiple > spec/generate.* scripts for different OSs; I think all you need to do > is run the script and rebuild the binaries. > > -Grant > > > On Tue, Jun 29, 2010 at 11:33 AM, Fix User <fi...@ym...> wrote: >> Dear Grant, >> >> >> >> Thanks much for your reply, and thanks for your suggestions and pointing >> out the problems with my code. >> >> >> >> I've looked at the documentation, including the ones for repeating >> groups. >> However, since the message type given in the example is different from my >> usage (MarketDataSnapShotFullRefresh vs NewOrderMultileg) I'm still not >> quite clear which data structure is to be used for each leg. >> >> >> >> I've tried using FIX::Group, but I was not clear (even after looking at >> the >> 4.3 spec for repeating groups) to me if that's the correct one to use. >> >> >> >> Listed below is the code I came up with. Could you pls see if this is the >> correct way to do it ? Btw, Group does not have a "set" method so I had to >> use "setField". >> >> >> >> I really appreciate your help. >> >> >> >> Thank you. >> >> >> >> Jim >> >> >> >> ------------ code ------------ >> >> >> >> FIX43::NewOrderMultileg newOrder; >> >> >> >> newOrder.getHeader().set(FIX::TargetCompID("IB")); >> >> newOrder.getHeader().set(FIX::SenderCompID("direc314")); >> >> newOrder.getHeader().set(FIX::MsgType("AB")); >> >> newOrder.set(FIX::SecurityType("MLEG")); >> >> >> >> newOrder.set(FIX::TimeInForce(FIX::TimeInForce_DAY)); >> >> newOrder.set(FIX::SecurityExchange( >> >> "GLOBEX")); >> >> >> >> //CustomOrFirm, required for options >> >> newOrder.set(FIX::CustomerOrFirm(FIX::CustomerOrFirm(0)); //This does not >> compile >> >> >> >> >> >> FIX::Group group1(1,1); //Not sure what the correct values for the >> constructor. >> >> >> >> //First leg >> >> group1.setField(FIX::Symbol("ES")); >> >> group1.setField(FIX::Account("U00314")); >> >> group1.setField(FIX::LegSymbol("IB")); >> >> group1.setField(FIX::LegCFICode("OCF")); >> >> group1.setField(FIX::LegMaturityMonthYear("201007")); >> >> group1.setField(FIX::LegStrikePrice(1100)); >> >> group1.setField(FIX::LegRatioQty(1)); >> >> group1.setField(FIX::LegSide('1')); >> >> group1.setField(FIX::LegPositionEffect('O')); >> >> newOrder.addGroup(group1); >> >> ________________________________ >> From: Grant Birchmeier <gbi...@co...> >> Cc: qui...@li... >> Sent: Tue, June 29, 2010 9:05:36 AM >> Subject: Re: [Quickfix-users] Using NewOrderMultileg to send a two legged >> Order >> >> QuickFIX Documentation: >> http://www.quickfixengine.org/quickfix/doc/html/index.html >> QuickFIX Support: http://www.quickfixengine.org/services.html >> >> Please review the "repeating groups" section of the quickfix docs, >> because you're not doing it quite right. >> >> Normal link (down at the moment): >> http://www.quickfixengine.org/quickfix/doc/html/repeating_groups.html >> Google cached link: >> >> http://webcache.googleusercontent.com/search?q=cache:UgZU3jrmDu8J:www.quickfixengine.org/quickfix/doc/html/repeating_groups.html+quickfix+repeating+groups&cd=1&hl=en&ct=clnk&gl=us&client=opera >> >> Furthermore, it's not recommended to use the "setField()" methods >> directly. You should instead use the set() methods. See the "sending >> messages" doc page, section titled "Most Type Safe... DO THIS!": >> >> Normal link (down at the moment): >> >> http://www.quickfixj.org/quickfixj/usermanual/1.4.0/usage/sending_messages.html >> Google cached link: >> >> http://webcache.googleusercontent.com/search?q=cache:HCaHT_RRXacJ:www.quickfixengine.org/quickfix/doc/html/sending_messages.html+quickfix+sending+messages&cd=1&hl=en&ct=clnk&gl=us&client=opera >> >> >> On Tue, Jun 29, 2010 at 7:13 AM, Fix User <fi...@ym...> wrote: >>> QuickFIX Documentation: >>> http://www.quickfixengine.org/quickfix/doc/html/index.html >>> QuickFIX Support: http://www.quickfixengine.org/services.html >>> >>> >>> Dear Fix Users, >>> >>> >>> >>> 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("IB")); >>> >>> newOrder.getHeader().setField(FIX::SenderCompID("abcdef")); >>> >>> newOrder.getHeader().setField(FIX::MsgType("AB")); >>> >>> newOrder.setField(167, "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, >>> >>> "AB12345"); //Account >>> >>> >>> >>> 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 >>> >>> >>> >>> >>> >>> >>> >>> ------------------------------------------------------------------------------ >>> This SF.net email is sponsored by Sprint >>> What will you do first with EVO, the first 4G phone? >>> Visit sprint.com/first -- http://p.sf.net/sfu/sprint-com-first >>> _______________________________________________ >>> Quickfix-users mailing list >>> Qui...@li... >>> https://lists.sourceforge.net/lists/listinfo/quickfix-users >>> >>> >> >> >> ------------------------------------------------------------------------------ >> This SF.net email is sponsored by Sprint >> What will you do first with EVO, the first 4G phone? >> Visit sprint.com/first -- http://p.sf.net/sfu/sprint-com-first >> _______________________________________________ >> Quickfix-users mailing list >> Qui...@li... >> https://lists.sourceforge.net/lists/listinfo/quickfix-users >> >> > > ------------------------------------------------------------------------------ > This SF.net email is sponsored by Sprint > What will you do first with EVO, the first 4G phone? > Visit sprint.com/first -- http://p.sf.net/sfu/sprint-com-first > _______________________________________________ > Quickfix-users mailing list > Qui...@li... > https://lists.sourceforge.net/lists/listinfo/quickfix-users > > |
