Re: [Quickfix-users] Using NewOrderMultileg to send a two legged Order

[Fix U. <fi...@ym...>]

Thanks much Grant. 

Just for clarification, I want to mention two points.

1. I tried to build a fresh copy of quickfix without any modifications but after running generate_c++.bat. Procedure
 a) unzip quickfix
 2) run generate_c++.bat
 3) build_vs9.bat

This build also fails.

2. In the source code where I made the code changes in FIX42.xml  (this source tree is different from above): 
I'm going over the two xml files. In fix42/MessageCracker.h I see references for NewOrderMultileg.

I just wanted to point this out for clarification.

Thanks again for any help. 

Joe
 




________________________________
From: Grant Birchmeier <gbi...@co...>
To: Fix User <fi...@ym...>
Cc: qui...@li...
Sent: Wed, June 30, 2010 9:54:44 AM
Subject: Re: [Quickfix-users] Using NewOrderMultileg to send a two legged Order

I'm unable to point you to documents, because, unfortunately, I'm not
sure if there are any.

I *believe* that in C++ the generated code goes into the same place as
the regular code, so the build procedure should be the same.  (Sorry
for the uncertainty; I'm much more familiar with the Java QF/J
versions of this procedure than the C++ form.)

To take a blind guess, I'd check if your addition for NewOrderMultileg
may yet include some fields or components that are not standard 4.2;
there may be some more fields you need to add into the large set at
the end of the xml file.

I'm kinda busy at the moment, but I'll try to find time to look at
your attachments later today.

-Grant


On Wed, Jun 30, 2010 at 9:38 AM, Fix User <fi...@ym...> wrote:
> Btw, I noticed that I had missed the components for "Parties", "Instrument",
> "OrderQtyData" and "CommisionData", and I added those also as well. I'm
> still getting the build errors.
>
> Just to experiment, I tried to build  fresh copy of the source without any
> modifications but after running the "configure_c++.bat" script. Build fails
> with the same errors, so I'm thinking errors I'm getting are not from
> my fix42.xml modifications.
>
> I was not able to find any info on how to rebuild after modifying the
> fix*.xmls. Could you pls help, or point me to some documents.
>
> Thanks much.
>
> joe
>
> ________________________________
> From: Fix User <fi...@ym...>
> To: Grant Birchmeier <gbi...@co...>;
> qui...@li...
> Sent: Wed, June 30, 2010 8:24:35 AM
> Subject: Re: [Quickfix-users] Using NewOrderMultileg to send a two legged
> Order
>
> Dear Grant,
>
>   Thank you. Yes, indeed, IB has a spec and I'm using it, but I think due to
> my inexperience with FIX things are not 100% clear what certain things mean.
> On New Order Multileg, the spec says "the message format is based on
> Multileg format of FIX 4.3".
>
>   Anyway, I've tried to add "NewOrderMultileg" to FIX42.xml but I am getting
> some build errors. Here's what I did in detail.
>
> 1. Downloaded a fresh copy of quickfix (version 1.13.3)
> 2. Built it using build_vs9.bat (I'm on a windows 32 bit machine, using VS
> 9)  -- built was successful.
> 3. Made the following changes to  FIX42.xml
>    a)     Under <messages> Copied an entry for message "NewOrderMultileg"
> using the entry in FIX43.xml
>    b)   Under <components> Copied an entry for component "InstrumentLeg"
> using the entry in FIX43.xml
>    c)   Under field number = 35, added value "AB", similar to FIX43.xml.
>
>    I'm attaching my modified FIX42.xml.
>
> 4. ran generate_c++.bat  -- this script ran succesfully.
> 5. rebuilt the code, using build_vs9.bat -- build fails.  I see lots of
> errors similar to the ones below. Full error log attached.
>
> Compiling...
> Acceptor.cpp
> c:\quickfix-1.13.3\quickfix\src\c++\Message.h(265) : error C2065:
> 'ApplVerID_FIX50SP1' : undeclared identifier
> c:\quickfix-1.13.3\quickfix\src\c++\Message.h(267) : error C2065:
> 'ApplVerID_FIX50SP2' : undeclared identifier
> c:\quickfix-1.13.3\quickfix\src\c++\Message.h(287) : error C2065:
> 'ApplVerID_FIX50SP1' : undeclared identifier
> c:\quickfix-1.13.3\quickfix\src\c++\Message.h(289) : error C2065:
> 'ApplVerID_FIX50SP2' : undeclared identifier
>
> Do you know what I'm doing wrong. I really appreciate any help.
>
> Thank you very much.
>
> joe
>
>
> ________________________________
> From: Grant Birchmeier <gbi...@co...>
> To: qui...@li...
> Sent: Tue, June 29, 2010 4:30:09 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 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
>
>
>
>
>