Re: [Quickfix-users] Using BATS specifications

[Sev Z. <se...@gm...>]

Change your FIX42.xml as follows:

1. add the BATS UCC message, like Joachim instructed below

<message name="CancelCorrect" msgtype="UCC" msgcat="app">
<field name="ExecTransType" required="Y"/>
<field name="ExecID" required="Y"/>
<field name="ExecRefID" required="Y"/>
<field name="OrderID" required="Y"/>
<field name="ClOrdID" required="N"/>
<field name="Symbol" required="Y"/>
<field name="SymbolSfx" required="N"/>
<field name="OpenClose" required="N"/>
<field name="MaturityMonthYear" required="N"/>
<field name="MaturityDay" required="N"/>
<field name="PutOrCall" required="N"/>
<field name="StrikePrice" required="N"/>
<field name="Side" required="Y"/>
<!-- TradeLiquidityIndicator is a BATS custom field 9730 -->
<field name="ClearingFirm" required="N"/>
<field name="ClearingAccount" required="N"/>
<!-- Corrected Price is a BATS custom field 9620 -->
<field name="LastShares" required="N"/>
<field name="LastPx" required="N"/>
<field name="OrigTime" required="N"/>
<field name="TransactTime" required="N"/>
</message>

2. BATS uses a totally different set of codes for ExecInst than the fix 
spec.  Instead of entering the codes from BATS spec, I decided to open 
it up to any single char

so comment out the original:
<!--
<field number="18" name="ExecInst" type="MULTIPLEVALUESTRING">
<value enum="1" description="NOT_HELD"/>
<value enum="2" description="WORK"/>
<value enum="3" description="GO_ALONG"/>
<value enum="4" description="OVER_THE_DAY"/>
<value enum="5" description="HELD"/>
<value enum="6" description="PARTICIPATE_DONT_INITIATE"/>
<value enum="7" description="STRICT_SCALE"/>
<value enum="8" description="TRY_TO_SCALE"/>
<value enum="9" description="STAY_ON_BIDSIDE"/>
<value enum="0" description="STAY_ON_OFFERSIDE"/>
<value enum="A" description="NO_CROSS"/>
<value enum="B" description="OK_TO_CROSS"/>
<value enum="C" description="CALL_FIRST"/>
<value enum="D" description="PERCENT_OF_VOLUME"/>
<value enum="E" description="DO_NOT_INCREASE_DNI"/>
<value enum="F" description="DO_NOT_REDUCE_DNR"/>
<value enum="G" description="ALL_OR_NONE_AON"/>
<value enum="I" description="INSTITUTIONS_ONLY"/>
<value enum="L" description="LAST_PEG"/>
<value enum="M" description="MIDPRICE_PEG"/>
<value enum="N" description="NONNEGOTIABLE"/>
<value enum="O" description="OPENING_PEG"/>
<value enum="P" description="MARKET_PEG"/>
<value enum="R" description="PRIMARY_PEG"/>
<value enum="S" description="SUSPEND"/>
<value enum="T" description="FIXED_PEG"/>
<value enum="U" description="CUSTOMER_DISPLAY_INSTRUCTION"/>
<value enum="V" description="NETTING"/>
<value enum="W" description="PEG_TO_VWAP"/>
</field>
     -->

and replace with this so it can accept any CHAR

<field number="18" name="ExecInst" type="CHAR"/>

Also, make sure that you instruct QuickFix *NOT* to validate custom 
fields.  I have these settings

[DEFAULT]
ConnectionType=initiator
BeginString=FIX.4.2
CheckCompID=N
CheckLatency=N
StartTime=00:00:00
EndTime=00:00:00
HeartBtInt=5
MaxLatency=120
ReconnectInterval=1
UseDataDictionary=Y
ValidateFieldsHaveValues=N
ValidateFieldsOutOfOrder=N
ValidateUserDefinedFields=N
SocketNodelay=Y
PersistMessages=Y
LogonTimeout=60


On 1/11/2012 8:21 AM, Joachim Worringen wrote:
> QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/html/index.html
> QuickFIX Support: http://www.quickfixengine.org/services.html
>
> Am 11.01.2012 13:39, schrieb Techno13:
>> QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/html/index.html
>> QuickFIX Support: http://www.quickfixengine.org/services.html
>>
>>
>> Hello guys,
>> can you give me few tips how i can make initiator application that use this
>> specifications?
>> http://batstrading.com/resources/membership/BATS_FIX_Specification.pdf
>>
>> I`m asking here because i`m total noob so my question is how exactly do i
>> use this specifications. Do i have to chanage the data inside the FIX42.xml
>> file or all of this have ot be checked on reaciving the message form the
>> application? Or do i have to do both?
>>
>> Because if it is just to change the file it would made more sense to have a
>> ready xml then the pdf. Sorry if the quastion is dumb but i`m lost and
>> totally new here.
> Yes, BATS could provide a quickfix-compatile XML. But they leave this
> up to you.	
>
> You can use the FIX 4.2 XML for BATS for all the parts of the BATS spec
> that comply to 4.2. Only to support the BATS features that are
> non-compliant with 4.2 (trade breaks), you need to extend the 4.2 XML
> accordingly to generate something like a BATS-4.2 XML.
>
>    Joachim
>
>
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