[This message was posted by Greg Malatestinic of Jordan & Jordan <[email protected]> to the "General Q/A" discussion forum at http://fixprotocol.org/discuss/22. You can reply to it on-line at http://fixprotocol.org/discuss/read/874ef027 - PLEASE DO NOT REPLY BY MAIL.]
Another technique, used in pairs trades but can also be applied to options trading, is to send each side (or leg) of the order in a separate NewOrderSingle messages and associate them with a common ID via a user defined tag (or tag 583 if using FIX 4.4 or greater). I'm rather cool to the idea, though, because it it requires the order recepiant to manage the timimng of the orders - probably by setting a timer when the 1st order arrives then rejecting both if the 2nd order arrives too late. Then there's also the risk of non-tandem execution which the recipiant should assume. So while I really don't agree with this approach I though I'd let you know that there are some brokers who accept orders this way. Cheers. -Greg > NewOrderSingle is not NewOrderMultiLeg, simple as that. FIX 4.2 does not > offer a message for the entry of multi-leg orders, FIX 4.3 or later do. > So I would use a user-defined message modeled after the NewOrderMultileg > of a higher version. This is a lot better than applying structural > changes to NewOrderSingle with user defined tags. > > Do not try to put the multi-leg information into the standard fields > of the NewOrderSingle somehow. The semantic of this message just does > not offer it. > > Regards, Hanno. > > Hi, > > > > I have come across a situation where client requires us to support > > multi leg orders. This is specifically for derivatives orders. > > > > My Query: In New single order 35=D (Fix4.2), how can we identify the > > various contract description along with their respective QTy, Price > > and Side? There could be more than 2 contract order that can be > > received in a single new order. > > > > Appreciate your help in detail Tag description. > > > > Thanks, Sachin [You can unsubscribe from this discussion group by sending a message to mailto:[email protected]] --~--~---------~--~----~------------~-------~--~----~ You received this message because you are subscribed to the Google Groups "Financial Information eXchange" group. To post to this group, send email to [email protected] To unsubscribe from this group, send email to [email protected] For more options, visit this group at http://groups.google.com/group/FIX-Protocol?hl=en -~----------~----~----~----~------~----~------~--~---
