[This message was posted by Amiya Acharya of <[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/4f0c72af - PLEASE DO NOT REPLY BY MAIL.]
As Greg says, a user defined Tag with NewOrderSingle, instead of that, if a user defined tag will be used in NewOrderList (35=E) and this tag will signify if it is a MULTI LEG order or not. In this case there is no need to manage the timing. Will this solve the purpose?? Amiya. > 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 -~----------~----~----~----~------~----~------~--~---
