[This message was posted by Greg Malatestinic of Jordan & Jordan <[email protected]> to the "Algorithmic Trading" discussion forum at http://fixprotocol.org/discuss/31. You can reply to it on-line at http://fixprotocol.org/discuss/read/ae21e9db - PLEASE DO NOT REPLY BY MAIL.]
This requirement has never been considered for FIXatdl. User-defined repeating groups are always discouraged when communicating with an outside entity since many FIX engines don’t provide adequate support for them. However, I can see how user-defined repeating groups (UDRGs?) can be useful for internal communications. Although I don’t think FIX was ever intended to be a generic data-encoding mechanism. (Isn’t that best left for XML, JSON, etc?) So I'm not sure it can be done in FIXatld 1.1. If you can find a way using the schema files (as they now exist!) then please let those in this forum know how you plan on going about it - you'll be breaking new ground. As far as the requirements go... When adding support for repeating groups in FIXatdl we focused on: (1) multi-leg orders where custom tags are defined within the LegOrdGrp ; (2) List orders where custom tags are defined within the ListOrdGrp; and (3) Basket orders where custom tags are defined at the root level and the orders are delivered as multiple NewOrderSingle messages linked by a common basket ID. (Many pairs algos do this.) For each of these cases we sought to support sub-cases where: a) the number of legs/ orders is established prior to order entry b) the number of legs/orders can be unbounded and is defined at the time of order entry c) a custom tag must have the same value in each group in which it appears (Think of the user being presented with one GUI control and the value entered in that control gets propagated to all leg orders or list orders.) d) a custom tag can have different values within each group it appears. (In this case the user would be presented with a GUI control for each leg/order.) This comes to 12 use cases. I would be great if we had 12 examples to provide. We are scheduled to revisit repeating group support when we discuss the next release of FIXatdl. We’ll add UDRGs to the list of things to consider. If you have any toughts on how a UDRG could be defined -Greg [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.
