{{Quickfixn}} CheckLatency Setting

Wed Sep 23 11:36:12 PDT 2015

Try this link.  

https://www.interactivebrokers.com.hk/en/index.php?f=1325 <https://www.interactivebrokers.com.hk/en/index.php?f=1325&ns=T> &ns=T

They “recommended 4.2” but their FIX manual admits the MultiLeg functions only came in 4.3

(which according to the appendix they implement but in a non-standard way).  So I’m using

the 4.3 DD and waiting to hear from them what the “Unsupported Type” error means and what

tag it’s referring to.   Will let the group know what I find out.  If anyone has any ideas, please let

me know.

Thanks

Jeff

From: Quickfixn [mailto:quickfixn-bounces at lists.quickfixn.com] On Behalf Of Grant Birchmeier
Sent: Wednesday, September 09, 2015 11:37 PM
To: Mailing list for QuickFIX/n
Cc: Francis Gingras
Subject: Re: {{Quickfixn}} Tag 167=MLEG rejected on MultiLeg order at Interactive Brokers

What do you mean "recommends"?  Do they accept different FIX versions?  That's very weird.

Do they not have documentation?

I tried Googling and I found this page... where if you click the "CTFI FIX" tab you get a broken link.  Nice.

https://www.interactivebrokers.com/en/index.php?f=api <https://www.interactivebrokers.com/en/index.php?f=api&p=bn> &p=bn

On Wed, Sep 9, 2015 at 10:14 AM, Jeff S. <jeff at alphafinhk.com> wrote:

Grant – Thanks for the links.  What you’re saying makes sense.  IB recommends 4.2 but that doesn’t

include the MultiLeg defs…but when I use 4.3, I get these 58=”Unsupported type” errors….no idea

what “type” tag it’s referring to….anyhow…I’ll plow on and maybe be able to help the next guy that

comes along…

Someone else suggested I just get them

to send me a log with a message that worked to emulate….biggest problem is just getting these guys to

respond to emails…. 

Thanks,

Jeff

From: Quickfixn [mailto:quickfixn-bounces at lists.quickfixn.com] On Behalf Of Grant Birchmeier
Sent: Tuesday, September 08, 2015 11:13 PM
To: Mailing list for QuickFIX/n
Cc: Francis Gingras

Subject: Re: {{Quickfixn}} Tag 167=MLEG rejected on MultiLeg order at Interactive Brokers

The answer you got on StackOverflow is on the right track.

http://stackoverflow.com/questions/32440276/quickfix-multileg-order-rejected-on-tag-167-set-to-mleg-at-interactive-brokers

It's not unusual for firms to tweak (or majorly overhaul) the standard DataDictionary, and you need to make sure that your local DD xml file matches what they are expecting.  It appears your counterparty is taking a field/message added to FIX 4.3+ and back-porting it into 4.2.  I've definitely seen that done a few times before.

The DD xml file layout is pretty simple.  If you haven't read over this page, please check it out:

http://quickfixn.org/tutorial/custom-fields-groups-and-messages.html

(apologies if I sent it to you already; I can't remember)

-Grant

On Mon, Sep 7, 2015 at 9:36 AM, Jeff S. <jeff at alphafinhk.com> wrote:

Francis,

Thanks and good suggestion.  I will go through carefully and see if I am missing anything.

I did have one go with the broker and I thought I vetted it all but I’m just not sure.

I’m using the repeating group and it seems to be adding the right thing for the legs but

the example in the doc is a bit different (option vs future instead of a pair of stocks).

Thanks,
Jeff

From: Francis Gingras [mailto:francis at tradeintegration.com] 
Sent: Monday, September 07, 2015 10:21 PM
To: Jeff S.; Mailing list for QuickFIX/n
Subject: Re: {{Quickfixn}} Tag 167=MLEG rejected on MultiLeg order at Interactive Brokers

Hi Jeff,

That's not a very useful rejection message from IB. I don't see anything wrong with field 167. Since the rejection comes from their side, I would look at the other fields and make sure all required tags are in your AB message.

Best regards,

Francis Gingras

__________________________________
Monday, September 7, 2015, 10:05:25 AM, Jeff wrote:

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-- 

Grant Birchmeier

Connamara Systems, LLC

Made-To-Measure Trading Solutions.

Exactly what you need. No more. No less.

http://connamara.com

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-- 

Grant Birchmeier

Connamara Systems, LLC

Made-To-Measure Trading Solutions.

Exactly what you need. No more. No less.

http://connamara.com

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