Urgent Fix 4.2

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Imported from previous forum

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Hi,

I have done with my connectivity to NSE India (Test). Now i want to place and Order for for Buying SBIN(Script Name) August and Sell INFY(Script Name September Future only when the differnce between them is X Amount(I want this amount to be decided by user at the time of input).

Now for placing this order if i MutliLegOrder Type Spread then it rehect the same by saying two reason

  1. Not allowing me to trade in two Diff Scripts

  2. It says price is out range as the diff i have putin is more.

Regards
Rakesh Kalra

3

Hi,

I have done with my connectivity to NSE India (Test). Now i want to place and Order for for Buying SBIN(Script Name) August and Sell INFY(Script Name September Future only when the differnce between them is X Amount(I want this amount to be decided by user at the time of input).

Now for placing this order if i MutliLegOrder Type Spread then it rehect the same by saying two reason

  1. Not allowing me to trade in two Diff Scripts

  2. It says price is out range as the diff i have putin is more.

Regards
Rakesh Kalra

Rakesh,

Thanks for your inquiry.

Typical FIXatdl usage would be Buyside with a FIXatdl compliant OMS, an assortment of broker destinations who are writing algos and distributing interface to them via the FIXatdl standard, the executing algo engines themselves (owned and operated by the brokers), and lastly the exchanges where “final” orders are executed.

While I’m not familiar with NSE India but my guess is they only offer simple market and limit type orders, and do not manage more complex order types such as pairs and multiLeg directly.

So, first question is “who is creating the error message”? That is the party you need address when the error messages are not sufficient.

Want to caution you that multi-leg was a fringe area when we created the FIXatdl standard. (The underlying usage of the multi-leg features in the FIX protocol seemed to be highly “party to party” specific. Equity pairs orders were however very well understood and very wildely deployed and the FIXatdl order entry screens could easily accomplish what you describe.

The algo engine sits between the trader (with a FIXatdl interface) and connects to the exchange and price feeds. On a pairs order the FIXatdl interface is all “integrated” and very in tune to the pairs strategy. The algo itself deals with that complexity and breaks it down into simple newOrderSingle type market and limit orders consistent with what the exchange(s) allow for order types.

A major use-case we had during development for MjultiLeg was BUY several treasury bonds (each a different duration) and SELL and interest rate future. While the order left the OMS as multiLeg, the algo itself broke that down and sent out separate orders to buy each bond, and a separate order to sell the future.

Ultimately you are constrained by the order types the exchange or ATS provides. FIXatdl is “meta” level.

I may have totally missed what you were asking so don’t hesitate to clarify if that’s the case.

Rick

4

Hi,

Thanks for the reply.

One thing i am NSE is allowing pair trading but my Question how to do the same using FIX 4.2 Suppose if i define my MultiLegOrderType = Spread then it allows only same script to be entered in both leg.
Regards
Rakesh Kalra