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Interactive Brokers Data Dictionary

David
QuickFIX/J Documentation: http://www.quickfixj.org/documentation/
QuickFIX/J Support: http://www.quickfixj.org/support/


Hi @all,

after we went from HSBC to Interactive Brokers,  I've noticed that
Interactive Brokers offers a FIX-interface with many differences to the
previous one. IB needs some modifications to the FIX 4.2 data dictionary
delivered with QuickFIX/J and it seems that they offer tons of own,
non-standard messages.

Before I start to modify the data dictionary and propably reinvent the
wheel, I wondered if there might be a freely accessible dictionary for
Interactive Brokers. Is anybody aware that something like this exists?

Kind regards,

David


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Re: Interactive Brokers Data Dictionary

Christoph John
QuickFIX/J Documentation: http://www.quickfixj.org/documentation/
QuickFIX/J Support: http://www.quickfixj.org/support/


Hi,

did you already ask them for a data dictionary? Maybe they have one available, or at least in a
machine-readable format that could be transformed into a QFJ data dictionary?
Briefly looking at their documentation (CTCI I assume?) I can only see that NewOrderMultileg is
borrowed from FIX4.3.
However, just as a short tip regarding the user-defined fields that they use: maybe consider using
configuration ValidateUserDefinedFields=N (will not validate fields > 5000).

Regards,
Chris.


On 07/02/17 15:37, David wrote:

> QuickFIX/J Documentation: http://www.quickfixj.org/documentation/
> QuickFIX/J Support: http://www.quickfixj.org/support/
>
>
> Hi @all,
>
> after we went from HSBC to Interactive Brokers,  I've noticed that
> Interactive Brokers offers a FIX-interface with many differences to the
> previous one. IB needs some modifications to the FIX 4.2 data dictionary
> delivered with QuickFIX/J and it seems that they offer tons of own,
> non-standard messages.
>
> Before I start to modify the data dictionary and propably reinvent the
> wheel, I wondered if there might be a freely accessible dictionary for
> Interactive Brokers. Is anybody aware that something like this exists?
>
> Kind regards,
>
> David
>
>
> ------------------------------------------------------------------------------
> Check out the vibrant tech community on one of the world's most
> engaging tech sites, SlashDot.org! http://sdm.link/slashdot
> _______________________________________________
> Quickfixj-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quickfixj-users

--
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Development & Support
Direct: +49 241 557080-28
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Re: Interactive Brokers Data Dictionary

David
QuickFIX/J Documentation: http://www.quickfixj.org/documentation/
QuickFIX/J Support: http://www.quickfixj.org/support/


Thanks Chris! - Well, I didn't ask them yet, actually. It's a very good
idea that they might have a machine-readable file already.


Am 07.02.2017 um 16:09 schrieb Christoph John:

> QuickFIX/J Documentation: http://www.quickfixj.org/documentation/
> QuickFIX/J Support: http://www.quickfixj.org/support/
>
>
> Hi,
>
> did you already ask them for a data dictionary? Maybe they have one available, or at least in a
> machine-readable format that could be transformed into a QFJ data dictionary?
> Briefly looking at their documentation (CTCI I assume?) I can only see that NewOrderMultileg is
> borrowed from FIX4.3.
> However, just as a short tip regarding the user-defined fields that they use: maybe consider using
> configuration ValidateUserDefinedFields=N (will not validate fields > 5000).
>
> Regards,
> Chris.
>
>
> On 07/02/17 15:37, David wrote:
>> QuickFIX/J Documentation: http://www.quickfixj.org/documentation/
>> QuickFIX/J Support: http://www.quickfixj.org/support/
>>
>>
>> Hi @all,
>>
>> after we went from HSBC to Interactive Brokers,  I've noticed that
>> Interactive Brokers offers a FIX-interface with many differences to the
>> previous one. IB needs some modifications to the FIX 4.2 data dictionary
>> delivered with QuickFIX/J and it seems that they offer tons of own,
>> non-standard messages.
>>
>> Before I start to modify the data dictionary and propably reinvent the
>> wheel, I wondered if there might be a freely accessible dictionary for
>> Interactive Brokers. Is anybody aware that something like this exists?
>>
>> Kind regards,
>>
>> David
>>
>>
>> ------------------------------------------------------------------------------
>> Check out the vibrant tech community on one of the world's most
>> engaging tech sites, SlashDot.org! http://sdm.link/slashdot
>> _______________________________________________
>> Quickfixj-users mailing list
>> [hidden email]
>> https://lists.sourceforge.net/lists/listinfo/quickfixj-users


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Re: Interactive Brokers Data Dictionary

Guido Medina
QuickFIX/J Documentation: http://www.quickfixj.org/documentation/
QuickFIX/J Support: http://www.quickfixj.org/support/



Hi David,

This is what I usually do, I have a FixInitiator class which has some constructor parameters, one of them is the data dictionary path which I pass or null,
if null I don't set it hence it will default to the QFJ defaults, else it will load it from the resources, I put all these XML in the corresponding jars and my QFJ settings is build programmatically.

I also paste the XML on IntelliJ and format it, then I put it into src/main/resources, I also disable some validations, creating the settings programmatically I find it much easier.

HTH,

Guido.

On Tue, Feb 7, 2017 at 5:45 PM, David <[hidden email]> wrote:
QuickFIX/J Documentation: <a href="http://www.quickfixj.org/documentation/ QuickFIX/J" rel="noreferrer" target="_blank">http://www.quickfixj.org/documentation/
QuickFIX/J Support: http://www.quickfixj.org/support/


Thanks Chris! - Well, I didn't ask them yet, actually. It's a very good
idea that they might have a machine-readable file already.


Am 07.02.2017 um 16:09 schrieb Christoph John:
> QuickFIX/J Documentation: http://www.quickfixj.org/documentation/
> QuickFIX/J Support: http://www.quickfixj.org/support/
>
>
> Hi,
>
> did you already ask them for a data dictionary? Maybe they have one available, or at least in a
> machine-readable format that could be transformed into a QFJ data dictionary?
> Briefly looking at their documentation (CTCI I assume?) I can only see that NewOrderMultileg is
> borrowed from FIX4.3.
> However, just as a short tip regarding the user-defined fields that they use: maybe consider using
> configuration ValidateUserDefinedFields=N (will not validate fields > 5000).
>
> Regards,
> Chris.
>
>
> On 07/02/17 15:37, David wrote:
>> QuickFIX/J Documentation: http://www.quickfixj.org/documentation/
>> QuickFIX/J Support: http://www.quickfixj.org/support/
>>
>>
>> Hi @all,
>>
>> after we went from HSBC to Interactive Brokers,  I've noticed that
>> Interactive Brokers offers a FIX-interface with many differences to the
>> previous one. IB needs some modifications to the FIX 4.2 data dictionary
>> delivered with QuickFIX/J and it seems that they offer tons of own,
>> non-standard messages.
>>
>> Before I start to modify the data dictionary and propably reinvent the
>> wheel, I wondered if there might be a freely accessible dictionary for
>> Interactive Brokers. Is anybody aware that something like this exists?
>>
>> Kind regards,
>>
>> David
>>
>>
>> ------------------------------------------------------------------------------
>> Check out the vibrant tech community on one of the world's most
>> engaging tech sites, SlashDot.org! http://sdm.link/slashdot
>> _______________________________________________
>> Quickfixj-users mailing list
>> [hidden email]
>> https://lists.sourceforge.net/lists/listinfo/quickfixj-users


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