You picked a very nice cable. That was what I used for my E39 M5 and current E36 318. Both cars had the round 20-pin port, but were also OBD2 cars. I don't believe you need the OBD2 cable if your BMW has the 20-pin port as you get full communication to all modules through the 20-pin connector.

I am going to make my own OBD2 to 20-pin adapter this summer. The PnP will usually give you the 20-pin from a scrap car, and the OBD2 connector is $4 on eBay. All you need is some wire and a minuscule amount of soldering skill.

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