Ye... two pieces with different connectors.. I've seen that before.
your HCA has a "CX4" connector and the switch has a QSFP connector.
Mellanox sell QSFP to CX4 cables.
you should look for things like:
1 CX4 to QSFP MC1204130-001 Passive Copper IB DDR 2 CX4 to QSFP MC1204130-002 Passive Copper IB DDR 3 CX4 to QSFP MC1204130-003 Passive Copper IB DDR 5 CX4 to QSFP MC1204128-005 Passive Copper IB DDR
BTW, the switch you have could go up to 40Gb/s while your HCA will stop somewhere at 20Gb/s. you might want to get a matching HCA that can go to 40Gb/s.
i hope it helps.