[This message was posted by Mohit Sadani of Credit Suisse <[email protected]> to the "Algorithmic Trading" discussion forum at http://fixprotocol.org/discuss/31. You can reply to it on-line at http://fixprotocol.org/discuss/read/78d54ff7 - PLEASE DO NOT REPLY BY MAIL.]
> Has the following come up before and does anyone have views on the > following? > > Amending Algos - Currently I'm fine with a Cancel/Replace mesage being > used to update the regular FIX tags and also being used to update the > parameters of the current algo strategy. > > But should a cancel/replace message allow the replacement of one algo > strategy with another supplied by that broker? By default I'd like to > say yes and stay as flexible as possible but i'm also away that some > brokers have a 'DMA' algo strategy which may involve the amend message > going down a separate pipe to the original algo which could be > problematic. > > Thanks in advance for your help Jim Interesting question. Actually, There are two ways to handle this functionality: the broker will assume a full cancel replace and replace all strategic parameters and if all parameters are not provided, the broker will insert the defualt (e.g. end time=end of market) OR the broker can simply change the parameter sent in the cxl/rpl and not change the other parameters from the original order. It may sound complicated but it's not. The certifcation can be pretty time consuming because one will have to cover many possible cases. [You can unsubscribe from this discussion group by sending a message to mailto:[email protected]] --~--~---------~--~----~------------~-------~--~----~ You received this message because you are subscribed to the Google Groups "Financial Information eXchange" group. To post to this group, send email to [email protected] To unsubscribe from this group, send email to [email protected] For more options, visit this group at http://groups.google.com/group/FIX-Protocol?hl=en -~----------~----~----~----~------~----~------~--~---
