[This message was posted by Richard Labs of CL&B Capital Management, LLC <[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/e9503c14 - 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 Jim, In FIXatdl we never envisioned an "update" to be permissible across brokers or even within a single broker if the actual algo strategy was to be changed. These actions were always assumed to be a full cancel of the first order and a full new order as the replacement. However, the cancel/replace functionality you describe might be presented to the trader via the OMS functionality as fully "integrated". Under the hood however that functionality was expressed as a plain cancel message, followed by a brand new order message. At FIXatdl we did however envision an "update" for a single broker, single algo strategy that was released and executing. For example: watching some simple variant of a TWAP algo strategy executing with a custom parameter set aggressiveness="low", the trader notes via standard FIX exception message stream coming back at him that his algo as initially specified, is not keeping up with his desire for actual "in the bag" executions. Trader wants to update that standing algo order to aggressiveness="high" for the balance of the order quantity not yet already executed. In FIXatdl there is a concept called mutable on cancel/replace that covers that. See the attribute at: CORE.xsd parameter.parameter_t.mutableOnCxlRpl type="xs:boolean" xs:documentation>Indication of whether the parameter’s value can be modified by a Cancel-Replace message. Again, the idea is the "cancel/replace" message in this unique instance doesn't interrupt the executing algo, however it does allow a parameter marked mutableOnCxlRpl=T to change in the middle of execution. We also have the FIXatdl Pre Order Feedback Facility - that is used to send actual DRAFT algo parameters very rapidly to the target and get back pre trade analytic information based on exactly what parameters were entered into the algo order entry screens at the time the "feedback" button was pushed. That can be used repetitively by the trader "fiddling" with all the parameters of the algo and having the target give specific real-time feedback of how that set of parameters might go off in the market. The trader/broker can iterate very rapidly back and forth with that model. The idea being that after those iterations are done, the desired final algo parameters are then placed in the algo order, and that finalized order is released live to execution. The Pre Order Feedback message is sent "out of band" meaning not down the FIX pipe, it goes over SSL Internet to the URL described in the FIXatdl file. We are currently writing it up as a "ridiculously simple" Web service - only one call "get feedback" and only read only information coming back from the target to be set to the traders GUI. There is no way for the Pre Order Feedback facility to actually set the value of any parameter of what will later become a live algo order. The human trader must do that. (or the OMS be written to bypass that bit of human intervention) Perhaps more Web Service functionality in future versions (v2.0+ or later a few years out) but for now its very simple. That being said there are some extremely interesting things that can be done with that Pre Order Feedback facility. Rick [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 -~----------~----~----~----~------~----~------~--~---
