[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/9ac5172f - PLEASE DO NOT REPLY BY MAIL.]
> In the documentation you mention an ExecInst='e'= "work to target > strategy". Does this flag still make sense in 5.0SP1? > > Is the sell side supposed to ignore field TargetStrategy(847) if this > field isn't there or reject the order? > > What is the point of having a flag that tells you to use an > optional field? Tag 847 was a early attempt to enumerate every algo strategy offered as a straight enumeration. 1 VWAP 2 Participate (i.e. aim to be x percent of the market volume) 3 Mininize market impact >From a FIXatdl prospective that tag is obsolete. That approach (enumerate all >strategies at FIX) proved impossible in the real world. It's impossible for >FIX to be the central reposiory of every algo strategy (in every version and >flavor) in a strict, neat enumeration. In FIXatdl, the only thing you are guaranteed (by intention, don't rely on XML to actually enforce this via "well formed and validating") is, once you have selected a specific Target (the entity who will recieve the algo order), you are guaranteed that the algo strategy name PLUS the version number, is unique (like a KEY field). Across Targets there is no consistency, no guarantees. Perhaps in time we can FIX standardize some generic algo strategies. For the moment however there is zero attempt. [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 -~----------~----~----~----~------~----~------~--~---
