[This message was posted by Christopher Hite of RTS Group <[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/de516c26 - 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 From a FIXatdl prospective that tag is obsolete.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. Thanks for your response! Currently we were going to use Strategy(6258) to specify strategies since our strategies have a string id anyway. Does this seem like a good idea or is there some better field? The original question was: should we require a field ExecInst(18) with 'e' in it? It looks like you're saying no. We aren't using FIXatdl (yet). Are there fields we should know about for strategy name/version. [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 -~----------~----~----~----~------~----~------~--~---
