[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/a8ced120 - PLEASE DO NOT REPLY BY MAIL.]
> How can i generate ALGO screens based on a specific location? Say if > there is a strategy "VWAP" which is different for US and EU, How can I > differentiate between them and generate the screens. > > Thanks. Couple of ways of doing it in the most current (Draft) version of FIXatdl 1.1. One viable way is just to have two different strategies, named differently, eg: VWAP-EU and VWAP-US That would be appropriate if the execution infrastructure was different in EU and and US (as is often the case). That way each separate strategy could have its own parameters / data "contract" on the FIX wire, and its own help instructions, tool tips, etc. Each could then be updated independent of the other. Aggressiveness for each strategy might for example be implemented differently. In the "category" section of the .xml file each of the above separate strategies would be coded for the locations where it works. That would enable traders to browse strategies by location and the specific, appropriate strategy would be found in searches that spanned across different BDs. Were the strategies combined into one that would have to be coded for all locations it can "morph" into so following its "singular" selection trader will have to enter more more data and make more decisions during their often busy "order build" phase. Other way is to use the FLOW schema. (FIXatdl is made of of four separate schema: CORE, VALIDATION, LAYOUT, FLOW) FLOW is specifically used during the order build phase to manipulate and morph the UI, based on what the trader is entering into screen widgets. There you would use FLOW rules to morph things around the way you wanted them based on what a trader entered for location: US, EU, BOTH? Morphing one strategy into another however was never envisioned so depending on how radically different the strategies are may determine how you want to go. Making sure the final VALIDATION rules all worked correctly when you have "two algo strategies packed into one" may also be challenging. Where are you "taking apart the new order message"? If there are two different target locations, that would imply two different strategies. If the target is identical, with post processing from there, then a single strategy might be preferable. Lastly, depending on how widely you are distributing your algos - from a pure routing prospective there may also be different message structures based on the selected and unique underlying shared transports. Right now those are only handled by separately named strategies. 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 -~----------~----~----~----~------~----~------~--~---
