[This message was posted by Alex Shindich of UNX, Inc <[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/1fe4d8ba - PLEASE DO NOT REPLY BY MAIL.]
Greg,
Thank you for the reply!
It would be great if future versions of the specification provided optional
support for the wave context, i.e. controls can be enabled/disabled/altered
based on the order count.
Best regards,
Alex
P.S. I apologize for the incorrectly posted XML sample. I hope that the
following will come out better on the forum:
<stateGroup>
<targetStrategy name=”My Portfolio Strategy” enabled=”true”>
<strategy field=”totalOrders” operator=”GT” value=”1”/>
</targetParameter>
</stateGroup>
> Alex, Only GUI controls can be disabled. An algorithm itself cannot be
> disable via the mechanisms of ATDL. It is up to the OMS/EMS to know
> which algorithms are for single orders, pairs and baskets and present
> them to the user at the appropriate times. Determining this should be
> done during the importing process (when an ATDL file is uploaded into
> the OMS/EMS) and is out of ATLD's scope. The attribute totalOrders is
> used to indicate that the broker wishes to recieve basket orders in a
> group of NewOrderSingle messages tied together by a common indentifier.
> This common idenitifier (or basket ID) is placed in the tag reference by
> commonIdentifierTag. So when uploading a strategy look to see if this
> attribute is provided, if it is then it is a basket algorithm.
>
> -Greg
>
> > I have a situation where a portfolio algorithm should be disabled when
> > only a single name is selected to be a part of a wave. The ATDL
> > standard supports a strategy-level attribute called totalOrders, that
> > indicates the total number of orders in a portfolio/list wave.
> > However, I am unclear about how to express a workflow rule that
> > references this attribute. Ideally, the workflow rule should look
> > like: <stateGroup> <targetStrategy name=”My Portfolio Strategy”
> > enabled=”true”> <strategy field=”totalOrders” operator=”GT”
> > value=”1”/> </targetParameter> </stateGroup>
> >
> > Can something like that be accomplished?
> >
> > Thank you,
> >
> >
> >
> >
> > Alex
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