[This message was posted by Scott Atwell of American Century Investments
<[email protected]> to the "General Q/A" discussion forum at
http://fixprotocol.org/discuss/22. You can reply to it on-line at
http://fixprotocol.org/discuss/read/718e3c34 - PLEASE DO NOT REPLY BY MAIL.]
LocalMktTz_t really needs a way to instruct the FIXatdl rendering application
to use the timezone of the market of the security the order is for, eg
"{MARKET_TZ}"
Presently, UTCTimestamp_t parameter and Clock_t control have a localMktTz
attribute that specifies the name of the timezone (eg "America/New_York") for
which the time-centric attributes are based upon.
For example (Parameter/@dailyMinValue):
<Parameter name="ClockNYDailyMin" xsi:type="UTCTimestamp_t"
fixTag="9989" use="optional" dailyMinValue="07:30:00"
localMktTz="America/New_York"/>
<lay:Control ID="c_ClockNYDailyMax" xsi:type="lay:Clock_t" label="Clock
(dailyMax 17:30 NY)" parameterRef="ClockNYDailyMax"/>
For example (Control/@initValue):
<Parameter name="ClockNYInit_Daily" xsi:type="UTCTimestamp_t"
fixTag="9991" use="optional"/>
<lay:Control ID="c_ClockNYInit_Daily" xsi:type="lay:Clock_t"
initValue="07:30:00" localMktTz="America/New_York" label="Clock (init 07:30 NY
daily)" parameterRef="ClockNYInit_Daily"/>
The real problem comes in with the fact that the Parameter and Control are tied
to a specific Strategy. And while one can have multiple strategies for
different regions (eg "TWAP (US)", "TWAP (EU)", "TWAP (A/P)"), the Parameter
and Control values reflect a single localMktTz. Thus, while "TWAP (US)" might
be able to get by with using "America/New_York" and expressing min/max or init
times in Eastern Standard Time, this certainly would not work well for "TWAP
(A/P)" where Asia/Pac might be dealing with 20 or more markets across 6 or more
timezones (and you obviously do not want to repeat strategy definitions for
each country). For instance:
dailyMinValue="07:30:00" localMktTz="Asia/Hong_Kong"
could not be used for an Indian or Australian security.
My suggestion is to add a special token (eg "{MARKET_TZ}") to the
atdl-timezones-1.1.xsd file's list of valid enums that FIXatdl implementations
could interpret as an instruction to attempt to use the timezone of market of
the security the order is for. This is somewhat similar to the fact that
FIXatdl implementations have to support the special "{NULL}" token. Also the
FIXatdl renderer already has to support receiving 'input data' from the OMS/EMS
to support Strategy filtering (via its Regions, Markets, and SecurityTypes
elements), in addition to FIX standard field values used by Edit/@value rules,
so one more piece of input data seems doable.
(if not, I greatly question the benefit and relevance of the min, max, init,
and const values for these)
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