[This message was posted by Steve Wilkinson of Cornerstone Technology Limited <ste...@cornerstonetechnology.com> 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/4396e70b - PLEASE DO NOT REPLY BY MAIL.]
As further input to the discussion, the use case is as follows: Suppose I'm an OMS or EMS provider, and I want to take everyone's FIXatdl files and load them all into my OMS/EMS unchanged. Unless I manually enter the provider at the time of file-load (or do something kludgy like having a file naming standard), then I have no way to clearly distinguish who's algos are who's. Maybe I'm missing something here, but if not, this seems like a general, industry-wide issue. Steve. > Steve, > > If we were to undertake something like this, I would think that using > something like what you propose, using the 4 digit institution code of a BIC, > would definitely be preferred to maintaining anything like this on our own. > > Having said that, I can much more likely see independent algo providers > without BICs than clashes in free text provider IDs. > > Again, I would strongly discourage going down this path. Is this a real life > problem that you're dealing with or just diligent programming? > > As I said before, just one man's opinion - so Rick, Greg, Scott, Johnny, and > other powers that be, if you are reading this, you may want to discuss this > at a meeting or chime in here. > > Cheers, > Zoltan > > > Zoltan, > > Thanks for the feedback, and I appreciate the possible admin overhead. > > Just to be clear, however, I am NOT proposing a register of algos, only a > > register of algo providers. > > Your point about use of the ISO standard for exchanges triggered a > > refinement on the original suggestion - instead of creating a register, how > > about we STRONGLY RECOMMEND that FIXatdl publishers include the first 4 > > characters of their ISO 9362 (aka BIC) code as the providerID? > > (Obvious question - do all global algo providers have a BIC code? My gut > > feel is yes, but maybe others can comment.) > > Thx - Steve. > > > Steve, > > > > > > This is an interesting observation, likely born of a well thought out > > > implementation. > > > > > > I must say that maintaining anything like this scares me a great deal. > > > Brings back bad memories of us trying to maintain a list of codes for > > > exchanges in FIX.4.2, which we then amended in the extension, and finally > > > abandoned by FIX.4.4 when we went with an ISO specification which even > > > though someone else now does the work of maintaining the data you are > > > still responsible for getting the latest data sets. > > > > > > I find the algo space very competitive with people continuously inventing > > > ever so creative names to brand their products. My only worry would be > > > "Mary and Larry's Brokerage" trying to publish their VWAP algo in a > > > copycat fashion as ML-VWAP in hopes that it may get confused with that of > > > a bulge bracket firm. I do see the risk of the top 20 or so providers > > > clashing as quite small. > > > > > > Perhaps an alternate solution would be to assign unique id's as you read > > > through the file and adding that to your identifier > > > (Strategy/@providerID, Strategy/@name) so that 1-ML-VWAP and 2-ML-VWAP > > > could peacefully co-exist should it arise in reality. > > > > > > Just my thoughts... > > > > > > Cheers, > > > Zoltan [You can unsubscribe from this discussion group by sending a message to mailto:unsubscribe+100932...@fixprotocol.org] -- You received this message because you are subscribed to the Google Groups "Financial Information eXchange" group. To post to this group, send email to fix-proto...@googlegroups.com. To unsubscribe from this group, send email to fix-protocol+unsubscr...@googlegroups.com. For more options, visit this group at http://groups.google.com/group/fix-protocol?hl=en.
