[This message was posted by Greg Malatestinic of Jordan & Jordan <[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/d5b53996 - PLEASE DO NOT REPLY BY MAIL.]
Tag 847 is rarely used to indicate the target strategy or algorithmic order type - mostly due to the fact that it must contain an integer value, which is a bit limiting. The most common practice is to use a user-defined tag to hold a value which indicates the strategy where the values are custom-string values. Other strategy parameters are typically placed in user-defined fields as well. Tag 848 is rarely used for this purpose. You should also consider the repeating group that starts with tag 957 as a means to transmit custom parameters. For example: 957=1|958=Aggression|959=1|960=5 indicates one custom parameter named "Aggression" which is an integer and has a value of 5. -Greg > Hi, > > In version 4.4, how are the different strategies typically supported? > > Can value 1000 for TargetStrategy be used to specify additional types of > Strategies? > > Are there examples I can reference of how TWAP, % Volume, and other > strategies have been implemented using 4.4 fields? > > I found that there are 2 fields: > 1. TargetStrategy (847) field in which 3 specific strategies are supported > (VWAP, Participate, Minimize Market Impact) and looks like there is a way to > indicate other types of strategies using value 1000 > 2. TargetStrategyParameters (848); assuming this is where additional > parametes for the specific strategy can be specified. Please verify. > > Thank you in advance for your help. > Rich > [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.
