[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/f4ad96ff - PLEASE DO NOT REPLY BY MAIL.]
> Thanks for your response!
>
> Currently we were going to use Strategy(6258) to specify strategies
> since our strategies have a string id anyway. Does this seem like a good
> idea or is there some better field?
>
> The original question was: should we require a field ExecInst(18) with
> 'e' in it? It looks like you're saying no.
>
> We aren't using FIXatdl (yet). Are there fields we should know about for
> strategy name/version.
Are there fields we should know about for strategy name/version.
Yes there are FIXatdl fields, but no there are not yet any FIX permanently
assigned integer tags to them. There are three that YOU DECIDE the FIX integer
tag you want to use:
strategies.strategIdentifierTag -- fix tax number that will carry the
strategyName
strategies.versionIdenfiferTag - -- fix tax number that will carry the version
number
strateges.draftIdentifierTag - fix tag number that optionally carries a TRUE.
When TRUE the target does not execute that order, its only a draft, and expires
NEVER executed. Its "dead" and never comes alive again. Its a one way
transmission of an order idea. It also has an OMS generated orderID number. The
Target can then possibly go to the BD over SSL and see some pretrade analytics
on that order Idea. From there a fresh order would have to be created with a
fresh orderID with out any TRUE in this tag for an order to be processed.
Further,
Each strategy has a has a string name that must be unique
strategy.name
[A-Za-z][A-Za-z0-9_]{1,255}
Version is optional but highly recommended
strategy.version
any string
The OMS must transmit the strategy name on the strategies.versionIdenfiferTag
and optional (but highly recommend) the version on the
strategies.versionIdenfiferTag
FIXatdl right now is agnostic on which FIX tags you select to send these
values. However in the future we will probably ask the GTC to assign three tags
dedicated to those purposes. One of those MAY be Tag 847 repurposed from
integer to string for the Strategy Name UNIQUE [A-Za-z][A-Za-z0-9_]{1,255}
>ExecInst(18) with 'e' in it? It looks like you're saying no.
Correct. In FIXatdl we assume you are always "shooting real bullets" and want
everything executed unless you take a specific action otherwise. Only when you
include the OPTIONAL "TRUE" on the tag designated strateges.draftIdentifierTag
does FIXatdl assume to hold off execution forever. It's just away to transmit
an IDEA to a BD and then "discuss the particulars" over the phone / via
Internet, etc. Likewise we have away to import a trade IDEA back to the OMS, it
then gets presented to the trader, he hits "send order" and all the
validation/authorization built into the OMS can then run locally. The OMS may
also apply whatever it deems appropriate at the time the trader tries to import
an order IDEA into the system. The OMS and typically human trader are
therefore, never, ever bypassed.
Rick
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