[This message was posted by Scott Atwell of American Century Investments <[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/6d242288 - PLEASE DO NOT REPLY BY MAIL.]
> I'd strongly encourage others to weight in here! Please offer specific use > cases if at all possible and clearly indicate how large the challenge is, how > urgent the solution sought is. > Two use cases surrounding Jason's suggestion: 1) It is common for an algo provider to provide the same suite of algos across all markets, however, it is also common for a specific market to have its own feature (eg Auction features germane to one region). Although, a separate Strategy 'keeps it clean', there is a lot of duplication and maintenance. 2) FIXatdl 1.1 works really well in terms of strategy filtering for a single order, however, if you select a set of orders on your blotter and place them with an algo provider displaying and 'filling in' the algo screen once, it does not work so well. To clarify, in this case 20 New Order Singles are generated, each of them independent (not a basket or program) of one another, and each are populated with the same algo settings. In this case, having 3 (or more) VWAP (or TWAP, etc) Strategy definitions, each with their own Regional filtering, becomes a problem if the trader's set of orders represents more than one region (eg assigning US ADRs, Canadian orders, and European orders at 10am ET). In this case, you can effectively "filter all of the strategies out". We have had to build 'awareness' into our OMS of how a specific broker has 'segmented' their file and prevent our trader from 'mixing' orders across those boundaries. If the FIXatdl file had a single VWAP strategy definition and the one small, region-specific feature was controlled via Jason or my suggestion, then it might only be the region-specific feature/control that would be 'filtered out. [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.
