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Algorithmic Trading
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Re: Amending Algos
Scott Atwell / American Century Investments <>
26 Jun 2008 8:32AM ETMost algo providers that I've seen who support Cancel/Replace that changes the strategy, simply end up treating it internally as a full cancel of the balance of the original strategy order and then treat the new strategy (leaves qty) as a different internal strategy order while still adhering to the Execution Report Order Qty, Cum Qty, etc. rules.
> Has the following come up before and does anyone have views on the
> following?
>
> Amending Algos - Currently I'm fine with a Cancel/Replace mesage being
> used to update the regular FIX tags and also being used to update the
> parameters of the current algo strategy.
>
> But should a cancel/replace message allow the replacement of one algo
> strategy with another supplied by that broker? By default I'd like to
> say yes and stay as flexible as possible but i'm also away that some
> brokers have a 'DMA' algo strategy which may involve the amend message
> going down a separate pipe to the original algo which could be
> problematic.
>
> Thanks in advance for your help Jim
Amending Algos jim whitehead / Fidessa Latent Zero 24 Jun 2008 4:54AM ET Re: Amending Algos
Scott Atwell / American Century Investments 26 Jun 2008 8:32AM ET
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