|
Algorithmic Trading
< Previous Next >
Re: VWAP trading
KEVIN YOUNG / YOUNG FINANCIAL
20 Dec 2005 12:59PM ET TargetStrategy didn't officially enter the FIX Protocol until 4.4 lead by GSCO and CSFB; prior to that it was a user defined field used differently by different brokers (i.e BOFA EASE used 5900/5901). While ExecInst have been around forever, W = 'Peg to the VWAP' has only been around since 4.2.
Depending on your destination and what FIX version they use, it will usually be a mutual agreed field. Your broker will most likely accept a FIX 4.x message with tag 847, or they will have a custom tag defined in their FIX API specification.
> Hi All,
>
> Just want to see what is the correct way to instruct the sell-side to
> perform a VWAP trade, by using the tag 847 (TargetStrategy) or the tag
> 18 (ExecInst with a value of W)? And what are the differents between
> using both?
>
> Thanks
Re: VWAP trading
KEVIN YOUNG / YOUNG FINANCIAL 20 Dec 2005 12:59PM ET
|
@FIXProtocol
