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Algorithmic Trading
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Re: Amending Algos
jim whitehead / Fidessa Latent Zero <>
26 Jun 2008 4:19AM ETThanks for that , very interesting.
Good to see you've complied with the industry-standard of rambo-esque naming conventions ;)
> From a Programmers point of view, an Algo Cancel-Replace (CR) can be
> made to work.
>
> Lets take an example :-
>
> The original algo order is called Killer and has a set of algo Tags set-
> K. The new order to replace killer is a Mercenary algo has a set of algo
> Tags set-M. The algo CR message has all tags from Set-M for the creation
> of the Mercenary order. In contrast, if one Killer algo order were to be
> replaced with another Killer algo order, all tags from set-K would be
> needed in the CR message. To keep the solution generic from the FIX
> Engine's point of view, tags from both sets K and M should be present
> (without duplicates except in repeating groups) because the FIX Engine
> would not know if the CR message changes the strategy itself or only
> changes values within the same strategy.
>
> Regarding
>
> [start quote] 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. [end quote]
>
> From the order generation side this can be handled as
>
> send a Cancel, wait preset time interval for response,
>
> if response is cancel accepted, send new strategy order, else if
> response is cancel rejected, take the executions, else if respose is
> unknown and timeout happens, either take risk and place new strategy or
> re-evaluate strategy
>
> The above logic assumes that Cancel for an algo would go down the same
> pipe as the original order.
>
> Internally, a Sell side system (desination of algo orders) honouring a
> algo cancel-replace request would try to cancel the original algo and
> place the new new algo on the market applying logic as below
>
> if original algo fully executed, send cancel-replace reject with Too
> Late to Cancel followed by execs else cancel unexecuted quantity and
> accept new algo strategy
>
> For an algo cancel-replace, is there a way to specify the quantity of
> the new algo order as carry forward the unexecuted quantity from the
> original order? For example :- I start the day with a plan to buy
> 100,000 shares of Ticker XYZ and place a "Dagger" strategy on the
> market, Midway thru its execution, I decide to "switch" to a different
> strategy "Stealth". When my Stealth order goes to the market to replace
> the Dagger, I would like it to know how much quantity to carry forward,
> ie the leaves quantity of the exiting Dagger order would be the Order
> quantity of the new Stealth order. This way, I could switch algos while
> ensuring my total order quantity is maintained.
>
> Regards,
> K. Mahesh
>
> Note :- Algo strategy names used in this Message are not real :-)
>
> > 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
jim whitehead / Fidessa Latent Zero 26 Jun 2008 4:19AM ET
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