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Algorithmic Trading
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Re: VWAP trading
Greg Malatestinic / Reuters
17 Apr 2006 11:02AM ETI recommend that you consult with each broker to find out which tag to use. Some brokers will accept tag 847, some will not and will use a custom tag.
The Algo Working Group has proposed an extension that deals with this issue. It recommends using tag 847 to declare the strategy and a repeating group starting at tag 957 to declare the parameters.
Until this is adapted you'll still need to work this out with each broker.
> In equities a lot of brokers follow 6060's series tags introduced by CSFB, e.g.:
>
> 6062 StartTime 6063 EndTime 6065 ExecutionStyle ( = VWAP or other
> strategy) etc.
>
> Still, there is no single standard for algo tags. Most brokers,
> especially the large ones, have many customizations. Merrill Lynch, for
> example, follows 6400-series tags.
>
> To see a somplete list of tags used by CSFB, Merrill and other brokers,
> search for their names in the FIX User Defined Fields Repository:
>
> http://fixprotocol.org/specifications/fields/6000-6999
>
> Best, Dmitri Nadot Equities Trading Technology Merrill Lynch
> dmitri_nadot@ml.com 212-449-4946
>
> > 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
Greg Malatestinic / Reuters 17 Apr 2006 11:02AM ET
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