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Algorithmic Trading
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Re: Tag 848 or 957 repeating groups?
Richard Labs / CL&B Capital Management, LLC <>
1 Oct 2007 12:18PM ET Hi Lee,
You point up one of the inherent difficulties in FIX – the standards are formed by committees, over time, and not everything is fully specified. There is large variation in how people actually apply the standards, and when they support new versions of the standard.
The new aglo standard - FIXatdl (now in beta expected to got to the GTC for final approval this quarter) will support doing custom algo parameters any way you want (repeating groups, unique tags, etc).
We specifically avoided mandating the use of repeating groups despite the fact they are clearly the most elegant technical solution. While I’m far removed from all the FIX hubs, routing networks and other “plumbing” issues, I’m aware that there are plenty of nodes in the overall FIX cloud, as it now stands, where newer versions of FIX are not supported. I’ve also seen situations where FIX messages went in various execution management systems, were totally taken apart, internal operations were performed using a proprietary messaging structure, actions were taken, and then standard FIX messages were reconstructed for output. Some of those systems do not support the later FIX standards and they are slow to update.
So, what to do? Support repeating groups on your end (and everything 4.4+ though 5+…) is a great idea and well worth the incremental effort, but also support all 4.0+ solutions too for maximum “today” connectivity.
You can also look at how 15 firms are doing examples in:
http://www.fixprotocol.org/working_groups/algowg/documents (register for free at http://www.fixprotocol.org/register, log in and return to that directory if necessary to see the files).
Not a simple answer, but you will find in the long run supporting both older and newer FIX algo parameter expressions, right from the outset will probably be the lowest cost, best long-term solution.
Rick
Re: Tag 848 or 957 repeating groups?
Richard Labs / CL&B Capital Management, LLC 1 Oct 2007 12:18PM ET
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