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Re: Tag 848 or 957 repeating groups?
Lee Wright
2 Oct 2007 8:54AM ET

Hi

In the end I settled on the simplest strategy, tag 847 (or 5847) contains the type of Strategy. Tag 848 (or 5848) contains a String of repeating Strategies:

Strategy parameter example:

TargetStrategy(847)=VWAP
NoStrategyParameters(957)=2 StrategyParameterName(958)=ExecutionStyle
StrategyParameterType(959)=1 (Integer) StrategyParameterValue(960)=3 (Medium)
StrategyParameterName(958)=ScheduleDeviation
StrategyParameterType(959)=1(Integer), StrategyParameterValue(960)=0 (None)

Becomes the following FIX:

847=1
848=957:2;958:ExecutionStyle;959:1;960:3;958:ScheduleDeviation;959:1;960:0

Easy to add new strategies, and easy to extract them and map them to various brokers Custom tag implementations.

Thanks

Lee

Tag 848 or 957 repeating groups?
Lee Wright   1 Aug 2007 5:27AM ET

Re: Tag 848 or 957 repeating groups?
George Brisco   1 Oct 2007 6:03AM ET

Re: Tag 848 or 957 repeating groups?
Richard Labs / CL&B Capital Management, LLC   1 Oct 2007 12:18PM ET

Re: Tag 848 or 957 repeating groups?
Lee Wright   2 Oct 2007 8:54AM ET