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Algorithmic Trading
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Re: FIX Algorithmic Schema - Date/Time fields
Zoltan Feledy / State Street Global Advisors
11 Apr 2007 11:24AM ET Steve,
Thanks again for your review. The keywords we were considering had to do with strategy parameters. Most algorithms have start and end times as input parameters. Something along the lines of: Run this algo from "Now" until "Market_Close". These keywords would specify points in time.
This is somewhat different from TimeInForce(59) where you would specify a duration for the order. Probably "Day" orders (59=0) for algos but this would be overridden by what is specified in the parameters for the algo.
Zoltan
> > However, as Zoltan just noted, our recent train of thought is to
> > depricate this attribute and support only the standard FIX date and
> > time formats.
>
> I agree it would be preferable to stick to existing FIX standards where
> we can. In a similar vein, I noticed there was some discussion of
> START_DAY and END_DAY indicators, and wonder whether it would make more
> sense to use the existing tag 59=TimeInForce eg. "At the Opening" and
> "At the close" values?
>
> cheers Steve
>
> http://www.affine.hk
Re: FIX Algorithmic Schema - Date/Time fields
Zoltan Feledy / State Street Global Advisors 11 Apr 2007 11:24AM ET
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