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Algorithmic Trading
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Re: FIX Algorithmic Schema - Date/Time fields
John Greenan / http://www.alignment-systems.com
31 Oct 2007 5:00AM ET A few comments on "Algorithmic Trading Schema Proposal v2.2.1.doc"
Conditional fields. A lot of algos only need value X populated if value Y is populated. To make the algo easier to understand why not allow this conditionality to be made explicit. This way an OMS vendor can make the user interface simpler by 'greying-out' fields that are conditionally required where the depends-on field has not been set. The validation sub-schema seems to cover some of this but it's a bit unclear
Time stamps. All time related fields will generally be defaulted by the broker at their end. So why not provide the defaulting at the front end? Allow "standard tenors" to be used - similar to a yield curve "NOW", "NOW plus xx", "Cash close", "End of morning session" and so on. If a buy-side in Paris sends an order to a broker in London an order for a multi-listed instrument which exchange open time do you use? Which close time? This whole area is handled through the brokers defaulting to values but this should really be set on the front end. Since the front end may not have access to the static data to accurately specify the precise time, why not just use the "standard tenors".
"locations" and "disclosureDoc" attributes. Enhance this - add in contact details for the dealing desk
Example "Algo XXX is available for New York desk - email address is algoex@megabank.com phone number is +1 212 666 6666"
Makes is easier for the buy-side dealer to see contact details.
Re: FIX Algorithmic Schema - Date/Time fields
John Greenan / http://www.alignment-systems.com 31 Oct 2007 5:00AM ET
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