aggressive order

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Imported from previous forum

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Hi all,

I want to know how to define aggressive order. Is the incoming order can match with the orders in the order book which means take liquidity?

Besides, for midpoint peg order, if the midpoint is moving up, is sell side order is more aggressive and why?

regards,
Dophin

3

An order is not per se aggressive. You only talk about an aggressive order in case of an actual match. Then it is the incoming order causing the match that is considered to be aggressive.

Hi all,

I want to know how to define aggressive order. Is the incoming order can match with the orders in the order book which means take liquidity?

Besides, for midpoint peg order, if the midpoint is moving up, is sell side order is more aggressive and why?

regards,
Dophin

4

[ original email was from Greg Wood - greg.wood@credit-suisse.com ]
Brokers can accept orders with a definition of aggression. We then use that to decide whether to be passive (sit on near side of a bid/ask spread), aggressive (crosses the spread), or sit at the mid point tightening the spread. That can be applied to a peg order, or a more complex execution algo that uses the aggression parameter to decide how long it waits to capture spread rather than paying spread.

Different brokers use different tags to define aggression within their suite of algos, typically using custom tags (CS: 6065).

I am not aware of a standard though across 4.0, 4.2 or 4.4.

An order is not per se aggressive. You only talk about an aggressive order in case of an actual match. Then it is the incoming order causing the match that is considered to be aggressive.

Hi all,

I want to know how to define aggressive order. Is the incoming order can match with the orders in the order book which means take liquidity?

Besides, for midpoint peg order, if the midpoint is moving up, is sell side order is more aggressive and why?

regards,
Dophin

5

Thanks Greg, I had only seen the exchange view in this.

Brokers can accept orders with a definition of aggression. We then use that to decide whether to be passive (sit on near side of a bid/ask spread), aggressive (crosses the spread), or sit at the mid point tightening the spread. That can be applied to a peg order, or a more complex execution algo that uses the aggression parameter to decide how long it waits to capture spread rather than paying spread.

Different brokers use different tags to define aggression within their suite of algos, typically using custom tags (CS: 6065).

I am not aware of a standard though across 4.0, 4.2 or 4.4.

An order is not per se aggressive. You only talk about an aggressive order in case of an actual match. Then it is the incoming order causing the match that is considered to be aggressive.

Hi all,

I want to know how to define aggressive order. Is the incoming order can match with the orders in the order book which means take liquidity?

Besides, for midpoint peg order, if the midpoint is moving up, is sell side order is more aggressive and why?

regards,
Dophin

6

Brokers can accept orders with a definition of aggression. We then use that to decide whether to be passive (sit on near side of a bid/ask spread), aggressive (crosses the spread), or sit at the mid point tightening the spread. That can be applied to a peg order, or a more complex execution algo that uses the aggression parameter to decide how long it waits to capture spread rather than paying spread.

Different brokers use different tags to define aggression within their suite of algos, typically using custom tags (CS: 6065).

I am not aware of a standard though across 4.0, 4.2 or 4.4.

For pegs:

This is well defined in FIX. 4.2 and 4.4 use ExecInst=R for a primary, or passive peg, ExecInst=P for a market, or aggressive, peg, and ExecInst=M for midpoint peg. This can be modified somewhat by an offset. FIX 4.2 uses the field PegDifference (211). In 4.4, the field is renamed to PegOffsetValue and becomes part of the PegInstructions component.

For non-peg, non-algo orders:

There are a number of ExecInst values that firms have used. These include:

ExecInst=Participate don’t initiate(6) has been used to flag orders that are passive.

ExecInst=Stay on offer side(0) and ExecInst=Stay on bid side(9) can be used to indicate passive vs. aggressive orders, however the meaning flips based on whether the order is a buy or a sell.

For algo orders:

Generally speaking, FPL has moved away from trying to standardize on specific algo parameters, and instead has created FIXatdl which allows algo providers to publish their proprietary parameters in a standard, machine-readable format.

7

Thank you guys. I got clear picture now.
btw, does anyone know the following question?

“Besides, for midpoint peg order, if the midpoint is moving up, is sell side order is more aggressive and why?”

For pegs:

This is well defined in FIX. 4.2 and 4.4 use ExecInst=R for a primary, or passive peg, ExecInst=P for a market, or aggressive, peg, and ExecInst=M for midpoint peg. This can be modified somewhat by an offset. FIX 4.2 uses the field PegDifference (211). In 4.4, the field is renamed to PegOffsetValue and becomes part of the PegInstructions component.

For non-peg, non-algo orders:

There are a number of ExecInst values that firms have used. These include:

ExecInst=Participate don’t initiate(6) has been used to flag orders that are passive.

ExecInst=Stay on offer side(0) and ExecInst=Stay on bid side(9) can be used to indicate passive vs. aggressive orders, however the meaning flips based on whether the order is a buy or a sell.

For algo orders:

Generally speaking, FPL has moved away from trying to standardize on specific algo parameters, and instead has created FIXatdl which allows algo providers to publish their proprietary parameters in a standard, machine-readable format.