Imported from previous forum
[ original email was from John Greenan - john.greenan@alignment-systems.com ]
Perhaps a somewhat flippant posting, but today I received a email about new algos offered by brokers including such delights as “Ambush” and “Nightvision”. Add to this “Covert”, “Guerilla”, “Sniper” and “Stealth” and it all gets a bit, well, boys and their toys.
Perhaps brokers could try and come out with some less military sounding names?
Tongue in cheek but with a point…
Perhaps a somewhat flippant posting, but today I received a email about
new algos offered by brokers including such delights as “Ambush” and
“Nightvision”. Add to this “Covert”, “Guerilla”, “Sniper” and “Stealth”
and it all gets a bit, well, boys and their toys.Perhaps brokers could try and come out with some less military
sounding names?Tongue in cheek but with a point…
We’ll glady rename our “Seek and Destroy” algo if you come up with a better suggestion! 
[ original email was from John Greenan - john.greenan@alignment-systems.com ]
> > Perhaps a somewhat flippant posting, but today I received a email
about new algos offered by brokers including such delights as “Ambush”
and “Nightvision”. Add to this “Covert”, “Guerilla”, “Sniper” and
“Stealth” and it all gets a bit, well, boys and their toys.Perhaps brokers could try and come out with some less military
sounding names?Tongue in cheek but with a point…
We’ll glady rename our “Seek and Destroy” algo if you come up with a
better suggestion!
“Peace and love”
Try the “Conscientious Objector” strategy- it substitutes your equities’ order with a lunch order from the deli… very humane 
Perhaps a somewhat flippant posting, but today I received a email
about new algos offered by brokers including such delights as
“Ambush” and “Nightvision”. Add to this “Covert”, “Guerilla”,
“Sniper” and “Stealth” and it all gets a bit, well, boys and
their toys.Perhaps brokers could try and come out with some less military
sounding names?Tongue in cheek but with a point…
We’ll glady rename our “Seek and Destroy” algo if you come up with a
better suggestion!“Peace and love”
[ original email was from Ambar Arasan - ambar.arasan@gs.com ]
All these names show the aggresiveness of the strategy. Can someone write one line definition for each of the strategies mentioned here.
Try the “Conscientious Objector” strategy- it substitutes your equities’
order with a lunch order from the deli… very humanePerhaps a somewhat flippant posting, but today I received a email
about new algos offered by brokers including such delights as
“Ambush” and “Nightvision”. Add to this “Covert”, “Guerilla”,
“Sniper” and “Stealth” and it all gets a bit, well, boys and their
toys.Perhaps brokers could try and come out with some less military
sounding names?Tongue in cheek but with a point…
We’ll glady rename our “Seek and Destroy” algo if you come up with a
better suggestion!“Peace and love”
[ original email was from John Greenan - john.greenan@alignment-systems.com ]
> All these names show the aggresiveness of the strategy. Can someone
write one line definition for each of the strategies mentioned here.
Not really the point…
After a while the whole range of “sniper” “covert”, “stealth”, “hunter-killer” starts to merge into one long list of silly names that bear no meaning to a buy-side dealer who is trying to work out how to deal a large-ish amount of an illiquid German mid-cap stock.
My point really is, drop the silly marketing names and make the names align with the functionality offered by the algo.
Following site lists some of the Algos and gives brief info regarding “name” → “functionality” mapping ( not without marketing “ques”, but still…)
http://www.advancedtrading.com/directories/dark-algorithms
You might find it useful for starting more detailed research. In general, i agree - there should be more direct relation between algo’s target strategy and its name.
One should prefer names like Linux kernel 2.4.x over the meaningless “Vista”
All these names show the aggresiveness of the strategy. Can someone
write one line definition for each of the strategies mentioned here.Not really the point…
After a while the whole range of “sniper” “covert”, “stealth”, “hunter-
killer” starts to merge into one long list of silly names that bear no
meaning to a buy-side dealer who is trying to work out how to deal a large-
ish amount of an illiquid German mid-cap stock.My point really is, drop the silly marketing names and make the names
align with the functionality offered by the algo.
[ original email was from jim whitehead - jwhitehead@latentzero.com ]
Thats an interesting site, is it naive of me to think that it may be a good idea to have an area which consolidates this kind of information within the FPL website?
Following site lists some of the Algos and gives brief info
regarding “name” → “functionality” mapping ( not without marketing
“ques”, but still…)http://www.advancedtrading.com/directories/dark-algorithms
You might find it useful for starting more detailed research. In
general, i agree - there should be more direct relation between algo’s
target strategy and its name. One should prefer names like Linux kernel
2.4.x over the meaningless “Vista”All these names show the aggresiveness of the strategy. Can someone
write one line definition for each of the strategies mentioned here.Not really the point…
After a while the whole range of “sniper” “covert”, “stealth”, “hunter-
killer” starts to merge into one long list of silly names that bear no
meaning to a buy-side dealer who is trying to work out how to deal a
large- ish amount of an illiquid German mid-cap stock.My point really is, drop the silly marketing names and make the names
align with the functionality offered by the algo.
Following site lists some of the Algos and gives brief info regarding “name” → “functionality” mapping …
[Jim]
Thats an interesting site, is it naive of me to think that it may be a
good idea to have an area which consolidates this kind of information
within the FPL website?
Jim - even better than just a text page showing “name”->“functionality” map is a collection of actual FIXatdl files. After all, the FIXatdl file has a embedded in it: 1. general description of what each algo strategy does, 2. embedded documentation on each of the parameters, 3. full information on exactly how the target wants the FIX message structured, and a pointer to a URL that will contain a full text “disclosure document” (one for each strategy). Of course the algo maker can limit access to that Disclosure Document to just authorized clients, and specifically authorized prospects,etc. Only the URL is public in the FIXatdl file. And the FIXatdl file is of very little value in trying to reverse engineer what actually goes on in the black box. It only describes the interface.
I totally concur that its naive to think that all algos will ever be exposed to “the public”. That will never occur. Some of the newest will always be “upstairs” only. They will never be discussed or disclosed in public, or in a FIXatdl file even though the FIXatdl file doesn’t disclose much.
However, I’ll also add that much progress has been made over the last two years to encourage algo makers to describe at least several of their strategies in FIXatdl files and post them available to the public at FIX. This is huge good thing! It benefits the individual algo makers by getting the word out - “we are in the algo business at the leading edge” and it also lets every potential algo user/OMS player have access to those files.
As soon as GTC approves FIXatdl (expected within days or weeks) we are going back out to the BD’s for updated FIXatdl files. This time we are going to ask for “production ready” algos, in the newest FIXatdl format, to be posted on the FIX web site. Hopefully these files will be ready to use! FIX gives a vendor neutral central place for all member firms to post FIXatdl files. It’s then extremely easy for OMS players and traders to “load them up” and see if they like the basic strategies. Our goal will be to ensure that each participating firm posts an ample number of strategies to enable them to be tested and used, implying the more advanced “upstairs” algos, also available from that firm, (but not disclosed to the public,) will drop in and be usable in their systems. The FIXatdl files are small - all the upstairs OMS/trader needs to do is import that FIXatdl file (and, for now, send a few draft test orders and verify its ok) then start trading with them.
As more and more “upstairs” algos eventually over time become competitively “generic,” firms will be encouraged to bring those down to the ground floor and have them available in the “basic algos from firm xyz file” available to everyone.
Thats the plan - allow the upstairs market to operate cleanly upstairs - but also have all the “generic” algos posted centrally where everyone on earth can get them 24/7 to get going.
Todays ground floor trader is tomorrows upstairs trader.
Rick
PS - its a huge benefit to FIX to have a large pool of actual FIXatdl files posted at FIX. The samples we already have have been very helpful to illustrative of how 15 independent firms actually implemented FIXatdl. We used that feedback! As algo parameters become commodities FIX can then standardize the most common ones, or even groups of ones (like time/date) to the benefit of everyone. We can also see areas in the .xsd where different users went in all sorts of different directions trying to accomplish the same task. With that type of “closed loop” feedback we can then go back and improve FIXatdl in V2,3,… Each major version is expect to last a minimum of 18 months in production use, more likely longer since it can take time to form consensus at FIX). Public access to the basic algo strategies FIXatdl files are absolutely key to growing the “standardized” algo market.
All these names show the aggresiveness of the strategy. Can someone
write one line definition for each of the strategies mentioned here.Not really the point…
After a while the whole range of “sniper” “covert”, “stealth”, “hunter-
killer” starts to merge into one long list of silly names that bear no
meaning to a buy-side dealer who is trying to work out how to deal a large-
ish amount of an illiquid German mid-cap stock.My point really is, drop the silly marketing names and make the names
align with the functionality offered by the algo.
I was looking thru the User Defined Fields to support Algorithmic Trading at
http://fixprotocol.org/specifications/fields/search?search=algo
and noted that there are too many tags that have the same non descriptive name repeated. This could create a problem when mapping these tags to FIXML (unless appended with a number). Secondly as a programmer, I find a meaningful name descriptive of the function better and easier to work with.
I there any attempt towards standardizing these Tag names based on functionality? The advantage of Standardizing these names would be FIXTag reuse.
Regards,
K. Mahesh