Algo Parent and Child orders

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1

Imported from previous forum

2

Hi,

urgently need an answer to following

i enter buy 1million shares IBM US 20% of volume as a Parent order

Out of this Parent order i create 5 child orders 200k each

what happens now if the system is set up correctly

do i get 20% of volume of the 1million shares

or

do i get 5x20% which means a virtual 100% of vol that means a Mkt order?

allways thought a Parent order is the commanding order, which means that by no way the child order can generate more % then the original
Parent Order

3

Hi,

urgently need an answer to following

i enter buy 1million shares IBM US 20% of volume as a Parent order

Out of this Parent order i create 5 child orders 200k each

what happens now if the system is set up correctly

do i get 20% of volume of the 1million shares

or

do i get 5x20% which means a virtual 100% of vol that means a Mkt order?

allways thought a Parent order is the commanding order, which means that by no way the child order can generate more % then the original
Parent Order

See
http://fixprotocol.org/discuss/read/3b2ebff5

Third impression

DK if one order, six orders or five?

#1>1million shares IBM US 20% of volume
(one order, entirely sufficient)

#2>i create 5 child orders 200k each
(now we have six orders going to the sellside?)
may get 1m shares on order #1, then ANOTHER 1m shares on orders #2-#6

In FIXatdl there is no concept of a “sub order”. There are only multiple executions to the parent order. Reason: when we designed FIXatdl we did not want to impact whatsoever traditional the trade execution reporting. Multi leg ordering (beyond pairs) was a fuzzy area to be sure. Very party-to-party specific. Not much industry consensus that we found and virtually nill demand at that time (again, with the exception of pairs.)

Why create “sub orders”? That functionality should have been built into the parent algo - more parameters to drive execution up front. Entered as one algo order, to be executed “this way”…

Rick

4

Hi,

urgently need an answer to following

i enter buy 1million shares IBM US 20% of volume as a Parent order

Out of this Parent order i create 5 child orders 200k each

what happens now if the system is set up correctly

do i get 20% of volume of the 1million shares

or

do i get 5x20% which means a virtual 100% of vol that means a Mkt order?

allways thought a Parent order is the commanding order, which means that by no way the child order can generate more % then the original
Parent Order

See
http://fixprotocol.org/discuss/read/3b2ebff5

Third impression

DK if one order, six orders or five?

#1>1million shares IBM US 20% of volume
(one order, entirely sufficient)

#2>i create 5 child orders 200k each
(now we have six orders going to the sellside?)
may get 1m shares on order #1, then ANOTHER 1m shares on orders #2-#6

In FIXatdl there is no concept of a “sub order”. There are only multiple executions to the parent order. Reason: when we designed FIXatdl we did not want to impact whatsoever traditional the trade execution reporting. Multi leg ordering (beyond pairs) was a fuzzy area to be sure. Very party-to-party specific. Not much industry consensus that we found and virtually nill demand at that time (again, with the exception of pairs.)

Why create “sub orders”? That functionality should have been built into the parent algo - more parameters to drive execution up front. Entered as one algo order, to be executed “this way”…

Rick

Could not enter entire order because of limit, was to dollar amount to big.

5

Hi,

urgently need an answer to following

i enter buy 1million shares IBM US 20% of volume as a Parent order

Out of this Parent order i create 5 child orders 200k each

what happens now if the system is set up correctly

do i get 20% of volume of the 1million shares

or

do i get 5x20% which means a virtual 100% of vol that means a Mkt order?

allways thought a Parent order is the commanding order, which means that by no way the child order can generate more % then the original
Parent Order

See
http://fixprotocol.org/discuss/read/3b2ebff5

Third impression

DK if one order, six orders or five?

#1>1million shares IBM US 20% of volume
(one order, entirely sufficient)

#2>i create 5 child orders 200k each
(now we have six orders going to the sellside?)
may get 1m shares on order #1, then ANOTHER 1m shares on orders #2-#6

In FIXatdl there is no concept of a “sub order”. There are only multiple executions to the parent order. Reason: when we designed FIXatdl we did not want to impact whatsoever traditional the trade execution reporting. Multi leg ordering (beyond pairs) was a fuzzy area to be sure. Very party-to-party specific. Not much industry consensus that we found and virtually nill demand at that time (again, with the exception of pairs.)

Why create “sub orders”? That functionality should have been built into the parent algo - more parameters to drive execution up front. Entered as one algo order, to be executed “this way”…

Rick

Could not enter entire order because of limit, was to dollar amount to big.
thank you Rick

6

Hi,

urgently need an answer to following

i enter buy 1million shares IBM US 20% of volume as a Parent order

Out of this Parent order i create 5 child orders 200k each

what happens now if the system is set up correctly

do i get 20% of volume of the 1million shares

or

do i get 5x20% which means a virtual 100% of vol that means a Mkt order?

allways thought a Parent order is the commanding order, which means that by no way the child order can generate more % then the original
Parent Order
Hi,

II option