Algo Trading Support

, , ,
1

Imported from previous forum

2

Hi,

wanted to know what’s the difference in Algo trading support in version 4.2 versus 4.4?

Thanks.
Rich

3

wanted to know what’s the difference in Algo trading support in version 4.2 versus 4.4?

Nothing really. Most algo providers use unique user defined fields for each strategy parameter in FIX 4.2. FIX 4.4 has a single string, TargetStrategyParameters(848), that can contain a set of parameters, however, delimiters and datatypes were not defined, thus, if using FIX 4.4, one is likely using the same unique user defined fields approach as FIX 4.2. Certainly for equities, in the real world, you’ll find most firms continue to use FIX 4.2 for algo orderflow.

FIX 5.0 improved this by adding a repeating group NoStrategyParameters(957) consisting of StrategyParameterName(958), StrategyParameterType(959), and StrategyParameterValue(960) providing the ability to express a set of parameters for a strategy without having to use user defined fields for each one. It has been recommended that users of earlier versions adopt this same flexible repeating group approach. FIXatdl makes this even easier to express (presumably to implement) as the algo provider (author of the file) can simply specify tag957Support=“true” on the element.

4

Thanks for your response - this helps!
Rich

wanted to know what’s the difference in Algo trading support in version 4.2 versus 4.4?

Nothing really. Most algo providers use unique user defined fields for each strategy parameter in FIX 4.2. FIX 4.4 has a single string, TargetStrategyParameters(848), that can contain a set of parameters, however, delimiters and datatypes were not defined, thus, if using FIX 4.4, one is likely using the same unique user defined fields approach as FIX 4.2. Certainly for equities, in the real world, you’ll find most firms continue to use FIX 4.2 for algo orderflow.

FIX 5.0 improved this by adding a repeating group NoStrategyParameters(957) consisting of StrategyParameterName(958), StrategyParameterType(959), and StrategyParameterValue(960) providing the ability to express a set of parameters for a strategy without having to use user defined fields for each one. It has been recommended that users of earlier versions adopt this same flexible repeating group approach. FIXatdl makes this even easier to express (presumably to implement) as the algo provider (author of the file) can simply specify tag957Support=“true” on the element.