Algorithmic Cancel Replaces

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Imported from previous forum

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[ original email was from Jose Nunez - jnunez@bear.com ]
Hello All:

I was hoping I could receive some feedback on how to handle this Algo Cancel Replace.

Client enters an order with algo tags all populated with a start time of 09:30 and an end time of 16:00.

On the Cancel Replace message - they make their order updates but send the original start time (09:30)and end time(1600).

The questions I have are:

Would you accept the order or would you reject it? Why?
How do you handle the Algo Tags in the replace? (Do you expect them to be updated with new info?)

  • Andy
3

Andy,

We have found that it is standard across a majority of brokers to require that we send the original parameter tags including the updated tags.

If someone was to remove a parameter (the trader doesn’t want an end time anymore) only then would the Cancel Replace message omit that optional tag.

So for your example you would except the order and compare the custom tags on the CancelReplace to the tags on the original order to determine what needs to change.

Thanks,
Shawn Inslee
Advent Software Inc.

Hello All:

I was hoping I could receive some feedback on how to handle this Algo
Cancel Replace.

Client enters an order with algo tags all populated with a start time of
09:30 and an end time of 16:00.

On the Cancel Replace message - they make their order updates but send
the original start time (09:30)and end time(1600).

The questions I have are:

Would you accept the order or would you reject it? Why? How do you
handle the Algo Tags in the replace? (Do you expect them to be updated
with new info?)

  • Andy
4

[ original email was from Daniel Saad - dsaad@transacttools.net ]
> Hello All:

I was hoping I could receive some feedback on how to handle this Algo
Cancel Replace.

Client enters an order with algo tags all populated with a start time of
09:30 and an end time of 16:00.

On the Cancel Replace message - they make their order updates but send
the original start time (09:30)and end time(1600).

The questions I have are:

Would you accept the order or would you reject it? Why? How do you
handle the Algo Tags in the replace? (Do you expect them to be updated
with new info?)

  • Andy

Andy,

In FIX, the general rule would have to client update the price/qty, etc. while leaving all other fields the same. In this case, you’d accept the Cancel/Replace Request.

However, you may impose a more rigid level of validation based on the type of Algorithim and how these fields are used. In this case, you might reject the Cancel/Replace Request.

Daniel Saad
TransactTools, Inc

5

[ original email was from John Prewett - jprewett@lavatrading.com ]
> Hello All:

I was hoping I could receive some feedback on how to handle this Algo
Cancel Replace.

Client enters an order with algo tags all populated with a start time of
09:30 and an end time of 16:00.

On the Cancel Replace message - they make their order updates but send
the original start time (09:30)and end time(1600).

The questions I have are:

Would you accept the order or would you reject it? Why? How do you
handle the Algo Tags in the replace? (Do you expect them to be updated
with new info?)

  • Andy

Hi Andy,

Most order processing venues want to accept as many orders as they can to maximize revenue. Thus they define the rules on what they are willing to accept to be as liberal as possible provided that the intention is unambiguous.

Many algorithmic venues will accept a StartTime that has already elapsed. In that case, it means “start right now”. This also handily solves the situation where an order is sent at 9:40:00am with a start time of 9:40:00am and due to whoever’s latencies, the algorithm receives it at 9:40:01am.

With respect to tags and values on replacement orders, we always tell our customers to send all tags that they want on the replacement order. If they don’t send a tag, how can the receiver determine whether the sender deliberately wanted to remove the tag or wanted the tag to carry-over from the original order? As such, we carry over nothing from the original order. All tags you desire must be submitted on the replacement. Validation rules are then enforced subject to application requirements. For example, we won’t let the user modify the Side, Symbol etc,.

I hope this helps.

JohnP

6

[ original email was from Greg Malatestinic - Greg.Malatestinic@reuters.com ]
Hi all,

I think the best course of action would be to find out from the algo providers themselves how they handle this situation. John P.'s analysis is quite correct, but I wouldn’t be surprised if there were some subtle differences amongst the providers when you compare how they hanlde this.

Any brokers out there want to weigh in?

-Greg