Algorithmic Trading Extensions in 4.4

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Imported from previous forum

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I was wondering whether the GTC Approved Algorithmic Trading Extensions summarized in the document below have been approved for FIX 4.4, or only for 5.0 (in other words - are these extensions officially a part of FIX 4.4).

http://www.fixprotocol.org/documents/1886/Algorithmic%20Trading%20Proposed%20Extensions%20v1.0.doc

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At the time of the approval of these extensions (June 2005), FIX 4.4 was already published for two years (Apr 2003). FIX does not add functionality to previous releases but may add user-defined tags in parallel to new standard tags. Hence, the extensions shown in the document are officially part of FIX 5.0. However, the document specifically addresses the options for FIX 4.4 users as to how they can use the extensions. Here are the related excerpts describing two options:

For firms / vendors that cannot support custom repeating groups in earlier versions of FIX, the strategy tags can be passed in tag 847 & 848 as follows:

  • Tag 847 will contain the strategy identifier
  • Tag 848 will contain a series of semi-colon delimited Tag:Value pairs
  • In the above example, tag 847 & 848 will be populated as follows:
    847=1
    848=957:2; 958:ParticipationRate; 959:11; 960:0.4; 958:Aggressiveness; 959:13; 960:Y

For firms / vendors that cannot implement tag 847, 848, 957-960 in earlier versions of FIX, they can use the corresponding user defined tags in the 5000 series – 5847, 5848, 5957-5960.

Regards,
Hanno.

I was wondering whether the GTC Approved Algorithmic Trading Extensions summarized in the document below have been approved for FIX 4.4, or only for 5.0 (in other words - are these extensions officially a part of FIX 4.4).

http://www.fixprotocol.org/documents/1886/Algorithmic%20Trading%20Proposed%20Extensions%20v1.0.doc

4

Thanks Hanno!

At the time of the approval of these extensions (June 2005), FIX 4.4 was already published for two years (Apr 2003). FIX does not add functionality to previous releases but may add user-defined tags in parallel to new standard tags. Hence, the extensions shown in the document are officially part of FIX 5.0. However, the document specifically addresses the options for FIX 4.4 users as to how they can use the extensions. Here are the related excerpts describing two options:

For firms / vendors that cannot support custom repeating groups in earlier versions of FIX, the strategy tags can be passed in tag 847 & 848 as follows:

  • Tag 847 will contain the strategy identifier
  • Tag 848 will contain a series of semi-colon delimited Tag:Value pairs
  • In the above example, tag 847 & 848 will be populated as follows:
    847=1
    848=957:2; 958:ParticipationRate; 959:11; 960:0.4; 958:Aggressiveness; 959:13; 960:Y

For firms / vendors that cannot implement tag 847, 848, 957-960 in earlier versions of FIX, they can use the corresponding user defined tags in the 5000 series – 5847, 5848, 5957-5960.

Regards,
Hanno.

I was wondering whether the GTC Approved Algorithmic Trading Extensions summarized in the document below have been approved for FIX 4.4, or only for 5.0 (in other words - are these extensions officially a part of FIX 4.4).

http://www.fixprotocol.org/documents/1886/Algorithmic%20Trading%20Proposed%20Extensions%20v1.0.doc