Call for Participation: FPL Algorithmic Trading Integration Workshop - December 14th 9:30-11:30AM ET

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Imported from previous forum

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The market continues to have an increasing number of algorithmic providers (>30) and strategies per provider (between 4-10). The current model is for algorithmic providers to develop specifications that reflect the access requirements of their algorithmic strategies. This typically involves two types of modifications to existing order routing systems:

  1. Modify FIX gateway to support custom tags
  2. Modify OMS order entry front-end to incorporate the algorithmic parameters

The current process that firms use to distribute their algorithms on third party platforms is to develop rules of engagement for using FIX. This document typically describes the strategies, defines custom tags, and suggests user interface requirements. Unfortunately, every time providers want to add new strategies (or refine existing strategies) they need to invent new tag numbers, update their specifications and wait for the clients/vendors to code them up and release new versions of the interfaces.

From a client/vendor perspective this issue is multiplied/complicated by the number of brokers they use for algorithms. Since OMS vendors typically do not release new functionality to all of their clients at the same time, algorithmic providers need to potentially manage multiple versions of their FIX specifications against what the various vendors/clients have coded.

The FPL Algorithmic Working Group recently created a document entitled “Proposed Algorithmic Trading Extensions” which has the stated goal of supporting unlimited algorithmic parameters in a standardized manner with the major implication being that the solution is data driven. The document introduced several new tags (957, 958, 959 and 960) in a repeating group structure which allows for counterparty agreement of algorithmic parameters. Every time a broker wants to add a new strategy or parameter to an existing strategy they would not have to come up with new tag numbers. Further strategies or refinement to existing strategies would be handled by providing the client/vendor with the appropriate values for Tags 958 (StrategyParameterName) and 959 (StrategyParameterType). From a FIX perspective, the buy-side clients/vendors only have to code support for tags 957, 958, 959 and 960 in their FIX gateways. However, this approach only solves one part of the problem. The biggest challenge will be how vendors/clients will represent these new features on their front-ends.

We would like to invite you to a workshop on Wednesday, December 14th at 9:30AM ET to discuss the current challenges around algorithmic integration, review the current FIX algorithmic proposal and evaluate potential solutions around algorithmic UI issues. Details for this meeting are listed below. If you are interested in attending this workshop please contact the FPL Program Office at fpl@fixprotocol.org or call + 1 212 652 4469. Please note that registration is mandatory.

Date/Time
December 14th, 2005 – 9:30AM-11:30AM ET

Location
Lehman Brothers
Host – John Goeller, FPL Americas Regional Co-Chair
745 Seventh Avenue - 26th Floor - Conference Room 26B
New York, NY 10019

Dial-in Information
US: 800-503-2899
US Toll: 303-248-0817
UK: 0800-9171876
Japan: 005-31160306
Hong Kong: 800-967980
Participant code: 5613348

Mute: *6
Unmute: *7
Assistance: 00

Agenda

  1. Discuss challenges with current algorithmic integration approaches
  2. Review recent FPL algorithmic trading extensions proposal
  3. Evaluate approaches for algorithmic user interface integration
  4. Next steps

Once again, if you are interested in attending this workshop please contact the FPL Program Office at fpl@fixprotocol.org or call + 1 212 652 4469. Please note that registration is mandatory.

Regards,
FPL Program Office
c/o Jordan & Jordan
5 Hanover Square
New York, NY 10004
Phone: + 1 212 652 4469
Fax: + 1 212 422 8570
www.fixprotocol.org