Imported from previous forum
Advent has recently begun certifying with brokers that allow algorithmic trading via the development of custom tags on New Order Single message types and CancelReplace message types. Our users have expressed interest in changing the algorithmic parameters, such as end time or aggressivness of the strategy trade. Currently, only about 20% of the brokers we are certifying with allow changes to the cutom tags in a CancelReplace (most allow changes to shares and limit price). Can I get some feedback from other OMS vendors or certifying parties on what they have seen when certifying with these brokers; do a larger percentage support changes to the strategy parameters then what I have seen?
[ original email was from steve cook - steve.cook@orcsoftware.com ]
The brokers we’ve dealt with that support this feature have only recently added it, so I suspect we’ll see the others add support in time.
thanks
Steve Cook
ORC Software
Tel: +852 2167 1953
Advent has recently begun certifying with brokers that allow algorithmic
trading via the development of custom tags on New Order Single message
types and CancelReplace message types. Our users have expressed interest
in changing the algorithmic parameters, such as end time or
aggressivness of the strategy trade. Currently, only about 20% of the
brokers we are certifying with allow changes to the cutom tags in a
CancelReplace (most allow changes to shares and limit price). Can I get
some feedback from other OMS vendors or certifying parties on what they
have seen when certifying with these brokers; do a larger percentage
support changes to the strategy parameters then what I have seen?
Our experience has been that since the algo messages are largely done in custom tags, most OMS systems don’t recognize those tags in their cxl/replace logic. For example a Passive/VWAP Buy order of IBM with , that gets changed to aggressive doesn’t get accepted by the algo servers because the passive/aggressive parameter is in a custom tag. Because of this the OMS sees a cancel replace for identical information for a BUY of IBM.
I’m not sure this can ever be truly standardized because brokers who offer Algos are looking to differentiate themselves from each other. One of the differentiators is the number of parameters that the algo can accept. I have seen implementations that can have up to 10+ parameters available for one algo. Software providers who rely on the standard list of tags will by definition be eliminating the opportunity for differentiation.
[ original email was from Daniel Clayden - daniel.j.clayden@jpmorgan.com ]
I would concur that most algorithms, and certainly the more advanced algorithms such as the ones offered by my firm, make use of custom tags. And I believe there will always be a wish by brokers to continue to differentiate their algorithmic offerings. It therefore seems almost oxymoronic to talk about “standardising” custom tags.
However, there is an initiative underway led by the Algorithmic Trading Working Group to look at just this - i.e finding a way to standardise common tags… (a) by looking at existing brokers’ offerings and (b) by inventing a flexible FIX framework to support unlimited algorithm parameters in a standard manner.
There is another, complementary idea, which we at JPM are actively investigating. Our idea is to define a common XML schema, which can be used to describe details of algorithms, their parameters, what FIX tag(s(s) those parameters map too, and also how these algorithms should be displayed in third-party OMSs. I’ve been playing around with GUI definition languages such as XUL etc investigating the feasiblility of this last point.
The way I see it, the key advantage of coming up with a “standard” XML schema is faster/easier/cheaper integration of new / changed algorithms into 3rd party OMSs, and the ability to support unlimited custom tags. When coupled with a generic way of describing how to display / render an algorithm its parameters on a GUI, its a very powerful extension. And the nice thing about XML is its text, so it could very easily be embedded as text in an existing FIX message.
I would very much like to hear from any OMS vendors who might be interested in helping us take this idea further.
[ original email was from John Goeller - jgoeller@lehman.com ]
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I would concur that most algorithms, and certainly the more advanced
algorithms such as the ones offered by my firm, make use of custom tags.
And I believe there will always be a wish by brokers to continue to
differentiate their algorithmic offerings. It therefore seems almost
oxymoronic to talk about “standardising” custom tags.However, there is an initiative underway led by the Algorithmic Trading
Working Group to look at just this - i.e finding a way to standardise
common tags… (a) by looking at existing brokers’ offerings and (b) by
inventing a flexible FIX framework to support unlimited algorithm
parameters in a standard manner.There is another, complementary idea, which we at JPM are actively
investigating. Our idea is to define a common XML schema, which can be
used to describe details of algorithms, their parameters, what FIX
tag(s(s) those parameters map too, and also how these algorithms should
be displayed in third-party OMSs. I’ve been playing around with GUI
definition languages such as XUL etc investigating the feasiblility of
this last point.The way I see it, the key advantage of coming up with a “standard” XML
schema is faster/easier/cheaper integration of new / changed algorithms
into 3rd party OMSs, and the ability to support unlimited custom tags.
When coupled with a generic way of describing how to display / render an
algorithm its parameters on a GUI, its a very powerful extension. And
the nice thing about XML is its text, so it could very easily be
embedded as text in an existing FIX message.I would very much like to hear from any OMS vendors who might be
interested in helping us take this idea further.
[ original email was from John Goeller - jgoeller@lehman.com ]
I suggest the members of this Forum review the recently released document entitled Proposed Algorithmic Trading Extensions on the Algo Trading Working Group document archive. The idea, as stated, is to support unlimited algorithm parameters in a standardized manner with the major implication being that the solution is data driven.
Every time a broker wants to add a new strategy or parameter to an existing strategy they will 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.
The biggest challenge is how they will represent these tags on their front-ends. They would need to implement the concept of a strategy configuration/set-up tool in addition to being able to represent the strategies on the order ticket in their OMS. Your GUI XML concept may be a good fit to help solve this issue. The major benefit of this kind of approach is that vendors/clients would only have to do this development once.
The alternative to this approach (what we do today) is that every time brokers 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 client/vendor perspective this issue is multiplied/complicated by the number of brokers they use for Algos. It also further complicates the challenge of managing the multiple versions of Broker Algo FIX specifications that the vendors/clients have coded.
I would concur that most algorithms, and certainly the more advanced
algorithms such as the ones offered by my firm, make use of custom tags.
And I believe there will always be a wish by brokers to continue to
differentiate their algorithmic offerings. It therefore seems almost
oxymoronic to talk about “standardising” custom tags.However, there is an initiative underway led by the Algorithmic Trading
Working Group to look at just this - i.e finding a way to standardise
common tags… (a) by looking at existing brokers’ offerings and (b) by
inventing a flexible FIX framework to support unlimited algorithm
parameters in a standard manner.There is another, complementary idea, which we at JPM are actively
investigating. Our idea is to define a common XML schema, which can be
used to describe details of algorithms, their parameters, what FIX
tag(s(s) those parameters map too, and also how these algorithms should
be displayed in third-party OMSs. I’ve been playing around with GUI
definition languages such as XUL etc investigating the feasiblility of
this last point.The way I see it, the key advantage of coming up with a “standard” XML
schema is faster/easier/cheaper integration of new / changed algorithms
into 3rd party OMSs, and the ability to support unlimited custom tags.
When coupled with a generic way of describing how to display / render an
algorithm its parameters on a GUI, its a very powerful extension. And
the nice thing about XML is its text, so it could very easily be
embedded as text in an existing FIX message.I would very much like to hear from any OMS vendors who might be
interested in helping us take this idea further.