Custom strategy codes on TradeCaptureReport

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1

Hello all,

We are currently investigating using FIX messaging to replace existing file-based processes between ourselves and our clients or their vendors.

The intended process will have them report message type AE to us, as we play no part in trade execution. AE seems to have everything we need, but looking through the specs I don’t see one field we would need, a way for a client to specify what strategy they want the trades associated with. So, for example one trader could buy shares in Microsoft as part of a firms AI strategy and another trader might do an identical trade as the firm is long US equities in general, and so on.

Is there a tag for this as part of the AE message? The strategy codes I can see all relate to multi-leg trades for matching events, but the code we need would be for longer term tracking of the performance of a number of trades over time.

Thanks in advance!

Regards

Dan

2

An AE message is usually used after the trade has completed. So are you looking to capture that the trade was executed using a certain strategy?

Also by “strategy” related to multi-leg trades are you referring to strategies such as a butterfly strategy? Or are you referring to an algo strategy?

3

The current use of the term “Strategy” is indeed about atomic trades consisting of multiple legs. You are looking for a field to group trades together and give that group a name that relates to a certain trading approach (avoiding the terms “strategy” and “algo” here). Unless you are using the following field for something else, you could use TradeLinkID(820) for your purpose, defining your own set of values. The field has a string datatype so that you can call it whatever you like.

4

This is exactly what I needed, thank you!