Imported from previous forum
Is Tag 21 related to algorithmic trade?
In the sense Does 21=1 or 21=2 means Algorithmic trade without or with Broker Intervention
and
21=3 means no algorithmic Trade, and broker has to enter manual trade.
If the above is not true, how can one determine if the order is algo trade?
The reason for this is that for the same broker, there are different codes for Algo and normal trades. The FIX message should pick the broker code based on if the trade is Algo or not. So need help on this.
Tag 21 (HandlInst) is defined as "Instructions for order handling on Broker trading floor" and was introduced with FIX 2.7 which was released in July 1994, well before algo trading existed. It is a tag provided by the order submitter and merely echoed in the ExecutionReport, i.e. it is not an attribute of an execution or trade.
Have a look at OrderRestrictions(529) which allows you to distinguish D=Non-algorithmic and E=Algorithmic.
There are recent extensions to FIX to identify the algo used for the order. The FIX 4.2 tag ComplianceID(376) was chosen to carry such an ID and, if present, implies the fact that resulting trades are algo trades. The extension was triggered by the German HFT Act but is generic and can be used for any regulatory regime requiring the identification of an algo on order submissions, executions or trades.
@Prasad: As i understand your scenario, you need to send the proper location codes to the exchange depending on an algo / manual trade. Please correct me if my understanding is wrong.
If my understanding is correct then you can use a custom tag to define the algo / nonalgo parameters which needs to be sent in the incoming order.
In my OMS I use a custom tag 9401 , where 9401=0 represents algo and 9401=1 represents nonalgo, based on which the location code is changed accordingly and sent to exchange.
Sudhir
User-defined tag 9401 is called ReRoutedPrice, has been registered by Bloomberg and is defined as follows:
“Denotes the Execution Price of a Re-Routed Order.” It should not be used for a different purpose as users can expect to rely on the official publication of these tags (http://www.fixtradingcommunity.org/pg/structure/tech-specs/additional-resources/user-defined-fields/user-defined-fields-tab-1).
User-defined tags between 20000 and 39999 are not public and can be defined in whatever way, i.e. multiple definitions for the same tag number are not prevented by FIX.
For the given case I do not see a need for a user-defined tag as mentioned in my earlier post above.