Imported from previous forum
I have several questions:
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We have a concept in our product of algo parameters and related UI components that are applicable when ‘no’ strategy is selected. Does FIXatdl have anything similar?
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Is there a way in the xml to specify which strategy is the ‘default’ strategy to initially be selected?
I’ll chime in on #2 as well… The standard is silent about the order in which the algorithms are to appear. This is one of the many areas where FIXatdl leaves it up to the E/OMS to decide. However you’ll will find that most atdl-supporting E/OMSs present the choices to the user in the same order as they appear in the file.
If I were to design a new trading system, though, I’d build an admin utility that would allow me to explicitly entitle users to particular algorithms. Much in the way market data entitlements are handled. I’d also allow a default or sort-order to be defined on a user-by-user basis. I suppose we left this functionality out of FIXatdl because we assumed E/OMSs would have this type of utility.
Cathy,
Greg and Steve make excellent points. Just want to add on one more fringe concept that might fit if you are in a preliminary system design phase.
The WG found trading environments were there were two “classes” of traders - “senior gurus” and “rank and file”. For instance in a market making operation you might have 20 individual traders making markets in 1-3 stocks each. Upstairs you might have 1-2 traders, the “senior gurus” who set policy for all the “rank and file” traders and then they take firm-wide aggregate positions on the opposite side of the 20 individual traders roughly aggregated in an attempt to be more or less market neutral firm wide.
When a bulge bracket firm creates a FIXatdl file it generally contains all the strategies with all the options enabled.
In the above situation that “full feature” file would go to the Guru traders only, who set the firm policy. On their workstations they would have access to all the strategies.
The Guru’s however may want to greatly simplify and constrain the use of the algos by the “rank and file” traders.
In this case the Guru’s in effect OVERRIDE and EXTEND the FIXatdl file as it comes into the firm. They eliminate strategies all together, eliminate higher risk options and set many default values. That “simplified” suite then goes out to the rank and file traders.
All the traders workstations and OMS can be the same. Its just that some traders (the rank and file) get that simplified, “firm approved” FIXatdl file while others (the guru’s) get the full feature original FIXatdl file.
In such systems each trader should be authorized for each strategy. All that authorization (along with position limits, throttling of orders, etc.) is handled outside of the FIXatdl standard. In many trading environments however those types of individual trader controls are exceedingly important.
Rick