TargetStrategy Field in 4.4

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1

Imported from previous forum

2

Hi,

In version 4.4, how are the different strategies typically supported?

Can value 1000 for TargetStrategy be used to specify additional types of Strategies?

Are there examples I can reference of how TWAP, % Volume, and other strategies have been implemented using 4.4 fields?

I found that there are 2 fields:

  1. TargetStrategy (847) field in which 3 specific strategies are supported (VWAP, Participate, Minimize Market Impact) and looks like there is a way to indicate other types of strategies using value 1000
  2. TargetStrategyParameters (848); assuming this is where additional parametes for the specific strategy can be specified. Please verify.

Thank you in advance for your help.
Rich

3

Tag 847 is rarely used to indicate the target strategy or algorithmic order type - mostly due to the fact that it must contain an integer value, which is a bit limiting.
The most common practice is to use a user-defined tag to hold a value which indicates the strategy where the values are custom-string values. Other strategy parameters are typically placed in user-defined fields as well. Tag 848 is rarely used for this purpose.

You should also consider the repeating group that starts with tag 957 as a means to transmit custom parameters. For example:
957=1|958=Aggression|959=1|960=5
indicates one custom parameter named “Aggression” which is an integer and has a value of 5.

-Greg

Hi,

In version 4.4, how are the different strategies typically supported?

Can value 1000 for TargetStrategy be used to specify additional types of Strategies?

Are there examples I can reference of how TWAP, % Volume, and other strategies have been implemented using 4.4 fields?

I found that there are 2 fields:

  1. TargetStrategy (847) field in which 3 specific strategies are supported (VWAP, Participate, Minimize Market Impact) and looks like there is a way to indicate other types of strategies using value 1000
  2. TargetStrategyParameters (848); assuming this is where additional parametes for the specific strategy can be specified. Please verify.

Thank you in advance for your help.
Rich