Imported from previous forum
I have a situation where a portfolio algorithm should be disabled when only a single name is selected to be a part of a wave. The ATDL standard supports a strategy-level attribute called totalOrders, that indicates the total number of orders in a portfolio/list wave. However, I am unclear about how to express a workflow rule that references this attribute. Ideally, the workflow rule should look like:
<targetStrategy name=”My Portfolio Strategy” enabled=”true”>
Can something like that be accomplished?
Thank you,
Alex
Alex,
Only GUI controls can be disabled. An algorithm itself cannot be disable via the mechanisms of ATDL. It is up to the OMS/EMS to know which algorithms are for single orders, pairs and baskets and present them to the user at the appropriate times. Determining this should be done during the importing process (when an ATDL file is uploaded into the OMS/EMS) and is out of ATLD’s scope.
The attribute totalOrders is used to indicate that the broker wishes to recieve basket orders in a group of NewOrderSingle messages tied together by a common indentifier. This common idenitifier (or basket ID) is placed in the tag reference by commonIdentifierTag. So when uploading a strategy look to see if this attribute is provided, if it is then it is a basket algorithm.
-Greg
I have a situation where a portfolio algorithm should be disabled when
only a single name is selected to be a part of a wave. The ATDL standard
supports a strategy-level attribute called totalOrders, that indicates
the total number of orders in a portfolio/list wave. However, I am
unclear about how to express a workflow rule that references this
attribute. Ideally, the workflow rule should look like:
<targetStrategy name=”My Portfolio Strategy” enabled=”true”>
Can something like that be accomplished?
Thank you,
Alex
Greg,
Thank you for the reply!
It would be great if future versions of the specification provided optional support for the wave context, i.e. controls can be enabled/disabled/altered based on the order count.
Best regards,
Alex
P.S. I apologize for the incorrectly posted XML sample. I hope that the following will come out better on the forum:
<stateGroup>
<targetStrategy name=”My Portfolio Strategy” enabled=”true”>
<strategy field=”totalOrders” operator=”GT” value=”1”/>
</targetParameter>
</stateGroup>
Alex, Only GUI controls can be disabled. An algorithm itself cannot be
disable via the mechanisms of ATDL. It is up to the OMS/EMS to know
which algorithms are for single orders, pairs and baskets and present
them to the user at the appropriate times. Determining this should be
done during the importing process (when an ATDL file is uploaded into
the OMS/EMS) and is out of ATLD’s scope. The attribute totalOrders is
used to indicate that the broker wishes to recieve basket orders in a
group of NewOrderSingle messages tied together by a common indentifier.
This common idenitifier (or basket ID) is placed in the tag reference by
commonIdentifierTag. So when uploading a strategy look to see if this
attribute is provided, if it is then it is a basket algorithm.-Greg
I have a situation where a portfolio algorithm should be disabled when
only a single name is selected to be a part of a wave. The ATDL
standard supports a strategy-level attribute called totalOrders, that
indicates the total number of orders in a portfolio/list wave.
However, I am unclear about how to express a workflow rule that
references this attribute. Ideally, the workflow rule should look
like: <targetStrategy name=”My Portfolio Strategy”
enabled=”true”>Can something like that be accomplished?
Thank you,
Alex