VWAP orders using FIX 4.0

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Imported from previous forum

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[ original email was from Joanne Keane - keane@susq.com ]
Hi,

I’m looking for information on how to support VWAP orders using FIX 4,0. Does anyone have any experience/suggestions in supporting this msg type?

I’m thinking about using Tag 40=OrdType, P=Pegged, but not sure if there are any better tags to use.

I’d be grateful for any assistance !

Thanks
Joanne Keane

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Joanne
In FIX 4.2 the ‘ordertype’ ‘peg to VWAP’ was introduced being a combination of a ‘pegged’ order type (40=P) with ExecInst of ‘peg to VWAP’ 18=W - the value of W was new to FIX 4.2)

Whilst this combination of tags and values could be used to send a broker an order to work in VWAP style, pegging would normally refer to the process of the automatic amending of the price of an order put on an orderbook/ECN based on some reference price (such as current bid/offer) ± a spread, and this is not what happens with a VWAP order sent to a broker who would tiemslice the order over the time period specified in order to achieve an average price as close as possible to the VWAP for that period.

In short, FIX does not currently fully address sending VWAP orders from buy to sell side and if there is enough interest we can work at this for the next(4.4)release of the protocol.

In the meantime one option in 4.0 is to use the peg order type but ‘borrow’ the 4.2 ExecInst value of W, or alternatively use bilaterally agreed user defined tags with your counterparty.

> Hi,
>
> I’m looking for information on how to support VWAP orders using FIX 4,0. Does anyone have any experience/suggestions in supporting this msg type?
>
> I’m thinking about using Tag 40=OrdType, P=Pegged, but not sure if there are any better tags to use.
>
> I’d be grateful for any assistance !
>
> Thanks
> Joanne Keane
>