VWAP trading

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Imported from previous forum

2

Hi All,

Just want to see what is the correct way to instruct the sell-side to perform a VWAP trade, by using the tag 847 (TargetStrategy) or the tag 18 (ExecInst with a value of W)? And what are the differents between using both?

Thanks

3

[ original email was from KEVIN YOUNG - KY0UNG@AIM.COM ]
TargetStrategy didn’t officially enter the FIX Protocol until 4.4 lead by GSCO and CSFB; prior to that it was a user defined field used differently by different brokers (i.e BOFA EASE used 5900/5901). While ExecInst have been around forever, W = ‘Peg to the VWAP’ has only been around since 4.2.

Depending on your destination and what FIX version they use, it will usually be a mutual agreed field. Your broker will most likely accept a FIX 4.x message with tag 847, or they will have a custom tag defined in their FIX API specification.

Hi All,

Just want to see what is the correct way to instruct the sell-side to
perform a VWAP trade, by using the tag 847 (TargetStrategy) or the tag
18 (ExecInst with a value of W)? And what are the differents between
using both?

Thanks

4

In equities a lot of brokers follow 6060’s series tags introduced by CSFB, e.g.:

6062 StartTime
6063 EndTime
6065 ExecutionStyle ( = VWAP or other strategy)
etc.

Still, there is no single standard for algo tags. Most brokers, especially the large ones, have many customizations. Merrill Lynch, for example, follows 6400-series tags.

To see a somplete list of tags used by CSFB, Merrill and other brokers, search for their names in the FIX User Defined Fields Repository:

http://fixprotocol.org/specifications/fields/6000-6999

Best,
Dmitri Nadot
Equities Trading Technology
Merrill Lynch
dmitri_nadot@ml.com
212-449-4946

TargetStrategy didn’t officially enter the FIX Protocol until 4.4 lead
by GSCO and CSFB; prior to that it was a user defined field used
differently by different brokers (i.e BOFA EASE used 5900/5901). While
ExecInst have been around forever, W = ‘Peg to the VWAP’ has only been
around since 4.2.

Depending on your destination and what FIX version they use, it will
usually be a mutual agreed field. Your broker will most likely accept a
FIX 4.x message with tag 847, or they will have a custom tag defined in
their FIX API specification.

Hi All,

Just want to see what is the correct way to instruct the sell-side to
perform a VWAP trade, by using the tag 847 (TargetStrategy) or the tag
18 (ExecInst with a value of W)? And what are the differents between
using both?

Thanks

5

[ original email was from Greg Malatestinic - greg.malatestinic@reuters.com ]
I recommend that you consult with each broker to find out which tag to use. Some brokers will accept tag 847, some will not and will use a custom tag.

The Algo Working Group has proposed an extension that deals with this issue. It recommends using tag 847 to declare the strategy and a repeating group starting at tag 957 to declare the parameters.

Until this is adapted you’ll still need to work this out with each broker.

In equities a lot of brokers follow 6060’s series tags introduced by CSFB, e.g.:

6062 StartTime 6063 EndTime 6065 ExecutionStyle ( = VWAP or other
strategy) etc.

Still, there is no single standard for algo tags. Most brokers,
especially the large ones, have many customizations. Merrill Lynch, for
example, follows 6400-series tags.

To see a somplete list of tags used by CSFB, Merrill and other brokers,
search for their names in the FIX User Defined Fields Repository:

http://fixprotocol.org/specifications/fields/6000-6999

Best, Dmitri Nadot Equities Trading Technology Merrill Lynch
dmitri_nadot@ml.com 212-449-4946

TargetStrategy didn’t officially enter the FIX Protocol until 4.4 lead
by GSCO and CSFB; prior to that it was a user defined field used
differently by different brokers (i.e BOFA EASE used 5900/5901). While
ExecInst have been around forever, W = ‘Peg to the VWAP’ has only been
around since 4.2.

Depending on your destination and what FIX version they use, it will
usually be a mutual agreed field. Your broker will most likely accept
a FIX 4.x message with tag 847, or they will have a custom tag defined
in their FIX API specification.

Hi All,

Just want to see what is the correct way to instruct the sell-side
to perform a VWAP trade, by using the tag 847 (TargetStrategy) or
the tag 18 (ExecInst with a value of W)? And what are the differents
between using both?

Thanks