The problem is interface consistency. Sure, there is the FIX Protocol 'standard' that most algorithmic engines use. However, even FIX is stretched to its limit when dealing with algos.
So here's my suggestion to all of you who write algo engine interfaces... attend the FIX Protocol's Algorithmic Trading Working Group and figure this all out!
The diversity in describing an algo (FIX fields, values, etc) are costing all of us time and money. Time to read and understand these so called specifications and money to constantly keep changing our Order Management Systems (OMS) to keep up with your so called great ideas (like calling an order a 'day' order when it really is a 'good until cancel').
Is it really that hard to specify the fundamentals of trading:
- price
- time
- volume
- aggressiveness
- strategy
Furthermore, quite honestly, algos are money loosing ventures except for folks like me... We have to keep changing software to interface your silly algo engines so we keep getting a paycheck! However, CFOs are none to happy when passed in the hall and thanked by the likes of me for paying me in ever increasing amounts to invest in money losing ventures like algorithmic trading.
I now return you to your regularly scheduled production outage...
Posts
1 comment:
The new algo standard is cool. You just drop in new strategies.
O.K., I admit there are many stupid algos out there. However several such as: AutoReload, Dynamic Scaling, Get Me Done, Guerrilla, Iceburg, Participate, Scouter, Sit 'n Pounce, Sniper, Sontar, Sumit Runner are fairly cool. They are just another tool in the trading toolkit to be used well or abused like anthing else.
The new standard at FIX makes them easy for the sell-side to get new algos out to the buy-side customers.
Buy and hold works good but sooner or later clients change or need money, or have more money to invest. Some of these things enable you to deligate stuff to a machine that you would otherwise have to work by hand.
Rick
Post a Comment