Dan,
I saw you are down at Cornell, I'm up in Syracuse (actually
Fayetteville) here so I thought I'd pop in here with some info:
>So far the OMS supports equity and options orders. Are there any plans for complex orders (tied option/stock transactions) and/or crossing orders?
I just wanted to make you aware of the new Algo standard coming down the
pike at FIX
for a general overview see the communications section of
http://en.wikipedia.org/wiki/Algorithmic_tradingFor more specifics see:
http://www.fixprotocol.org/working_groups/algowg/documentsTo get at the actual .xsd and .xml files register for free at FIX
http://www.fixprotocol.org/registerThen log in and return to the above documents directory.
There is also a pretty cool validator that Marketcetera wrote for that at:
http://trac.marketcetera.org/trac.fcgi/wiki/FIX/AlgoValidatorThe above standard is in final beta now. We have specifically made that
standard very multi asset friendly. In fact, as we speak we are working
up an example of how eSpeed can market an algo strategy involving
underlying treasury bonds and an interest rate future. We hope to have
that xml example ready for public release over the next month. The
standard supports an almost unlimited number of complex multi asset
strategies including pairs, lists, multi assets (any combination of
stocks, bonds, options, futures, derivatives, FX, etc). Not only that
but we are doing our best to insure that the XML will support all modern
foreign languages including character based Chinese, Japanese, Korean, etc.)
Remember, with the above standard, its possible to construct an OMS so
you can drop in the xml file, immediately render the GUI for any of the
multiple algo strategies contained within it on your screen, fill out an
order, hit enter, completely validate the order according to rules in
the XML, and then output that fully validated order in standard FIX
format back to the contra party that created the original xml file. Its
not a full OMS but it's all the info needed to drive the OMS in the
front end.
Not only will Sell Side firms be marketing algos that way but they are
also using the xml format to store their "for internal use only" algos
that are only used on their proprietary trading desks. By year end
Lehman Brothers will have all their algos (internal and external) run up
in the new xml format for live production use inside and outside the
firm. I understand Goldman Sachs will also do the same with their algo
group in London. eSpeed is looking to ditch their internally developed
trading protocol, and convert to FIX for all fixed income trading, using
the the new algo standard as the basis of their front end (OMS side),
and they are very multi asset oriented.
So, the functionality you are looking for may not be too far away.
Rick
PS - I saw that you were into peer-to-peer multicast and was wondering
if you ever looked at AMQP?
--
Rick Labs
CL&B Capital Management, LLC
7583 Hunt Lane
Fayetteville, NY 13066-2554
315-637-0915 x11
FAX 815-642-9396
Toli Kuznets wrote:
> Dan,
>
> Thanks for you interest in Marketcetera!
>
>
>> The ISE recently announced a new depth of book feed via the FAST protocol,
>> see
http://www.ise.com/depth. Any plans to support FAST, for instance via
>> the openfast.org Java library?
>>
>
> We definitely do plan on offering FAST support, but most likely
> that'll wait until the underlying Quickfix/J implementation supports
> that. We've talked to the guys behind OpenFAST and we talked with
> Steve Bate, the lead of QFJ and we are hoping to get it all working
> together.
>
>
>> So far the OMS supports equity and options orders. Are there any plans for
>> complex orders (tied option/stock transactions) and/or crossing orders?
>>
>
> We have an RFE to add a specific ticket for Forex
> (
http://trac.marketcetera.org/trac.fcgi/ticket/355), but we already
> have some custom implementations using Marketcetera for currency
> trading.
> The more complex orders will come a bit later - feel free to add an
> RFE for that with more details.
>
>
>> Also, is it possible for the OMS to connect to multiple brokers and route
>> orders according to various rules, e.g. sometimes commissions vary, etc?
>>
>
> Not yet - we have an RFE out for that as well:
>
http://trac.marketcetera.org/trac.fcgi/ticket/373> However, this one is is very high on our priority list, so we plan to
> have it implemented in the next major release.
>
> Feel free to add more details to that RFE if you have specific
> requirements. You can login as anon/market :
>
http://trac.marketcetera.org/trac.fcgi/wiki/Marketcetera/NewTicket>
>
--
Rick Labs
CL&B Capital Management, LLC
7583 Hunt Lane
Fayetteville, NY 13066-2554
315-637-0915 x11
FAX 815-642-9396
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