Tag Info

New answers tagged

2

To slice up an order you can use several execution strategies. TWAP which will execute small slices of your order over a time period VWAP which will spread your order over time and try to minimize slippage against the vwap benchmark for a given instrument POV which will split your order up into smaller chunks and attempt to keep your order filled as a ...


1

Most of the big players offer a suite of execution algorithms for big orders, as seen in this listing from Credit Suisse. Very generally speaking, the algorithms will have a pedigree going back to volume weighted average pricing schedules, or perhaps to the famous paper by Almgren and Chriss. They have various modifications, including use of "unusual" ...


0

According to http://javarevisited.blogspot.fr/2011/02/repeating-groups-in-fix-protcol.html: Repeating group are used to carry repeating data It starts with a particular tag which specifies how many repeating tags are present within repeating group A specific field identifies the beginning of a group new entry. Any tag which doesn't belong to repeating ...



Top 50 recent answers are included