FIX Routing for Parent Algos and Exchange Child Orders

Summary

This document describes an order-routing adapter that connects algorithmic parent orders and exchange-facing child orders through FIX messages. It maps exchanges, order types, directions, and statuses between two systems. A parent order carries the instrument, side, quantity, optional limit price, selected algorithm type, and an end time; the adapter records its settings and exposes parameter and status updates. The listed algorithm templates include VWAP, TWAP, percentage-based execution, price-inline, sniper, and DMA variants.

The child-order application receives new and cancel requests, translates them into local order objects, and tracks execution reports and trades. Parent identifiers are used to associate child orders with their settings, while stale parent updates are canceled. The excerpt is incomplete, so parts of child order handling cannot be assessed. It documents integration plumbing rather than execution performance: there are no slippage, market impact, benchmark, or reliability results, and correct behavior depends on consistent FIX fields, mappings, session state, and identifier tracking.

Key ideas

• The adapter translates order fields and statuses between a local trading system and FIX.
• Parent orders specify instrument, side, quantity, order type, algorithm, and an end time.
• Child order and cancel messages are associated with parent settings through identifiers.
• Execution reports update parent algorithm status and reported progress.
• The code lists several execution algorithm types but provides no comparative performance evidence.

Tags

From a private course collection; the original is not published.