Some exchanges may require special flagging of order requests generated algorithmically. Such orders are required to have identifier of the algorithm that produced them, namely Regulatory Algorithm ID.
“Algorithm” refers both to client-side and to CQG gateway algorithms, such as a trailing order worked by CQG gateway.
CQG gateway provides the ability for both specifying and reporting algorithm identifiers with new fields in order request and execution report messages.
|
Tag |
Name |
Format |
Comment |
|
20124 |
ClientRegulatoryAlgorithmID |
Int, valid range 0.. 4294967295 (unsigned 32-bit) |
Regulatory Algorithm ID for client algorithm associated with this order, if any. If specified in an order request message, this field is applicable only for exchanges that use it, e.g. Eurex. CQG gateway either passes this value to the exchange (when no CQG gateway algorithm is applied to the order) or combines it with the CQG gateway algorithm applied to create a unique overall algorithm ID for the order. Execution Report message echoes back the value from latest order request. |
|
20125 |
EffectiveRegulatoryAlgorithmID |
Int, valid range 0.. 4294967295 (unsigned 32-bit) |
Used in Execution Report messages and contains Regulatory Algorithm ID sent to exchange for this order, if any. Will differ from ClientRegulatoryAlgorithmID if any CQG gateway algorithm was applied to the order. |
Reference: Eurex circular "Information on algorithm flags and identification (“algo-flagging”)" (https://www.eurexchange.com/exchange-en/resources/circulars/650768/)