REDI API - How can I retrieve algo parameters on open orders?

Brian.Mullane1
Brian.Mullane1 LSEG
in REDI API

(posting on behalf of a client who was asking)

Question

Is there a way to retrieve the algo parameters set on an order?

  • Order submitted to “VWAP DEMO” with Aggressiveness = High and Max Vol % = 5


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Best Answer

  • zoya faberov
    zoya faberov ✭✭✭✭✭
    Answer ✓

    Answer

    (included as it was provided)

    Yes, you can query Cache Control for the "custom" parameters.

    • For VWAP DEMO, "custom2" and "custom3" show the respective parameters

    Note, this varies by algo, so the parameters could be in any of the other "custom" field. Please reach out to your account representative for a mapping of algo parameters to custom fields.


    VB code:

    Sub DataSubscription_CacheEvent(ByVal Action As Long, ByVal ROW As Long)
    Dim I As Integer
    Dim BrSeq As Variant
    Dim Side As Variant
    Dim ExecQuantity As Variant
    Dim symbol As Variant
    Dim ExecPrice As Variant
    Dim Status As Variant
    Dim myerr As Variant
    Dim Account As Variant
    Dim Quantity As Variant
    Dim RefNum As Variant
    Dim PriceType As Variant
    Dim OrderRefKey As Variant
    Dim ParentOrdRefKey As Variant
    Dim Exchange As Variant
    Dim Price As Variant
    Dim TIF As Variant
    Dim Memo As Variant
    Dim MsgType As Variant
    Dim OrdDesc As String
    Dim ProgressPct As Double
    Dim AvgPrice As Variant
    Dim custom2 As Variant


    ' =========== Action List ==============
    ' 1 : Snapshot
    ' 4 : New insert
    ' 5 : Update
    ' ======================================

    If (Action = 1) Then

    For I = 0 To ROW - 1
    DataSubscription.GetCell I, "BrSeq", BrSeq, myerr
    DataSubscription.GetCell I, "Side", Side, myerr
    DataSubscription.GetCell I, "ExecQuantity", ExecQuantity, myerr
    DataSubscription.GetCell I, "ExecPrice", ExecPrice, myerr
    DataSubscription.GetCell I, "symbol", symbol, myerr
    DataSubscription.GetCell I, "Account", Account, myerr
    DataSubscription.GetCell I, "Quantity", Quantity, myerr
    DataSubscription.GetCell I, "RefNum", RefNum, myerr
    DataSubscription.GetCell I, "Status", Status, myerr
    DataSubscription.GetCell I, "PriceType", PriceType, myerr
    DataSubscription.GetCell I, "Price", Price, myerr
    DataSubscription.GetCell I, "Memo", Memo, myerr
    DataSubscription.GetCell I, "TIF", TIF, myerr
    DataSubscription.GetCell I, "OrderRefKey", OrderRefKey, myerr
    DataSubscription.GetCell I, "ParentOrdRefKey", ParentOrdRefKey, myerr
    DataSubscription.GetCell I, "MsgType", MsgType, myerr
    DataSubscription.GetCell I, "AvgExecPrice", AvgPrice, myerr
    DataSubscription.GetCell I, "custom2", custom2, myerr

    'If Not OrderRefKey = "NONE" And Not MsgType = "ADMIN" And Not PriceType = "Invalid" Then
    Worksheets("Demo").Cells(currRow, "A").Value = Side
    Worksheets("Demo").Cells(currRow, "B").Value = Quantity
    Worksheets("Demo").Cells(currRow, "C").Value = symbol
    Worksheets("Demo").Cells(currRow, "D").Value = PriceType
    Worksheets("Demo").Cells(currRow, "E").Value = Price
    Worksheets("Demo").Cells(currRow, "F").Value = TIF
    Worksheets("Demo").Cells(currRow, "G").Value = OrderRefKey
    Worksheets("Demo").Cells(currRow, "H").Value = RefNum
    Worksheets("Demo").Cells(currRow, "I").Value = Status
    Worksheets("Demo").Cells(currRow, "J").Value = ExecQuantity
    Worksheets("Demo").Cells(currRow, "K").Value = ExecPrice
    Worksheets("Demo").Cells(currRow, "L").Value = MsgType
    Worksheets("Demo").Cells(currRow, "M").Value = AvgPrice
    Worksheets("Demo").Cells(currRow, "N").Value = custom2
    currRow = currRow + 1
    'End If
    Next I

    Else
    DataSubscription.GetCell ROW, "BrSeq", BrSeq, myerr
    DataSubscription.GetCell ROW, "Side", Side, myerr
    DataSubscription.GetCell ROW, "ExecQuantity", ExecQuantity, myerr
    DataSubscription.GetCell ROW, "ExecPrice", ExecPrice, myerr
    DataSubscription.GetCell ROW, "symbol", symbol, myerr
    DataSubscription.GetCell ROW, "Account", Account, myerr
    DataSubscription.GetCell ROW, "Quantity", Quantity, myerr
    DataSubscription.GetCell ROW, "RefNum", RefNum, myerr
    DataSubscription.GetCell ROW, "Status", Status, myerr
    DataSubscription.GetCell ROW, "PriceType", PriceType, myerr
    DataSubscription.GetCell ROW, "Price", Price, myerr
    DataSubscription.GetCell ROW, "Memo", Memo, myerr
    DataSubscription.GetCell ROW, "TIF", TIF, myerr
    DataSubscription.GetCell ROW, "OrderRefKey", OrderRefKey, myerr
    DataSubscription.GetCell ROW, "ParentOrdRefKey", ParentOrdRefKey, myerr
    DataSubscription.GetCell ROW, "MsgType", MsgType, myerr
    DataSubscription.GetCell ROW, "AvgPrice", AvgPrice, myerr
    DataSubscription.GetCell ROW, "custom2", custom2, myerr


    'If Not OrderRefKey = "NONE" And Not MsgType = "ADMIN" And Not PriceType = "Invalid" Then
    Worksheets("Demo").Cells(currRow, "A").Value = Side
    Worksheets("Demo").Cells(currRow, "B").Value = Quantity
    Worksheets("Demo").Cells(currRow, "C").Value = symbol
    Worksheets("Demo").Cells(currRow, "D").Value = PriceType
    Worksheets("Demo").Cells(currRow, "E").Value = Price
    Worksheets("Demo").Cells(currRow, "F").Value = TIF
    Worksheets("Demo").Cells(currRow, "G").Value = OrderRefKey
    Worksheets("Demo").Cells(currRow, "H").Value = RefNum
    Worksheets("Demo").Cells(currRow, "I").Value = Status
    Worksheets("Demo").Cells(currRow, "J").Value = ExecQuantity
    Worksheets("Demo").Cells(currRow, "K").Value = ExecPrice
    Worksheets("Demo").Cells(currRow, "L").Value = MsgType
    Worksheets("Demo").Cells(currRow, "M").Value = AvgPrice
    Worksheets("Demo").Cells(currRow, "N").Value = custom2

    currRow = currRow + 1
    'End If
    End If

    End Sub

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