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