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Workflow

Algo Orders.

Info

title	Workflow Constraints

Please note the following Whisperer constraints:

Order Suspend/Resume functionality is not yet supported. This will be available with the publication of the next Whisperer schema version.

Supported Instruments

SecurityType

LegSettlType

OrdType

TimeInForce

SPT

Market

Limit

IOC¹

GFA²

DAY

GTD

SmartSweep and Custom Algos only.
Fixing Algo only.

Algo Selection

Note

title	NoStrategyParameters

Refer to Supported Order Types (Algo Orders) for details on how to use the NoStrategyParameters block to send the details of the TargetStrategy, along with the corresponding strategy parameters.

The table below sets out the Algo parameters and combinations currently supported.

StrategyParameterName	StrategyParameterType	TargetStrategy
`TargetStrategy`	`String`	`SmartSweep`	`VWAP`	`TWAP`	`POV`	`iSeek`	`Benchmark OrFixing`	`Iceberg`	`Peg`	`Custom`
`FixingSource¹`	`String`						✓
`FixingDate²`	`LocalMktDate`						✓
`FixingTime³`	`String`						✓
`FixingTimeZone⁴`	`String`						✓
`MaxPercentVolume`	`Int`		✓	✓		✓				✓
`MinPercentVolume`	`Int`					✓				✓
`TargetPercentVolume`	`Int`				✓					✓
`Urgency`	`Int`		✓	✓	✓	✓				✓
`IWouldPrice`	`Price`		✓	✓	✓	✓		✓		✓
`IWouldSizePercent`	`Int`		✓	✓	✓	✓		✓		✓
`UpperBandPrice`	`Price`				✓					✓
`UpperBandTargetPercentVolume`	`Int`				✓					✓
`LowerBandPrice`	`Price`				✓					✓
`LowerBandTargetPercentVolume`	`Int`				✓					✓
`StopLossPrice`	`Price`		✓	✓	✓					✓
`SliceSize`	`Qty`		✓	✓	✓	✓	✓			✓
`SliceInterval`	`Int`			✓						✓
`RandomizationPercent`	`Int`			✓						✓
`PreFixAllocationPercent`	`Int`						✓			✓
`PegReferencePriceType⁵`	`Char`								✓	✓
`PegOffset`	`PriceOffset`								✓	✓
`PegFloorType⁶`	`Int`								✓	✓
`PegFloorPrice`	`Price`								✓	✓
`PegFloorFloatingPoints`	`PriceOffset`								✓	✓
`PriceType⁷`	`Int`	✓								✓
`StrategyConfig`	`String`	✓	✓	✓	✓	✓	✓		✓	✓

FixingSource may be one of:
- WMR - WM/Reuters
- BFIX - Bloomberg
FixingDate is formatted YYYYMMDD
FixingTime is formatted HH:MM (on the hour and half-hour)
FixingTimeZone may be one of:
- UTC (only)
- Other values rejected.
PegReferencePriceType may be one of:
- R - NearTouch
- M - MidPoint
- P - FarTouch
PegFloorType may be one of:
- 0 - NoFloor
- 1 - Fixed
- 2- Floating
PriceType may be one of:
- 99 - Average
- Other values ignored.

The table below sets out the standard Order field that may need to be used to further define the algo.

HasExtendedOrderFields	TargetStrategy
HasExtendedOrderFields	`SmartSweep`	`VWAP`	`TWAP`	`POV`	`iSeek`	`Benchmark OrFixing`	`Iceberg`	`Peg`	`Custom`
`EffectiveTime`	✓	✓	✓	✓	✓		✓	✓	✓
`ExpireTime`	✓	✓	✓	✓	✓		✓	✓	✓
`MinQty`	✓							✓	✓
`MaxShow`	✓						✓	✓	✓

Please refer to the API document provided by Precision for specific details.

PartyIDs

Expand

Table Filter

hideControls	true
inverse	false
totalrow	,,,
hidelabels	false
sparkName	Sparkline
hidePane	true
disableSave	false
separator	Point (.)
sparkline	false
labels	Venue
default	precision_algo
isFirstTimeEnter	false
cell-width	150
hideColumns	false
userfilter	Venue
datepattern	dd M yy
disabled	false
enabledInEditor	false
globalFilter	false
id	1682352746600_-1708420751
updateSelectOptions	false
worklog	5\|8\|w d h m\|w d h m
isOR	AND
order	0

Table Excerpt Include

copytable	true
name	PartyIDs
page	PartyIDs
type	page

Please refer to Whisperer Enterprise - PartyIDs for the full Enterprise table across all venues.

Regulatory Fields

Expand

Table Filter

hideControls	true
inverse	false
totalrow	,,,,,
hidelabels	false
sparkName	Sparkline
hidePane	true
disableSave	false
separator	Point (.)
sparkline	false
labels	Venue
default	precision_algo
isFirstTimeEnter	false
cell-width	150
hideColumns	false
userfilter	Venue
datepattern	dd M yy
disabled	false
enabledInEditor	false
globalFilter	false
id	1682352766001_-2036996355
updateSelectOptions	false
worklog	5\|8\|w d h m\|w d h m
isOR	AND
order	0

Table Excerpt Include

copytable	true
name	RegulatoryFields
page	Regulatory Fields
type	page

Please refer to or Regulatory Fields for the full Enterprise table across all venues.

Passthru Fields

Expand

Table Filter

hideControls	true
inverse	false
totalrow	,,,,,
hidelabels	false
sparkName	Sparkline
hidePane	true
disableSave	false
separator	Point (.)
sparkline	false
labels	Venue
default	precision_algo
isFirstTimeEnter	false
cell-width	150
hideColumns	false
userfilter	Venue
datepattern	dd M yy
disabled	false
enabledInEditor	false
globalFilter	false
id	1682352776094_-1103489563
updateSelectOptions	false
worklog	5\|8\|w d h m\|w d h m
isOR	AND
order	0

Table Excerpt Include

copytable	true
name	PassthruFields
page	Passthru Fields
type	page

Please refer to Passthru Fields for the full Enterprise table across all venues.

Versions Compared

Old Version 1

New Version 2

Key

Workflow

Supported Instruments

Algo Selection

PartyIDs

Regulatory Fields

Passthru Fields