The Lab

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Comment: Published by Scroll Versions from this space and version 1.3.43

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StrategyParameterNameStrategyParameterTypeTargetStrategy
TargetStrategyStringSmartSweepVWAPTWAPPOViSeekBenchmark
OrFixing
IcebergPegCustom
FixingSource1String







FixingDate2LocalMktDate







FixingTime3String







FixingTimeZone4String







MaxPercentVolumeInt




MinPercentVolumeInt






TargetPercentVolumeInt






UrgencyInt



IWouldPricePrice


IWouldSizePercentInt


UpperBandPricePrice






UpperBandTargetPercentVolumeInt






LowerBandPricePrice






LowerBandTargetPercentVolumeInt






StopLossPricePrice




SliceSizeQty


SliceIntervalInt






RandomizationPercentInt






PreFixAllocationPercent5Int






PegReferencePriceType56Char






PegOffsetPriceOffset






PegFloorType67Int






PegFloorPricePrice






PegFloorFloatingPointsPriceOffset






PriceType78Int






StrategyConfigString
  1. FixingSource may be one of:
    • WMR - WM/Reuters
    • BFIX - Bloomberg
  2. FixingDate is formatted YYYYMMDD
  3. FixingTime is formatted HH:MM (on the hour and half-hour)
  4. FixingTimeZone may be one of:
    • UTC (only)
    • Other values rejected.
  5. PreFixAllocationPercent NOT supported for FixingSource=BFIX
  6. PegReferencePriceType may be one of:
    • R - NearTouch
    • M - MidPoint
    • P - FarTouch
  7. PegFloorType may be one of:
    • 0 - NoFloor
    • 1 - Fixed
    • 2- Floating
  8. PriceType may be one of:
    • 99 - Average
    • Other values ignored.

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