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| StrategyParameterName | StrategyParameterType | TargetStrategy | ||||||||
|---|---|---|---|---|---|---|---|---|---|---|
TargetStrategy | String | SmartSweep | VWAP | TWAP | POV | iSeek | Benchmark | 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 | ✓ | ✓ | |||||||
PreFixAllocationPercent5 | Int | ✓ | ✓ | |||||||
PegReferencePriceType56 | Char | ✓ | ✓ | |||||||
PegOffset | PriceOffset | ✓ | ✓ | |||||||
PegFloorType67 | Int | ✓ | ✓ | |||||||
PegFloorPrice | Price | ✓ | ✓ | |||||||
PegFloorFloatingPoints | PriceOffset | ✓ | ✓ | |||||||
PriceType78 | Int | ✓ | ✓ | |||||||
StrategyConfig | String | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | |
FixingSourcemay be one of:- WMR - WM/Reuters
- BFIX - Bloomberg
FixingDateis formatted YYYYMMDDFixingTimeis formatted HH:MM (on the hour and half-hour)FixingTimeZonemay be one of:- UTC (only)
- Other values rejected.
PreFixAllocationPercent NOT supported for FixingSource=BFIXPegReferencePriceTypemay be one of:- R - NearTouch
- M - MidPoint
- P - FarTouch
PegFloorTypemay be one of:- 0 - NoFloor
- 1 - Fixed
- 2- Floating
PriceTypemay be one of:- 99 - Average
- Other values ignored.
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