Workflow
Algo Orders.
| Info |
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| title | Workflow Constraints |
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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.
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Supported Instruments
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SPT
...
SPT
...
Market
Limit
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IOC1
GFA2
DAY
GTD
Supported Instruments
| Expand |
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| Table Filter |
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| totalrow | ,,,,,,,,,,,, |
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| hidelabels | false |
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| sparkName | Sparkline |
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| hidePane | true |
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| sparkline | false |
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| default | precision_algo,MDBookType(PricingSession)&&MDEntryType(PricingSession)&&ExecutionVenue&&client_role&&MDBookType (SessionType == Pricing)&&MDEntryType (SessionType == Pricing)&&target_platform&&MDBookType&&MDEntryType |
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| isFirstTimeEnter | false |
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| cell-width | 250,250 |
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| hideColumns | true |
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| disabled | false |
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| enabledInEditor | false |
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| globalFilter | false |
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| id | 1687964446307_-1285234581 |
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| order | 0,1 |
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| hideControls | false |
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| inverse | false,false |
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| column | Venue |
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| disableSave | false |
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| separator | Point (.) |
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| labels | Venue‚Hide columns |
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| ddOperator | OR |
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| datepattern | dd M yy |
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| updateSelectOptions | false |
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| worklog | 365|5|8|y w d h m|y w d h m |
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| isOR | AND |
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| | Table Excerpt Include |
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| name | SupportedInstruments |
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| merge-tables | true |
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| page | Supported Instruments |
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| type | page |
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|
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Please refer to Supported Instruments to view across all venues.
PartyIDs
| Expand |
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| Table Filter |
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| hideControls | true |
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| inverse | false |
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| totalrow | ,,, |
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| hidelabels | false |
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| sparkName | Sparkline |
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| hidePane | true |
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| disableSave | false |
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| separator | Point (.) |
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| sparkline | false |
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| labels | Venue |
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| default | precision_algo |
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| isFirstTimeEnter | false |
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| cell-width | 150 |
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| hideColumns | false |
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| userfilter | Venue |
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| datepattern | dd M yy |
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| disabled | false |
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| enabledInEditor | false |
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| globalFilter | false |
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| id | 1682352746600_-1708420751 |
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| updateSelectOptions | false |
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| worklog | 5|8|w d h m|w d h m |
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| isOR | AND |
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| order | 0 |
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| | Table Excerpt Include |
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| copytable | true |
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| name | PartyIDs |
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| page | PartyIDs |
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| type | page |
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Please refer to PartyIDs to view across all venues.
Regulatory Fields
| Expand |
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| Table Filter |
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| hideControls | true |
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| inverse | false |
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| totalrow | ,,,,, |
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| hidelabels | false |
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| sparkName | Sparkline |
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| hidePane | true |
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| disableSave | false |
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| separator | Point (.) |
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| sparkline | false |
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| labels | Venue |
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| default | precision_algo |
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| isFirstTimeEnter | false |
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| cell-width | 150 |
|---|
| hideColumns | false |
|---|
| userfilter | Venue |
|---|
| datepattern | dd M yy |
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| disabled | false |
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| enabledInEditor | false |
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| globalFilter | false |
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| id | 1682352766001_-2036996355 |
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| updateSelectOptions | false |
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| worklog | 5|8|w d h m|w d h m |
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| isOR | AND |
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| order | 0 |
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| | Table Excerpt Include |
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| copytable | true |
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| name | RegulatoryFields |
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| page | Regulatory Fields |
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| type | page |
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Please refer to Regulatory Fields to view across all venues.
Passthru Fields
| Expand |
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| Table Filter |
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| hideControls | true |
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| inverse | false |
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| totalrow | ,,,,, |
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| hidelabels | false |
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| sparkName | Sparkline |
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| hidePane | true |
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| disableSave | false |
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| separator | Point (.) |
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| sparkline | false |
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| labels | Venue |
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| default | precision_algo |
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| isFirstTimeEnter | false |
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| cell-width | 150 |
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| hideColumns | false |
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| userfilter | Venue |
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| datepattern | dd M yy |
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| disabled | false |
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| enabledInEditor | false |
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| globalFilter | false |
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| id | 1682352776094_-1103489563 |
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| updateSelectOptions | false |
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| worklog | 5|8|w d h m|w d h m |
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| isOR | AND |
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| order | 0 |
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| | Table Excerpt Include |
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| copytable | true |
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| name | PassthruFields |
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| page | Passthru Fields |
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| type | page |
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Please refer to Passthru Fields to view across all venues.
Details
SmartSweep and Custom Algos only.Fixing Algo only.
Algo Selection
| Note |
|---|
| title | NoStrategyParameters |
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|
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 |
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FixingSource1 | String |
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| ✓ |
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FixingDate2 | LocalMktDate |
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| ✓ |
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FixingTime3 | String |
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| ✓ |
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FixingTimeZone4 | String |
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| ✓ |
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MaxPercentVolume | Int |
| ✓ | ✓ |
| ✓ |
|
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| ✓ |
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MinPercentVolume | Int |
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| ✓ |
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| ✓ |
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TargetPercentVolume | Int |
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| ✓ |
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| ✓ |
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Urgency | Int |
| ✓ | ✓ | ✓ | ✓ |
|
|
| ✓ |
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IWouldPrice | Price |
| ✓ | ✓ | ✓ | ✓ |
| ✓ |
| ✓ |
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IWouldSizePercent | Int |
| ✓ | ✓ | ✓ | ✓ |
| ✓ |
| ✓ |
|---|
UpperBandPrice | Price |
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| ✓ |
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| ✓ |
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UpperBandTargetPercentVolume | Int |
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| ✓ |
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| ✓ |
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LowerBandPrice | Price |
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| ✓ |
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| ✓ |
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LowerBandTargetPercentVolume | Int |
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| ✓ |
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| ✓ |
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StopLossPrice | Price |
| ✓ | ✓ | ✓ |
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| ✓ |
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SliceSize | Qty |
| ✓ | ✓ | ✓ | ✓ | ✓ |
|
| ✓ |
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SliceInterval | Int |
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| ✓ |
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| ✓ |
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RandomizationPercent | Int |
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| ✓ |
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| ✓ |
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PreFixAllocationPercent5 | Int |
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| ✓ |
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| ✓ |
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PegReferencePriceType6 | Char |
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| ✓ | ✓ |
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PegOffset | PriceOffset |
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| ✓ | ✓ |
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PegFloorType7 | Int |
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| ✓ | ✓ |
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PegFloorPrice | Price |
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| ✓ | ✓ |
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PegFloorFloatingPoints | PriceOffset |
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| ✓ | ✓ |
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PriceType8 | Int | ✓ |
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| ✓ |
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StrategyConfig | String | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ |
| ✓ | ✓ |
|---|
FixingSource may be one of:- WMR - WM/Reuters
- BFIX - Bloomberg
FixingDate is formatted YYYYMMDDFixingTime is formatted HH:MM (on the hour and half-hour)FixingTimeZone may be one of:- UTC (only)
- Other values rejected.
PreFixAllocationPercent NOT supported for FixingSource=BFIXPegReferencePriceType 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 |
|---|
SmartSweep | VWAP | TWAP | POV | iSeek | Benchmark
OrFixing | Iceberg | Peg | Custom |
|---|
EffectiveTime | ✓ | ✓ | ✓ | ✓ | ✓ |
| ✓ | ✓ | ✓ |
|---|
ExpireTime | ✓ | ✓ | ✓ | ✓ | ✓ |
| ✓ | ✓ | ✓ |
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MinQty | ✓ |
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| ✓ | ✓ |
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MaxShow | ✓ |
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| ✓ | ✓ | ✓ |
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Please refer to the API document provided by Precision for specific details.
PartyIDs
...
| 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
...
| 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
...
| 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.