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Comment: Published by Scroll Versions from this space and version 1.4.50

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Please refer to to PartyIDs to view across all venues.

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Note
titleNoStrategyParameters

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.

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.

Please refer to the individual provider addendums provided by FXSpotStream for specific details.


The table below sets out the  LP/Algo combinations currently supported.

Liquidity ProviderExecutionVenueTargetStrategyNotes
BankOfAmericaBAMLBenchmarkOrFixing, VWAP, TWAP, ImplementationShortfall (formerly Decipher), WhisperMarket orders: BAML will set a limit price for the order and return that price to the client. The limit price is set differently depending on which algo is selected by the user. For example, for Whisper, if there’s no limit selected, BAML uses a 3% limit in the money for the currency pair.
BarclaysBARXBenchmarkOrFixing-
CitiCGMIVWAP, TWAP, Peg, VolumeTracker-
GoldmanSachsGSCOBenchmarkOrFixing, VWAP, TWAP, Peg, Dynamic-
JPMorganChaseJPSIBenchmarkOrFixing, VWAP, TWAP, Adaptive, Float

Day orders: known issue with JPMC UAT on Fridays - the default EOD time on their UAT Day orders is 5:00pm NYT, although the platform shuts down around 4:55pm NYT.

This means that submitted orders may be rejected with: Order End time is during weekend shutdown window. 

If you use an expire time, please send before 16:55 EDT (NY local).

MorganStanleyMSAXBenchmarkOrFixing, VWAP, TWAP, ArrivalPrice, Seeker-
UBSUBSGBenchmarkOrFixing-


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Algo/LPBank Of AmericaBarclaysBNP ParibasCitiCommerz BankGoldman SachsHSBCJP Morgan ChaseMorgan StanleyStandard CharteredSociete GeneraleState StreetUBS
VWAP-N-Y-YNYYN-NN
TWAPYNNYNYNYYNNNN
Peg---Y-Y--N----
**Gamma--N--N-------
Dynamic-----Y-------
Liquidity Seeking------N------
Inline---------N---
Implementation ShortfallY--N--N------
Get DoneN-----N--N---
Liquidity+------N------
Benchmark / FixingYYN-NYNYY-NNY
Float-------N-N-NN
Internal Tracker-------N-----
Panther-------N-----
Sliceberg-------N-----
Timeslicer-------N-----
**Master-------N-----
AQUA POV-------N-----
Post & Sweep---N---------
Sweep---N-------N-
**Reflex--------N----
IcebergN-------N----
Seeker--------Y----
Arrival Price--------YN---
Critical MassN------------
TrackerN------------
WhisperY------------
AccessN------------
Chameleon--N----------
Viper--N----------
Iguana--N----------
Custom--N------N---
TAP------------N
ORCA_Direct---------N--N
Adaptive Sweep---------N---
Adaptive Take-------------
Hunter----N--------
Tracer----N--------
PMID--------N----
Fixing Swap--------N----
POV------N------
Nightjar----------N--
Falcon----------N--
Immediate-N-----------
LWAP-N-----------
GatorTakeProfit-N-----------
GatorImmediateOrCancel-N-----------
GatorPounce-N-----------
GatorFloat-N-----------
GatorFlex-N-----------
GatorTakeProfit+-N-----------
GatorTWAP-N-----------
GatorParticipation-N-----------
GatorBARXPeg-N-----------
Adaptive-------Y-----
Volume Tracker---Y---------
SC FIX---------N---
SC Match---------N---


** These algos are not yet supported in FSS.


Algo Control

Info
titleSuspend/Release

This venue supports both client and venue -initiated suspension and restoration of order execution:

Client-initiated:

  • MultilegCancelReplaceRequest.ExecInst may be set to either:
    • Suspend - temporarily remove the order from the market.
    • Release - return the order to the market for continued execution.

Venue-initiated:

  • Notification of these events will be via ExecutionReport (Restated) messages.

Please refer to the OrderStateTransitionDiagram for details of the order lifecycle.

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The table below sets out the  LP/Algo combinations for which Suspend/Release and FillNow is supported. Attempts for other LP/Algo combinations will be rejected.

Liquidity ProviderSuspend/Release
TargetStrategies		FillNowNotes
BankOfAmericaTWAP, ImplementationShortfall (formerly Decipher), WhisperY


Warning
titleBAML Error

The BAML Whisper algo does not handle Suspend/Release correctly - a client-initiated Release will not result in the necessary ExecutionReport (Replaced),

FSS expect a fix sometime in November 2023.


Barclays--Supported by LP, but for Algos not yet certified by MarketFactory.
CitiVWAP, TWAP, Peg, VolumeTrackerN-
GoldmanSachs-NNot supported by LP
JPMorganChaseVWAP, TWAP, Adaptive, FloatY-
MorganStanley-NNot supported by LP
UBS-NNot supported by LP