The Lab

Versions Compared

Key

  • This line was added.
  • This line was removed.
  • Formatting was changed.
Comment: Published by Scroll Versions from this space and version 1.5.5

Table of Contents

Workflow

Algo Orders

Supported Instruments

Expand
Table Filter
totalrow,,,,,,,,,,,,
hidelabelsfalse
sparkNameSparkline
hidePanetrue
sparklinefalse
defaultgateway_name&&autobahnfx_algo,MDBookType(PricingSession)&&MDEntryType(PricingSession)&&ExecutionVenue&&client_role&&MDBookType (SessionType == Pricing)&&MDEntryType (SessionType == Pricing)&&target_platform&&MDBookType&&MDEntryType
isFirstTimeEnterfalse
cell-width250,250
hideColumnstrue
customNoTableMsgfalse
disabledfalse
enabledInEditorfalse
globalFilterfalse
id1717627470584_1367137103
order0,1
hideControlsfalse
inversefalse,false
columnVenue
disableSavefalse
separatorPoint (.)
labelsVenue‚Hide columns
ddOperatorOR
datepatterndd M yy
updateSelectOptionsfalse
worklog365|5|8|y w d h m|y w d h m
isORAND
Table Excerpt Include
isFirstTimeEntertrue
v2
nameSupportedInstruments
merge-tablestrue
pageSupported Instruments
transposenever
typepage

Please refer to Supported Instruments to view across all venues.

PartyIDs

Expand
Table Filter
totalrow,,,
hidelabelsfalse
sparkNameSparkline
hidePanetrue
sparklinefalse
defaultautobahnfx_algo
isFirstTimeEnterfalse
cell-width150
hideColumnsfalse
customNoTableMsgfalse
disabledfalse
enabledInEditorfalse
globalFilterfalse
id1717627536135_-1664600739
order0
hideControlstrue
inversefalse
disableSavefalse
separatorPoint (.)
labelsVenue
userfilterVenue
datepatterndd M yy
updateSelectOptionsfalse
worklog5|8|w d h m|w d h m
isORAND

Table Excerpt Include
copytabletrue
namePartyIDs
pagePartyIDs
typepage

Please refer to PartyIDs to view across all venues.

Regulatory Fields

Expand
Table Filter
totalrow,,,,,
hidelabelsfalse
sparkNameSparkline
hidePanetrue
sparklinefalse
defaultautobahnfx_algo
isFirstTimeEnterfalse
cell-width150
hideColumnsfalse
customNoTableMsgfalse
disabledfalse
enabledInEditorfalse
globalFilterfalse
id1717627591508_-1793556311
order0
hideControlstrue
inversefalse
disableSavefalse
separatorPoint (.)
labelsVenue
userfilterVenue
datepatterndd M yy
updateSelectOptionsfalse
worklog5|8|w d h m|w d h m
isORAND

Table Excerpt Include
copytabletrue
nameRegulatoryFields
pageRegulatory Fields
typepage

Please refer to Regulatory Fields to view across all venues.

Passthru Fields

Expand
Table Filter
totalrow,,,,,
hidelabelsfalse
sparkNameSparkline
hidePanetrue
sparklinefalse
defaultautobahnfx_algo
isFirstTimeEnterfalse
cell-width150
hideColumnsfalse
customNoTableMsgfalse
disabledfalse
enabledInEditorfalse
globalFilterfalse
id1717627615315_-1049213024
order0
hideControlstrue
inversefalse
disableSavefalse
separatorPoint (.)
labelsVenue
userfilterVenue
datepatterndd M yy
updateSelectOptionsfalse
worklog5|8|w d h m|w d h m
isORAND

Table Excerpt Include
copytabletrue
namePassthruFields
pagePassthru Fields
typepage

Please refer to Passthru Fields to view across all venues.

Details

Algo Selection

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.


The table below sets out the Algo parameters and combinations currently supported. Please contact the venue for further detail.

StrategyParameterNameStrategyParameterTypeTargetStrategy
TargetStrategyStringStarkVWAPTWAPSlicerIcebergCustom1Custom2Custom3Custom4/Block
MaxPercentageParticipationFloat

MinPercentageParticipationFloat




ClipIntervalInt



ExecutionStyleInt
IWouldTriggerPrice

StopTriggerPrice

DisplayQuantityQty


  1. MaxPercentageParticipation - Allowed Values are 0.0 to 99.9
  2. MinPercentageParticipation - Allowed Values are 0.0 to 99.9
  3. ExecutionStyle - Supported Values:
    • '1', '2', '3' (Passive style)
    • '4', '5', '6' (Normal style)
    • '7', '8', '9' (Aggressive style)
    • '0' (default value, Normal)


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


HasExtendedOrderFields

TargetStrategy
StarkVWAPTWAPSlicerIcebergCustom1Custom2Custom3Custom4/Block
EffectiveTime
ExpireTime
StopPx



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

Algo Control

Info
titleSuspend/Release

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

Client-initiated (See Passthru Fields for HotAction/FillNow support) :

  • 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.


Info
titleHot Actions

Whisperer supports the 3 currently available ‘Hot Actions’ functions of this venue via StrategyParameter "ForceTradeTypeQty" and Passthru Fields "ExecInst"

  1. Buy Remaining
  2. Buy/Sell ForceTradeTypeQty (ForceTradeTypeQty cannot exceed LeavesQty)
  3. Cancel Fill At Price