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Please refer to Passthru Fields to view across all venues.

Details

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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
TargetStrategyStringFloatVWAPTWAPTAPORCA_DirectLimitStopLoss
MaxSpreadPipsFloat






DiscretionFloat






TradingStyleInt






RiskAversionInt






TradeMomentumPrice






ORCADirectTypePrice






CompletionPriceQty






  1. RiskAversion- Urgency - Allowed Values are 1, 2,3,4,5 . Default to 3
  2. TradeMomentum- Supported Values:
    1. 'N' = Mean Reversion (Default)
    2. 'Y' = Momentum
  3. TradingStyle - Supported Values:
    • '1' (Passive - Pegs off the level on the same side as the order )
    • '3' (Mid - Peg relative to Mid)



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


HasExtendedOrderFields

TargetStrategy
FloatVWAPTWAPTAPORCA_DirectLimitStopLoss
EffectiveTime






ExpireTime






StopPx







Please refer to the API document provided by UBS 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) :

  • 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.