The Lab

Expand all   Collapse all

Versions Compared

Old Version 5

changes.mady.by.user Unknown User (aagoro)

Saved on

compared with

New Version 6

changes.mady.by.user Unknown User (aagoro)

Saved on

Key

  • This line was added.
  • This line was removed.
  • Formatting was changed.

...

CompletionPriceQty
StrategyParameterNameStrategyParameterTypeTargetStrategy
TargetStrategyStringFloatVWAPTWAPTAPORCA_DirectLimitStopLoss
MaxSpreadPipsFloat✓✓✓✓
✓✓
DiscretionFloatInt
✓✓



TradingStyleInt✓





RiskAversionInt


✓


TradeMomentumCharPrice


✓


ORCADirectTypeInt



✓

ClientEngagementString✓✓✓✓✓✓✓
CompletionPricePrice
✓✓✓


  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)

...


HasExtendedOrderFields

TargetStrategy
FloatVWAPTWAPTAPORCA_DirectLimitStopLoss
EffectiveTime✓✓✓✓
✓✓
ExpireTime✓✓✓✓✓✓✓
StopPx





✓


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

...

Info
titleSuspend/Release

This venue supports both client and venue - client 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.

...