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| StrategyParameterName | StrategyParameterType | TargetStrategy | ||||||
|---|---|---|---|---|---|---|---|---|
TargetStrategy | String | Float | VWAP | TWAP | TAP | ORCA_Direct | Limit | StopLoss |
MaxSpreadPips | Float | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | |
Discretion | Int | ✓ | ✓ | |||||
TradingStyle | Int | ✓ | ||||||
RiskAversion | Int | ✓ | ||||||
TradeMomentum | Char | ✓ | ||||||
ORCADirectType | Int | ✓ | ||||||
ClientEngagement | String | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ |
CompletionPrice | Price | ✓ | ✓ | ✓ | ||||
RiskAversion -Urgency - Allowed Values are 1, 2,3,4,5 . Default to 3TradeMomentum -Supported Values:- 'N' = Mean Reversion (Default)
- 'Y' = Momentum
- TradingStyle - Supported Values:
- '1' (Passive - Pegs off the level on the same side as the order )
- '3' (Mid - Peg relative to Mid)
- ClientEngagement - Supported Values:
- ALL_LIQUIDITY
- AGENCY_ONLY
- CUREX
- MATCHING
- UBS_ONLY_WITH_FEE
- UBS_ONLY_WITH_SPREAD
The table below sets out a matrix of which ClientEngagement values are supported for each algo.
ClientEngagement | Float | VWAP | TWAP | TAP | ORCA_Direct | Limit | |
|---|---|---|---|---|---|---|---|
ALL_LIQUIDITY | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | |
AGENCY_ONLY | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | |
CUREX | ✓ | ✓ | ✓ | ✓ | |||
MATCHING | ✓ | ||||||
UBS_ONLY_WITH_FEE | ✓ | ✓ | ✓ | ✓ | |||
UBS_ONLY_WITH_SPREAD | ✓ | ✓ | ✓ | ✓ | |||
| Note | ||
|---|---|---|
| ||
UBS supports fee charging Liquidity Venues, therefore, it is possible that LastSpotRate may differ from LastPx for SPT trades due to application of fees by the LiquidityVenue. |
The table below sets out the standard Order field that may need to be used to further define the algo.
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