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Workflow

Algo Orders

Supported Instruments

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Table Filter

totalrow	,,,,,,,,,,,,
hidelabels	false
sparkName	Sparkline
hidePane	true
sparkline	false
default	bnpparibas_efx_algo,MDBookType(PricingSession)&&MDEntryType(PricingSession)&&ExecutionVenue&&client_role&&MDBookType (SessionType == Pricing)&&MDEntryType (SessionType == Pricing)&&target_platform&&MDBookType&&MDEntryType
isFirstTimeEnter	false
cell-width	250,250
hideColumns	true
customNoTableMsg	false
disabled	false
enabledInEditor	false
globalFilter	false
id	1738862717281_-25507055
order	0,1
hideControls	false
inverse	false,false
column	Venue
disableSave	false
separator	Point (.)
labels	Venue‚Hide columns
ddOperator	OR
datepattern	dd M yy
updateSelectOptions	false
worklog	365\|5\|8\|y w d h m\|y w d h m
isOR	AND

Table Excerpt Include

name	SupportedInstruments
merge-tables	true
page	Supported Instruments
type	page

Please refer to Supported Instruments to view across all venues.

PartyIDs

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Table Filter

totalrow	,,,
hidelabels	false
sparkName	Sparkline
hidePane	true
sparkline	false
default	bnpparibas_efx_algo
isFirstTimeEnter	false
cell-width	150
hideColumns	false
customNoTableMsg	false
disabled	false
enabledInEditor	false
globalFilter	false
id	1738862740421_-623455980
order	0
hideControls	true
inverse	false
disableSave	false
separator	Point (.)
labels	Venue
userfilter	Venue
datepattern	dd M yy
updateSelectOptions	false
worklog	5\|8\|w d h m\|w d h m
isOR	AND

Table Excerpt Include

copytable	true
name	PartyIDs
page	PartyIDs
type	page

Please refer to PartyIDs to view across all venues.

Regulatory Fields

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Table Filter

totalrow	,,,,
hidelabels	false
sparkName	Sparkline
hidePane	true
sparkline	false
default	bnpparibas_efx_algo
isFirstTimeEnter	false
cell-width	150
hideColumns	false
customNoTableMsg	false
disabled	false
enabledInEditor	false
globalFilter	false
id	1738862756461_-2058646307
order	0
hideControls	true
inverse	false
disableSave	false
separator	Point (.)
labels	Venue
userfilter	Venue
datepattern	dd M yy
updateSelectOptions	false
worklog	5\|8\|w d h m\|w d h m
isOR	AND

Table Excerpt Include

copytable	true
name	RegulatoryFields
page	Regulatory Fields
type	page

Please refer to Regulatory Fields to view across all venues.

Passthru Fields

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Table Filter

totalrow	,,,,,
hidelabels	false
sparkName	Sparkline
hidePane	true
sparkline	false
default	bnpparibas_efx_algo
isFirstTimeEnter	false
cell-width	150
hideColumns	false
customNoTableMsg	false
disabled	false
enabledInEditor	false
globalFilter	false
id	1738862771095_-1220122640
order	0
hideControls	true
inverse	false
disableSave	false
separator	Point (.)
labels	Venue
userfilter	Venue
datepattern	dd M yy
updateSelectOptions	false
worklog	5\|8\|w d h m\|w d h m
isOR	AND

Table Excerpt Include

copytable	true
name	PassthruFields
page	Passthru Fields
type	page

Please refer to Passthru Fields to view across all venues.

Details

Info

title	Workflow Constraints

Please note the following Whisperer constraints:

Whisperer does not currently support GTC orders remaining open across a weekend.
Fixing SWAPs, FWDs and NDFs are not currently supported. Please contact Market Factory Support if you require this functionality.

Algo Selection

Note

title	NoStrategyParameters

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.

Key	Decription
M	Mandatory
C	Conditional
O	Optional

StrategyParameterName	StrategyParameterType	TargetStrategy									Comments
`TargetStrategy`	`String`	`Chameleon`	`Viper`	`TWAP`	`Iguana`	`BenchmarOrFixing`	`Limit`	`Stop`	`Custom`	`Rex`	-
`FixingSource`	`String`	-	-	-	-	M	-	-	-	-	Allowed Values: WMR : WM/Reuters BFIX : Bloomberg
`FixingDate`	`LocalMktDate, UTCDateOnly`	-	-	-	-	M	-	-	-	-	YYYYMMDD
`FixingTime`	`String`	-	-	-	-	M	-	-	-	-	HH:MM (on the hour and half-hour)
`FixingTimeZone`	`String`	-	-	-	-	M	-	-	-	-	Allowed Values: HKG : Asia/HK SNG : Asia/Singapore TKY : Asia/Tokyo SYD : Australia/Sydney EUR CET : Central Eastern Time LON : Europe/London NYK : America/New_York GMT : Greenwich Mean Time
`TriggerPrice`	`Price`	O	O	O	-	-	-	-	O	-	-
`TriggerSide`	`Int`	C	C	C	-	-	-	-	C	-	Required if TriggerPrice is specified. Allowed Values: 1 : Bid 2 : Ask 3 : Mid 4 :Traded
`Aggressiveness`	`Int`	M	-	-	-	-	-	-	-	O	Allowed Values: 1 : Low 3 : Normal 5 : High 9 : Passive Only
`InternalLiquidity`	`Char`	M	M	M	O	O	-	-	O	-	Allowed Values: Y N
`AutoClipSize`	`Char`	-	M	-	-	-	-	-	-	-	Allowed Values: Y N
`Interval`	`Int`	-	M	-	-	-	-	-	-	-	-
`InternalMatch`	`Char`	O	O	M	O	-	-	-	O	-	Allowed Values: Y N
`FillBalance`	`Char`	O	O	-	-	-	-	-	-	-	Allowed Values: Y N
`RapidFill`	`Char`	O	O	-	O	-	-	-	-	-	Allowed Values: Y N
`Duration`	`Int`	-	-	C	C	-	-	-	-	-	ExpireTime or Duration must be specified.
`ExtendedOnPause`	`Char`	-	-	O		-	-	-	-	-	Allowed Values: Y N
`PipSlippage`	`Price`	O	O	O	O	-	-	-	O	-	-
`AlgoStopPrice`	`Price`	O	O	O	O	-	-	O	O	-	-
`AlgoStopPriceSide`	`Int`	C	C	C	C	-	-	C	C	-	Required if AlgoStopPrice is specified. Allowed values for `TargetStrategy =` `Stop` 1 : Spread Crossed 2 : Mid Touched 3 : Spread Touched 4 : Price Traded 5 : Spread Crossed Or Price Traded Other stategies 1 : Bid 2 : Ask
`AverageLimitRate`	`Price`	O	O	O	O	-	-	-	-	-	-
`SizeToWork`	`Qty`	O	O	-	O	-	-	-	-	-	-
`TWAPMode`	`Char`	O	O	-	O	-	-	-	-	-	Allowed Values: Y N
`VenueSelection`	`String`	O	O	O	M	-	-	-	-	-	Either a Group or Venues can be chosen. Groups: only 1 can be selected: GRP_A : Smart (All) GRP_P : Primary Only GRP_N : Non Last Look GRP_C : Curex Only GRP_F : Fastmatch Only GRP_C1 : Custom Group 1 GRP_C2 : Custom Group 2 Venues: multiple Venues can be selected as a comma separated list. e : EBS r : Reuters c : Curex f : FastMatch g : Gain h : HotSpot lx : LMAX cx : Currenex ed : EBSDirect fe : FenicsFX fl : FXAll i : Integral
`AutoExecution`	`Char`	-	-	-	-	-	-	-	-	O	Allowed Values: Y N
`LastOrder`	`Int`	-	-	-	-	-	-	-	-	O	Allowed Values: 1 : Orders in middle 0 : First Order 2 : Last Order
`WMR_EOM`	`Char`	-	-	-	-	O	-	-	-	-	Allowed Values: Y N
`WMR_SWAP`	`Char`	-	-	-	-	O	-	-	-	-	Allowed Values: Y N
`USDNeutral`	`Char`	-	-	-	-	-	-	-	-	O	Allowed Values: Y N
`FillType`	`Char`	-	-	-	-	-	M	O	-	-	Allowed Values: Y N
`TrailingStop`	`Price`	-	-	-	-	-	-	O	-	-	-
`MidPercentage`	`Int`	O	-	-	-	-	-	-	-	-	-
`ReferenceID`	`String`	-	-	-	-	O	-	-	-	-	-
`ReferenceSpot`	`Price`	-	-	-	-	O	-	-	-	-	-
`ForwardPoints`	`Price`	-	-	-	-	O	-	-	-	-	-
`ForwardFix`	`Price`	-	-	-	-	O	-	-	-	-	-
`USDNeutralAmount`	`Char`	-	-	-	-	-	-	-	-	O	Allowed Values: Y N
`Sync`	`Char`	-	-	-	-	-	-	-	-	O	Allowed Values: Y N
`SyncPercentage`	`Int`	-	-	-	-	-	-	-	-	O	-
`CustomParam1`	`String`	-	-	-	-	-	-	-	O	-	-
`CustomParam2`	`String`	-	-	-	-	-	-	-	O	-	-
`CustomParam3`	`String`	-	-	-	-	-	-	-	O	-	-
`CustomParam4`	`String`	-	-	-	-	-	-	-	O	-	-
`CustomParam5`	`String`	-	-	-	-	-	-	-	O	-	-
`CustomParam6`	`String`	-	-	-	-	-	-	-	O	-	-
`CustomParam7`	`String`	-	-	-	-	-	-	-	O	-	-
`CustomParam8`	`String`	-	-	-	-	-	-	-	O	-	-

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

HasExtendedOrderFields	TargetStrategy
HasExtendedOrderFields	`Chameleon`	`Viper`	`TWAP`	`Iguana`	`FixingOrder`	`Limit`	`Stop`	`Custom`	`Rex`
`EffectiveTime`	✓	✓	✓	✓	✓	✓	✓	✓	✓
`ExpireTime`	✓	✓	✓	✓	-	✓	✓	✓	-
`MaxShow`	-	✓	-	-	-	-	-	-	-
StopPx	-	-	-	-	-	-	✓	-	-

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

Algo Control

Info

title	Suspend/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.

Booking of Algo Fills

Info

title	Booking of Algo Fills

TargetStrategy Chameleon, Viper, TWAP, Iguana, Custom supports PartialFill ExecutionReports. The client settlement happens at the full amount of the last fill.

For Limit and Stop Strategies, each of the partial fills and final fill is booked and settled.

Info

title	BenchmarkOrFixing

TargetStrategy BenchmarkOrFixing supports only quantity amends.

Versions Compared

Old Version 1

New Version 2

Key

Workflow

Supported Instruments

PartyIDs

Regulatory Fields

Passthru Fields

Details

Algo Selection

Algo Control

Booking of Algo Fills