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Comment: Published by Scroll Versions from this space and version 1.5.51

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KeyDecription
MMandatory
CConditional
OOptional


StrategyParameterNameStrategyParameterTypeTargetStrategyComments
TargetStrategyStringChameleonViperTWAPIguanaBenchmarOrFixingLimitStopCustomRex-
FixingSourceString----M----

Allowed Values:

  • WMR : WM/Reuters
  • BFIX  : Bloomberg
FixingDateLocalMktDate, UTCDateOnly----M----YYYYMMDD
FixingTimeString----M----HH:MM (on the hour and half-hour)
FixingTimeZoneString----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
TriggerPricePriceOOO----O-

-

TriggerSideIntCCC----C-

Required if TriggerPrice is specified.

Allowed Values:

  • 1 : Bid
  • 2 : Ask
  • 3 : Mid
  • 4 :Traded
AggressivenessIntM-------O

Allowed Values:

  • 1 : Low
  • 3 : Normal
  • 5 : High
  • 9 : Passive Only
InternalLiquidityCharMMMOO--O-

Allowed Values:

  • Y
  • N
AutoClipSizeChar-M-------

Allowed Values:

  • Y
  • N
IntervalInt-M--------
InternalMatchCharOOMO---O-

Allowed Values:

  • Y
  • N
FillBalanceCharOO-------

Allowed Values:

  • Y
  • N
RapidFillCharOO-O-----

Allowed Values:

  • Y
  • N
ExtendedOnPauseChar--O
-----

Allowed Values:

  • Y
  • N
PipSlippagePriceOOOO---O--
AlgoStopPricePriceOOOO--OO--
AlgoStopPriceSideIntCCCC--CC-

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
AverageLimitRatePriceOOOO------
SizeToWorkQtyOO-O------
TWAPModeCharOO-O-----

Allowed Values:

  • Y
  • N
VenueSelectionStringOOOM-----

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
AutoExecutionChar--------O

Allowed Values:

  • Y
  • N
PortfolioOrderInt--------O

Allowed Values:

  • 1 : Orders in middle
  • 0 : First Order
  • 2 : Last Order
WMR_EOMChar----O----

Allowed Values:

  • Y
  • N
WMR_SWAPChar----O----

Allowed Values:

  • Y
  • N
OptionsInt--------O

Allowed Values:

  • 0 - None (Default)
  • 1 - Sync
  • 2 - USDNeutral
FillTypeChar-----MO--

Allowed Values:

  • Y
  • N
TrailingStopPrice------O---
MidPercentageIntO---------
ReferenceIDString----O-----
ReferenceSpotPrice----O-----
ForwardPointsPrice----O-----
ForwardFixPrice----O-----
USDNeutralAmountChar--------O

Allowed Values:

  • Y
  • N
SyncPercentageInt--------O-
CustomParam1String-------O--
CustomParam2String-------O--
CustomParam3String-------O--
CustomParam4String-------O--
CustomParam5String-------O--
CustomParam6String-------O--
CustomParam7String-------O--
CustomParam8String-------O--


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


HasExtendedOrderFields

TargetStrategy
ChameleonViperTWAPIguanaFixingOrderLimitStopCustomRex
EffectiveTime✓✓✓✓✓✓✓✓✓
ExpireTime✓✓✓✓-✓✓✓-
ExposureDuration--✓✓-----
MaxShow-✓-------
StopPx------✓--


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

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Info
titleBooking of Algo Fills

TargetStrategy Chameleon, Viper, TWAP, Iguana, Custom supports PartialFill ExecutionReports. The client settlement happens at the full amount of the last fillBy default, only one final fill is used for booking and settlement on BNPP for the entire order, If clients wish to book each partial fill separately, please discuss with BNPParibas regarding the same.

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

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