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StrategyParameterType:14/StringStrategyParameterName: "TargetStrategy"StrategyParameterValue: "LP-assigned name of desired Algo"
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Where appropriate, Whisperer will normalise algos and algo parameters. Other strategy parameters must be populated as per LP requirements for the specific Algo; the Client will need to reference the venue-specifiec API documentation for this detail.
When a strategy parameter is populated for a venue which does not support it, the order or order modification will be rejected.
BenchmarkOrFixing Order Normalisation
Due to their widespread availability, these orders are supported in NewOrderMultileg and MultilegOrderCancelReplaceRequest as follows:
| StrategyParameterName | StrategyParameterType | StrategyParameterValue |
|---|---|---|
TargetStrategy | String | BenchmarkOrFixing |
FixingSource | String | mandatory. Fixing sources vary by LP, but naming is normalised as follows:
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| FixingDate | LocalMktDate | YYYYMMDD |
| FixingTime | TZTimeOnly | 16:00 |
| FixingTimeZone | String | Mandatory. Fixing timezones vary by LP, but naming is normalised as follows:
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FillNow Normalisation
"Fill Now" is an instruction to immediately fill a pre-existing order at the best price possible, supported by the following algo providers:
FillNow is not supported in NewOrderMultileg - it is applicable to pre-existing orders only.
The following strategy parameters are supported in MultilegOrderCancelReplaceRequest:
| StrategyParameterName | StrategyParameterType | StrategyParamaterValue |
|---|---|---|
FillNow | Boolean |
|
FillNowQty | Qty |
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Pegged Orders
Pegged Orders are smart Limit Orders that automatically adjust their limit price by tracking the market's BestBidOffer (BBO) or the mid-point price to remain competitive, achieve a fair price, and faster fills.
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A brief overview of a couple of Pegged order features offered by ECNs that we are implementing:
Collapse to Mid vs Mid Discretionary
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Overview
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