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changes.mady.by.user Chandana Varsha

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Comment: Published by Scroll Versions from this space and version 1.5.72

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StrategyParameterNameStrategyParameterTypeTargetStrategyComments
TargetStrategyStringChameleonViperTWAPIguanaBenchmarkOrFixingLimitStopCustomRex-
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
InternalLiquidityCharBooleanMMMOOO--O-

Allowed Values:

  • Y
  • N
AutoClipSizeCharBoolean-M-------

Allowed Values:

  • Y
  • N
IntervalInt-M--------
InternalMatchCharBooleanMMMO---O-

Allowed Values:

  • Y
  • N
FillBalanceCharBooleanOO-------

Allowed Values:

  • Y
  • N
FillNow
(RapidFill)		CharBooleanOO-O-----

Allowed Values:

  • Y
  • N
ExtendedOnPauseCharBoolean--O
-----

Allowed Values:

  • Y
  • N
PipSlippagePriceFloatOOOO---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------
SizeToWorkQtyO--O------
ShowSizeQty-O--------
FillNowQty
QtyOO-O





ClipSizeQty-TWAPModeCharO--------
TWAPModeBoolean---O-----

Allowed Values:

  • Y
  • N
VenueSelectionStringMMOM-----

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
AutoExecutionCharBoolean--------O

Allowed Values:

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

Allowed Values:

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

Allowed Values:

  • Y
  • N
WMR_SWAPCharBoolean----O----

Allowed Values:

  • Y
  • N
OptionsInt--------O

Allowed Values:

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

Allowed Values:

  • Y
  • N
TrailingStopPrice------O---
MidPercentageIntPercentageO---------
ReferenceIDString----O-----
ReferenceSpotPrice----O-----
ForwardPointsPrice----O-----
ForwardFixPrice----O-----
USDNeutralAmountCharBoolean--------O

Allowed Values:

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

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HasExtendedOrderFields

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


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

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