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Comment: Published by Scroll Versions from this space and version 1.5.89

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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
InternalLiquidityBooleanMMOOO--O-

Allowed Values:

  • Y
  • N
AutoClipSizeBoolean-M-------

Allowed Values:

  • Y
  • N
IntervalInt-M--------
InternalMatchBooleanMMMO---O-

Allowed Values:

  • Y
  • N
FillBalanceBooleanOO-------

Allowed Values:

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

Allowed Values:

  • Y
  • N
ExtendedOnPauseBoolean--O
-----

Allowed Values:

  • Y
  • N
PipSlippageFloatOOOO---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-----FillNowQty and SizeToWork can not be populated together.
ShowSizeQty-O--------
FillNowQty
QtyO--O




May be populated when FillNow=Y.

FillNowQty and SizeToWork can not be populated together.

ClipSizeQty-O--------
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
AutoExecutionBoolean--------O

Allowed Values:

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

Allowed Values:

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

Allowed Values:

  • Y
  • N
WMR_SWAPBoolean----O----

Allowed Values:

  • Y
  • N
OptionsInt--------O

Allowed Values:

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

Allowed Values:

  • Y
  • N
TrailingStopPrice------O---
MidPercentagePercentageO---------
ReferenceIDString----O-----
ReferenceSpotPrice----O-----
ForwardPointsPrice----O-----
ForwardFixPrice----O-----
USDNeutralAmountBoolean--------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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Note
titleExposureDuration

ExposureDuration must be specified in milliseconds as per the schema. The expected granularity of this field as per BNPParibas is second.

Note
titleFillNowQty behaviour

If an order is modified with FillNow=Y and FillNowQty < OrderQty, Once the order is filled with the LastQty=FillNowQty, the rest of the order will be suspended unsolicited by the venue. 

Note
titleSizeToWork

If the SizeToWork parameter is specified, the order will be suspended once the working size has been fully executed. When the SizeToWork quantity is amended while the order is in a suspended state, the order automatically resumes and works the size again before being suspended, provided the full order quantity has not yet been filled.

Algo Control


Info
titleSuspend/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.

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