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Supported Instruments
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| Table Filter |
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| fixedCols | totalrow | ,,,,,,,,,,,, |
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| hidelabels | false | ddSeparator |
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| sparkName | Sparkline |
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| hidePane | true | customNoTableMsgText |
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| limitHeight | sparkline | false |
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| default | ubs_algo,MDBookType(PricingSession)&&MDEntryType(PricingSession)&&ExecutionVenue&&client_role&&MDBookType (SessionType == Pricing)&&MDEntryType (SessionType == Pricing)&&target_platform&&MDBookType&&MDEntryType |
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| isFirstTimeEnter | false |
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| cell-width | 250,250 |
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| hideColumns | true | totalRowName | totalColName |
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| customNoTableMsg | false |
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| disabled | false |
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| enabledInEditor | false |
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| globalFilter | false |
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| id | 1718031870074_-1706054226 | iconfilter |
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| order | 0,1 |
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| hideControls | false |
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| inverse | false,false | numbering |
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| datefilter | column | Venue |
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| sort | totalcol | disableSave | false |
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| rowsPerPage | separator | Point (.) |
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| labels | Venue‚Hide columns | thousandSeparator |
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| ignoreFirstNrows | ddOperator | OR |
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| userfilter | datepattern | dd M yy |
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| numberfilter | heightValue | hideFilters | updateSelectOptions | false |
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| worklog | 365|5|8|y w d h m|y w d h m |
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| isOR | AND | showNRowsifNotFiltered |
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| | Table Excerpt Include |
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| name | SupportedInstruments |
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| merge-tables | true |
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| page | Supported Instruments |
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| type | page |
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| Table Filter |
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| totalrow | ,,, |
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| hidelabels | false |
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| sparkName | Sparkline |
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| hidePane | true |
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| sparkline | false |
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| default | gatewayubs_namealgo |
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| isFirstTimeEnter | false |
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| cell-width | 150 |
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| hideColumns | false |
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| customNoTableMsg | false |
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| disabled | false |
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| enabledInEditor | false |
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| globalFilter | false |
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| id | 16929117555921718031933026_1791405637-1681408525 |
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| order | 0 |
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| hideControls | true |
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| inverse | false |
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| disableSave | false |
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| separator | Point (.) |
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| labels | Venue |
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| userfilter | Venue |
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| datepattern | dd M yy |
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| updateSelectOptions | false |
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| worklog | 5|8|w d h m|w d h m |
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| isOR | AND |
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| | Table Excerpt Include |
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| isFirstTimeEnter | true |
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| copytable | true |
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| v | 2 |
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| name | PartyIDs |
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| page | PartyIDs |
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| transpose | never |
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| type | page |
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Please refer to PartyIDs to view across all venues.
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| Table Filter |
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| totalrow | ,,,,, |
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| hidelabels | false |
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| sparkName | Sparkline |
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| hidePane | true |
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| sparkline | false |
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| default | gatewayubs_namealgo |
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| isFirstTimeEnter | false |
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| cell-width | 150 |
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| hideColumns | false |
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| customNoTableMsg | false |
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| disabled | false |
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| enabledInEditor | false |
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| globalFilter | false |
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| id | 16929117771301718031986160_4293002791345083770 |
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| order | 0 |
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| hideControls | true |
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| inverse | false |
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| disableSave | false |
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| separator | Point (.) |
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| labels | Venue |
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| userfilter | Venue |
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| datepattern | dd M yy |
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| updateSelectOptions | false |
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| worklog | 5|8|w d h m|w d h m |
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| isOR | AND |
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| | Table Excerpt Include |
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| copytable | true |
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| name | PassthruFields |
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| page | Passthru Fields |
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| type | page |
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Please refer to Passthru Fields to view across all venues.
Details
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Algo Selection
| Note |
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| title | NoStrategyParameters |
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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.
| StrategyParameterName | StrategyParameterType | TargetStrategy |
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TargetStrategy | String | Float | VWAP | TWAP | TAP | ORCA_Direct | Limit | StopLoss |
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MaxSpreadPips | Float | ✓ | ✓ | ✓ | ✓ |
| ✓ | ✓ |
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Discretion | Int |
| ✓ | ✓ |
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TradingStyle | Int | ✓ |
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RiskAversion | Int |
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| ✓ |
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TradeMomentum | Char |
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| ✓ |
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ORCADirectType | Int |
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| ✓ |
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ClientEngagement | String | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ |
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CompletionPrice | Price |
| ✓ | ✓ | ✓ |
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RiskAversion - Urgency - Allowed Values are 1, 2,3,4,5 . Default to 3TradeMomentum - Supported Values:- 'N' = Mean Reversion (Default)
- 'Y' = Momentum
- TradingStyle - Supported Values:
- '1' (Passive - Pegs off the level on the same side as the order )
- '3' (Mid - Peg relative to Mid)
- ClientEngagement - Supported Values:
- ALL_LIQUIDITY
- AGENCY_ONLY
- CUREX
- MATCHING
- UBS_ONLY_WITH_FEE
- UBS_ONLY_WITH_SPREAD
The table below sets out a matrix of which ClientEngagement values are supported for each algo.
ClientEngagement | Float | VWAP | TWAP | TAP | ORCA_Direct | Limit | StopLoss |
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ALL_LIQUIDITY | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ |
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AGENCY_ONLY | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ |
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CUREX | ✓ | ✓ |
| ✓ |
| ✓ | ✓ |
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MATCHING | ✓ |
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| ✓ |
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UBS_ONLY_WITH_FEE |
| ✓ | ✓ | ✓ |
| ✓ | ✓ |
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UBS_ONLY_WITH_SPREAD |
| ✓ | ✓ | ✓ |
| ✓ | ✓ |
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| Note |
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| title | SPT Trade LastSpotRate |
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UBS supports fee charging Liquidity Venues, therefore, it is possible that LastSpotRate may differ from LastPx for SPT trades due to application of fees by the LiquidityVenue. |
The table below sets out the standard Order field that may need to be used to further define the algo.
HasExtendedOrderFields | TargetStrategy |
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Float | VWAP | TWAP | TAP | ORCA_Direct | Limit | StopLoss |
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EffectiveTime | ✓ | ✓ | ✓ | ✓ |
| ✓ | ✓ |
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ExpireTime | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ | ✓ |
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StopPx |
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| ✓ |
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Please refer to the API document provided by UBS for specific details.
Algo Control
| Info |
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This venue supports both client initiated suspension and restoration of order execution: Client-initiated (See Passthru Fields) : 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.
Please refer to the OrderStateTransitionDiagram for details of the order lifecycle. |