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Comment: Published by Scroll Versions from this space and version 1.5.90

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KeyDecription
MMandatory
CConditional
OOptional


BenchmarOrFixingCharMCharCharOOCharCharCCharPriceTWAPModeCharOOCharLastOrderCharCharUSDNeutralChar
  • Y
    • NCharInt-Char
    StrategyParameterNameStrategyParameterTypeTargetStrategyComments
    TargetStrategyStringChameleonViperTWAPIguana
    BenchmarkOrFixingLimitStopCustomRex-
    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
    InternalLiquidity
    BooleanMM
    OOO--O-

    Allowed Values:

    • Y
    • N
    AutoClipSize
    Boolean-M-------

    Allowed Values:

    • Y
    • N
    IntervalInt-M--------
    InternalMatch
    Boolean
    M
    MMO---O-

    Allowed Values:

    • Y
    • N
    FillBalance
    BooleanOO-------

    Allowed Values:

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

    Allowed Values:

    • Y
    • N
    DurationInt--
    C-----ExpireTime or Duration must be specified.
    ExtendedOnPause
    Boolean--O
    		-----

    Allowed Values:

    • Y
    • N
    PipSlippage
    FloatOOOO---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
    VenueSelectionString
    M
    MOM-----

    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
    AutoExecution
    Boolean--------O

    Allowed Values:

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

    Allowed Values:

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

    Allowed Values:

    • Y
    • N
    WMR_SWAP
    Boolean----O----

    Allowed Values:

    • Y
    • N
    Options
    Int--------O

    Allowed Values:

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

    Allowed Values:

    • Y
    • N
    TrailingStopPrice------O---
    MidPercentage
    PercentageO---------
    ReferenceIDString----O-----
    ReferenceSpotPrice----O-----
    ForwardPointsPrice----O-----
    ForwardFixPrice----O-----
    USDNeutralAmount
    Char-
    Boolean------
    O

    Allowed Values:

    • Y
    • N
    		Sync
    --
    ------
    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.

    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.

    ...

    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, Incase of multi day fills, only the final fill will be used to book the order on the last day. If clients wish to book each partial fill separately, please discuss with BNPParibas.

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

    ...

    Info
    titleBenchmarkOrFixing

    TargetStrategy BenchmarkOrFixing supports only quantity amends.

    Info
    titleOrdType Transitions Triggered by Venue Price Updates

    BNPP may adjust the price on an algorithmic order, which can lead to Restated ExecutionReport messages reflecting an updated OrdType. For example, when a limit price is removed, a Limit order may be restated as a Market order, and vice versa.