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Comment: Published by Scroll Versions from this space and version 1.5.25

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PartyIDs

Expand
Table Filter
ddSeparatorlimitHeighttotalRowNamenumberingrowsPerPagethousandSeparatorhideFilters
fixedColstotalrow,,,
hidelabelsfalse
sparkNameSparkline
hidePanetruecustomNoTableMsgText
sparklinefalse
defaultubs_algo
isFirstTimeEnterfalse
cell-width150
hideColumnsfalse
totalColNamecustomNoTableMsgfalse
disabledfalse
enabledInEditorfalse
globalFilterfalse
id1718031933026_-1681408525
iconfilterorder0
hideControlstrue
inversefalsedatefilter
columnsorttotalcoldisableSavefalse
separatorPoint (.)
labelsVenue
ignoreFirstNrowsddOperatoruserfilterVenue
datepatterndd M yynumberfilterheightValue
updateSelectOptionsfalse
worklog5|8|w d h m|w d h m
isORANDshowNRowsifNotFiltered

Table Excerpt Include
isFirstTimeEntertrue
copytabletrue
v2
namePartyIDs
pagePartyIDs
transposenever
typepage

Please refer to PartyIDs to view across all venues.

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Passthru Fields

Expand
fixedCols
Table Filter
ddSeparatortotalRowNameddOperator
totalrow,,,,,
hidelabelsfalse
sparkNameSparkline
hidePanetruecustomNoTableMsgText
limitHeightsparklinefalse
defaultubs_algo
isFirstTimeEnterfalse
cell-width150
hideColumnsfalse
totalColNamecustomNoTableMsgfalse
disabledfalse
enabledInEditorfalse
globalFilterfalse
id1718031986160_1345083770
iconfilterorder0
hideControlstrue
inversefalsenumberingdatefilter
columnsorttotalcoldisableSavefalse
rowsPerPageseparatorPoint (.)
labelsVenuethousandSeparatorignoreFirstNrows
userfilterVenue
datepatterndd M yynumberfilter
heightValuehideFiltersupdateSelectOptionsfalse
worklog5|8|w d h m|w d h m
isORANDshowNRowsifNotFiltered

Table Excerpt Include
copytabletrue
namePassthruFields
pagePassthru Fields
typepage

Please refer to Passthru Fields to view across all venues.

Details

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Algo Selection

Note
titleNoStrategyParameters

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.

StrategyParameterNameStrategyParameterTypeTargetStrategy
TargetStrategyStringFloatVWAPTWAPTAPORCA_DirectLimitStopLoss
MaxSpreadPipsFloat✓✓✓✓
✓✓
DiscretionInt
✓✓



TradingStyleInt✓





RiskAversionInt


✓


TradeMomentumChar


✓


ORCADirectTypeInt



✓

ClientEngagementString✓✓✓✓✓✓✓
CompletionPricePrice
✓✓✓


  1. RiskAversion - Urgency - Allowed Values are 1, 2,3,4,5 . Default to 3
  2. TradeMomentum - Supported Values:
    1. 'N' = Mean Reversion (Default)
    2. 'Y' = Momentum
  3. TradingStyle - Supported Values:
    • '1' (Passive - Pegs off the level on the same side as the order )
    • '3' (Mid - Peg relative to Mid)
  4. 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

FloatVWAPTWAPTAPORCA_DirectLimitStopLoss

ALL_LIQUIDITY

✓✓✓✓✓✓✓

AGENCY_ONLY

✓✓✓✓✓✓✓

CUREX

✓✓
✓
✓✓

MATCHING

✓




✓

UBS_ONLY_WITH_FEE


✓✓✓
✓✓

UBS_ONLY_WITH_SPREAD


✓✓✓
✓✓


Note
titleSPT Trade LastSpotRate

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
FloatVWAPTWAPTAPORCA_DirectLimitStopLoss
EffectiveTime✓✓✓✓
✓✓
ExpireTime✓✓✓✓✓✓✓
StopPx





✓


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

Algo Control

Info
titleSuspend/Release

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.