The Lab

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Comment: Published by Scroll Versions from this space and version 1.5.94

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StrategyParameterNameStrategyParameterTypeTargetStrategyCommentsAmendable
TargetStrategyStringAdaptiveAquaPovAquaVwapFloatBenchmarkOrFixingInternalTrackerPantherSlicebergTwap-Y

N (BenchmarkOrFixing)
FixingSourceString----M----

Allowed Values:

  • WMR  : WM/Reuters
  • BFIX   : Bloomberg
  • LBMA : London Bullion Market Association

N

FixingDateLocalMktDate, UTCDateOnly----M----YYYYMMDDN
FixingTimeString----M----HH:MM (on the hour and half-hour)N
FixingTimeZoneString----M----

Allowed Values:

  • LON : Europe/London
  • LDN : Europe/London

N

DiscretionPricePrice-------O-

-

Y

ExecutionStyleInt---M----O

Allowed Values:

  • Passive
  • Balanced (Default)
  • Aggressive

Y

ShownSizeQty-------O-

-

Y

TrackingStyleStringMMMOO--O-

Allowed Values:

  • HIDDEN
  • SHOWN
  • INTERNAL
  • INTERNAL_PLUS
  • DARK_HYBRID
  • FXCodeOnly

Y

LiquiditySourceStringOOOO-OOOO

Venues: 

  • Internal
  • Hybrid (Default)
  • CurexHybrid
  • FXCodeOnly
  • HybridFirm
  • DarkMarketHybrid

Y

AQUAUrgencyString-O-------

Allowed Values:

  • LOW
  • MEDIUM (Default)
  • HIGH

Y

UrgencyDisabledChar--O------

Allowed Values:

  • Y
  • N (Default)

N

SpeedStringO--------

Allowed Values:

  • SLOW
  • NORMAL (Default)
  • FAST

Y

WouldLevelTypeString--------O

Allowed Values:

  • AbsoluteLevel
  • DiscretionInBPS

Y

WouldIfGoodLevelPrice--------O

-

Y

StopTriggerLevelPrice--------O-Y
FillNowBooleanOOOOOOOOO

Allowed Values:

  • Y
  • N (Default)

Y - Refer to FillNow Normalisation for more info.


The table below sets out the standard Order field that may need to be used to further define the algo.

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