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Comment: Published by Scroll Versions from this space and version 1.4.19

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Please refer to Passthru Fields to view across all venues.

Details

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.

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The table below sets out the Algo parameters and combinations currently supported. Please contact the venue for further detail.

StrategyParameterNameStrategyParameterTypeTargetStrategy
TargetStrategyStringSmartSweepVWAPTWAPPOViSeekBenchmark
OrFixing		IcebergPegCustom
FixingSource1String




✓


FixingDate2LocalMktDate




✓


FixingTime3String




✓


FixingTimeZone4String




✓


MaxPercentVolumeInt
✓✓
✓


✓
MinPercentVolumeInt



✓


✓
TargetPercentVolumeInt


✓



✓
UrgencyInt
✓✓✓✓


✓
IWouldPricePrice
✓✓✓✓
✓
✓
IWouldSizePercentInt
✓✓✓✓
✓
✓
UpperBandPricePrice


✓



✓
UpperBandTargetPercentVolumeInt


✓



✓
LowerBandPricePrice


✓



✓
LowerBandTargetPercentVolumeInt


✓



✓
StopLossPricePrice
✓✓✓



✓
SliceSizeQty
✓✓✓✓✓

✓
SliceIntervalInt

✓




✓
RandomizationPercentInt

✓




✓
PreFixAllocationPercent5Int




✓

✓
PegReferencePriceType6Char






✓✓
PegOffset7PriceOffsetInt






✓✓
PegFloorType78Int






✓✓
PegFloorPricePrice






✓✓
PegFloorFloatingPoints7PriceOffsetInt






✓✓
PriceType89Int✓






✓
StrategyConfigString✓✓✓✓✓✓✓✓✓
  1. FixingSource may be one of:
    • WMR - WM/Reuters
    • BFIX - Bloomberg
  2. FixingDate is formatted YYYYMMDD
  3. FixingTime is formatted HH:MM (on the hour and half-hour)
  4. FixingTimeZone may be one of:
    • UTC (only)
    • Other values rejected.
  5. PreFixAllocationPercent NOT supported for FixingSource=BFIX
  6. PegReferencePriceType may be one of:
    • R - NearTouch
    • M - MidPoint
    • P - FarTouch
  7. PegOffset and PegFloorFloatingPoints represent a count of the number of minimum price increment values to be applied to the reference/floor price (i.e. not a direct pips or absolute value to be applied). The minimum price increment is 0.1 pip for most pairs with RUB instruments being an exception.
  8. PegFloorType may be one of:
    • 0 - NoFloor
    • 1 - Fixed
    • 2- Floating
  9. PriceType may be one of:
    • 99 - Average
    • Other values ignored.

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

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.