The Lab

Expand all   Collapse all

Versions Compared

Old Version 4

changes.mady.by.user Mantripragada Sai Kishore Atreya

Saved on

compared with

New Version Current

changes.mady.by.user Kamakshi Sachdeva

Saved on

Key

  • This line was added.
  • This line was removed.
  • Formatting was changed.
Comment: Published by Scroll Versions from this space and version 1.5.90

...

KeyDecription
MMandatory
CConditional
OOptional


BenchmarOrFixingCharMCharCharOOCharCharCharPriceCharOOCharCharCharCharIntChar
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
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------
TWAPMode
--
FillNowQty
Qty
O--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
OptionsInt--------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
Boolean--------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.