The Lab

Expand all   Collapse all

Versions Compared

Old Version 5

changes.mady.by.user Unknown User (aagoro)

Saved on

compared with

New Version Current

changes.mady.by.user Matthew Whitaker

Saved on

Key

  • This line was added.
  • This line was removed.
  • Formatting was changed.
Comment: Published by Scroll Versions from this space and version 1.5.25

...

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



TradingStyleInt✓





RiskAversionInt


✓


TradeMomentumPriceChar


✓


ORCADirectTypeInt



✓

ClientEngagementString✓✓✓✓✓✓✓
CompletionPriceORCADirectTypePriceCompletionPrice
✓✓✓


  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.

...

Info
titleSuspend/Release

This venue supports both client and venue - 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.

Venue-initiated:

  • Notification of these events will be via ExecutionReport (Restated) messages
    • .

Please refer to the OrderStateTransitionDiagram for details of the order lifecycle.

...