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Comment: Published by Scroll Versions from this space and version 1.5.90

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StrategyParameterNameStrategyParameterTypeTargetStrategyComments
TargetStrategyStringChameleonViperTWAPIguanaBenchmarOrFixingBenchmarkOrFixingLimitStopCustomRex-
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
InternalLiquidityCharBooleanMMMOOO--O-

Allowed Values:

  • Y
  • N
AutoClipSizeCharBoolean-M-------

Allowed Values:

  • Y
  • N
IntervalInt-M--------
InternalMatchCharBooleanMMMO---O-

Allowed Values:

  • Y
  • N
FillBalanceCharBooleanOO-------

Allowed Values:

  • Y
  • N
FillNow
(RapidFill)		CharBooleanOO-O-----

Allowed Values:

  • Y
  • N
ExtendedOnPauseCharBoolean--O
-----

Allowed Values:

  • Y
  • N
PipSlippagePriceFloatOOOO---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--------
TWAPModeFillNowQty
CharQtyO--O




May be populated when FillNow=Y.

FillNowQty and SizeToWork can not be populated together.

ClipSizeQty-O--------
TWAPModeBoolean---O-----

Allowed Values:

  • Y
  • N
VenueSelectionStringMMOM-----

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
AutoExecutionCharBoolean--------O

Allowed Values:

  • Y
  • N
PortfolioOrderInt--------O

Allowed Values:

  • 1 : Orders in middle
  • 0 : First Order
  • 2 : Last Order
WMR_EOMCharBoolean----O----

Allowed Values:

  • Y
  • N
WMR_SWAPCharBoolean----O----

Allowed Values:

  • Y
  • N
OptionsInt--------O

Allowed Values:

  • 0 - None (Default)
  • 1 - Sync
  • 2 - USDNeutral
FillTypeCharBoolean-----MO--

Allowed Values:

  • Y
  • N
TrailingStopPrice------O---
MidPercentageIntPercentageO---------
ReferenceIDString----O-----
ReferenceSpotPrice----O-----
ForwardPointsPrice----O-----
ForwardFixPrice----O-----
USDNeutralAmountCharBoolean--------O

Allowed Values:

  • Y
  • N
SyncPercentageInt--------O-
CustomParam1String-------O--
CustomParam2String-------O--
CustomParam3String-------O--
CustomParam4String-------O--
CustomParam5String-------O--
CustomParam6String-------O--
CustomParam7String-------O--
CustomParam8String-------O--

...


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.

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Info
titleBooking of Algo Fills

TargetStrategy Chameleon, Viper, TWAP, Iguana, Custom supports PartialFill ExecutionReports. By 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 regarding the same.

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.