Workflow

Algo Orders

Supported Instruments

Please refer to Supported Instruments to view across all venues.

PartyIDs

Please refer to PartyIDs to view across all venues.

Regulatory Fields

Please refer to Regulatory Fields to view across all venues.

Passthru Fields

Please refer to Passthru Fields to view across all venues.

Details

Algo Selection

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.


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

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



TradingStyleInt✓





RiskAversionInt


✓


TradeMomentumChar


✓


ORCADirectTypeInt



✓

ClientEngagementString✓✓✓✓✓✓✓
CompletionPricePrice
✓✓✓


  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:



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.

Algo Control

This venue supports both 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.

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