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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

Please note the following Whisperer constraints:

Whisperer does not currently support GTC orders remaining open across a weekend.
Fixing SWAPs, FWDs and NDFs are not currently supported. Please contact Market Factory Support if you require this functionality.

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.

Key	Decription
M	Mandatory
C	Conditional
O	Optional

StrategyParameterName	StrategyParameterType	TargetStrategy									Comments
`TargetStrategy`	`String`	`Chameleon`	`Viper`	`TWAP`	`Iguana`	`BenchmarkOrFixing`	`Limit`	`Stop`	`Custom`	`Rex`	-
`FixingSource`	`String`	-	-	-	-	M	-	-	-	-	Allowed Values: WMR : WM/Reuters BFIX : Bloomberg
`FixingDate`	`LocalMktDate, UTCDateOnly`	-	-	-	-	M	-	-	-	-	YYYYMMDD
`FixingTime`	`String`	-	-	-	-	M	-	-	-	-	HH:MM (on the hour and half-hour)
`FixingTimeZone`	`String`	-	-	-	-	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
`TriggerPrice`	`Price`	O	O	O	-	-	-	-	O	-	-
`TriggerSide`	`Int`	C	C	C	-	-	-	-	C	-	Required if TriggerPrice is specified. Allowed Values: 1 : Bid 2 : Ask 3 : Mid 4 :Traded
`Aggressiveness`	`Int`	M	-	-	-	-	-	-	-	O	Allowed Values: 1 : Low 3 : Normal 5 : High 9 : Passive Only
`InternalLiquidity`	`Boolean`	M	M	O	O	O	-	-	O	-	Allowed Values: Y N
`AutoClipSize`	`Boolean`	-	M	-	-	-	-	-	-	-	Allowed Values: Y N
`Interval`	`Int`	-	M	-	-	-	-	-	-	-	-
`InternalMatch`	`Boolean`	M	M	M	O	-	-	-	O	-	Allowed Values: Y N
`FillBalance`	`Boolean`	O	O	-	-	-	-	-	-	-	Allowed Values: Y N
`FillNow (RapidFill)`	`Boolean`	O	O	-	O	-	-	-	-	-	Allowed Values: Y N
`ExtendedOnPause`	`Boolean`	-	-	O		-	-	-	-	-	Allowed Values: Y N
`PipSlippage`	`Float`	O	O	O	O	-	-	-	O	-	-
`AlgoStopPrice`	`Price`	O	O	O	O	-	-	O	O	-	-
`AlgoStopPriceSide`	`Int`	C	C	C	C	-	-	C	C	-	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
`AverageLimitRate`	`Price`	O	O	O	O	-	-	-	-	-	-
`SizeToWork`	`Qty`	O	-	-	O	-	-	-	-	-	FillNowQty and SizeToWork can not be populated together.
`ShowSize`	Qty	-	O	-	-	-	-	-	-	-	-
`FillNowQty`	Qty	O	-	-	O						May be populated when FillNow=Y. FillNowQty and SizeToWork can not be populated together.
`ClipSize`	`Qty`	-	O	-	-	-	-	-	-	-	-
`TWAPMode`	`Boolean`	-	-	-	O	-	-	-	-	-	Allowed Values: Y N
`VenueSelection`	`String`	M	M	O	M	-	-	-	-	-	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
`PortfolioOrder`	`Int`	-	-	-	-	-	-	-	-	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
`Options`	`Int`	-	-	-	-	-	-	-	-	O	Allowed Values: 0 - None (Default) 1 - Sync 2 - USDNeutral
`FillType`	`Boolean`	-	-	-	-	-	M	O	-	-	Allowed Values: Y N
`TrailingStop`	`Price`	-	-	-	-	-	-	O	-	-	-
`MidPercentage`	`Percentage`	O	-	-	-	-	-	-	-	-	-
`ReferenceID`	`String`	-	-	-	-	O	-	-	-	-	-
`ReferenceSpot`	`Price`	-	-	-	-	O	-	-	-	-	-
`ForwardPoints`	`Price`	-	-	-	-	O	-	-	-	-	-
`ForwardFix`	`Price`	-	-	-	-	O	-	-	-	-	-
`USDNeutralAmount`	`Boolean`	-	-	-	-	-	-	-	-	O	Allowed Values: Y N
`SyncPercentage`	`Int`	-	-	-	-	-	-	-	-	O	-
`CustomParam1`	`String`	-	-	-	-	-	-	-	O	-	-
`CustomParam2`	`String`	-	-	-	-	-	-	-	O	-	-
`CustomParam3`	`String`	-	-	-	-	-	-	-	O	-	-
`CustomParam4`	`String`	-	-	-	-	-	-	-	O	-	-
`CustomParam5`	`String`	-	-	-	-	-	-	-	O	-	-
`CustomParam6`	`String`	-	-	-	-	-	-	-	O	-	-
`CustomParam7`	`String`	-	-	-	-	-	-	-	O	-	-
`CustomParam8`	`String`	-	-	-	-	-	-	-	O	-	-

The table below sets out the standard Order field that may need to be used to further define the algo.

HasExtendedOrderFields	TargetStrategy
HasExtendedOrderFields	`Chameleon`	`Viper`	`TWAP`	`Iguana`	`FixingOrder`	`Limit`	`Stop`	`Custom`	`Rex`
`EffectiveTime`	✓	✓	✓	✓	✓	✓	✓	✓	✓
`ExpireTime`	✓	✓	✓	✓	-	✓	✓	✓	-
ExposureDuration	-	-	✓	✓	-	-	-	-	-
`MaxShow`	-	-	-	-	-	-	-	-	-
StopPx	-	-	-	-	-	-	✓	-	-

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

ExposureDuration must be specified in milliseconds as per the schema. The expected granularity of this field as per BNPParibas is second.

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.

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

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.

Booking 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.

For Limit and Stop Strategies, each of the partial fills and final fill is booked and settled.

TargetStrategy BenchmarkOrFixing supports only quantity amends.

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.