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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`	`BenchmarOrFixing`	`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`	`Char`	M	M	M	O	O	-	-	O	-	Allowed Values: Y N
`AutoClipSize`	`Char`	-	M	-	-	-	-	-	-	-	Allowed Values: Y N
`Interval`	`Int`	-	M	-	-	-	-	-	-	-	-
`InternalMatch`	`Char`	O	O	M	O	-	-	-	O	-	Allowed Values: Y N
`FillBalance`	`Char`	O	O	-	-	-	-	-	-	-	Allowed Values: Y N
`RapidFill`	`Char`	O	O	-	O	-	-	-	-	-	Allowed Values: Y N
`ExtendedOnPause`	`Char`	-	-	O		-	-	-	-	-	Allowed Values: Y N
`PipSlippage`	`Price`	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	-	O	-	-	-	-	-	-
`TWAPMode`	`Char`	O	O	-	O	-	-	-	-	-	Allowed Values: Y N
`VenueSelection`	`String`	O	O	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`	`Char`	-	-	-	-	-	-	-	-	O	Allowed Values: Y N
`PortfolioOrder`	`Int`	-	-	-	-	-	-	-	-	O	Allowed Values: 1 : Orders in middle 0 : First Order 2 : Last Order
`WMR_EOM`	`Char`	-	-	-	-	O	-	-	-	-	Allowed Values: Y N
`WMR_SWAP`	`Char`	-	-	-	-	O	-	-	-	-	Allowed Values: Y N
`Options`	`Int`	-	-	-	-	-	-	-	-	O	Allowed Values: 0 - None (Default) 1 - Sync 2 - USDNeutral
`FillType`	`Char`	-	-	-	-	-	M	O	-	-	Allowed Values: Y N
`TrailingStop`	`Price`	-	-	-	-	-	-	O	-	-	-
`MidPercentage`	`Int`	O	-	-	-	-	-	-	-	-	-
`ReferenceID`	`String`	-	-	-	-	O	-	-	-	-	-
`ReferenceSpot`	`Price`	-	-	-	-	O	-	-	-	-	-
`ForwardPoints`	`Price`	-	-	-	-	O	-	-	-	-	-
`ForwardFix`	`Price`	-	-	-	-	O	-	-	-	-	-
`USDNeutralAmount`	`Char`	-	-	-	-	-	-	-	-	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.

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. The client settlement happens at the full amount of the last fill.

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

TargetStrategy BenchmarkOrFixing supports only quantity amends.