In this paper, we study existence and uniqueness to multidimensional Reflected Backward Stochastic Differential Equations in an open convex domain, allowing for oblique directions of reflection. In a Markovian framework, combining a priori estimates for penalised equations and compactness arguments, we obtain existence results under quite weak assumptions on the driver of the BSDEs and the direction of reflection, which is allowed to depend on both Y and Z. In a non Markovian framework, we obtain existence and uniqueness result for direction of reflection depending on time and Y. We make use in this case of stability estimates that require some smoothness conditions on the domain and the direction of reflection.