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OPN - At Opening
GTC/GTD/GFT
Treat as Alog strategies:
From QUOD(!!!)
| Algo | Category | Description |
|---|---|---|
| Adaptive Liquidity Seeking | Liquidity Seeking | An algorithm which reacts to market events such as market data, execution and a set of other criteria to dynamically update the decision tree to seek liquidity on lit and dark venues. |
| Adaptive TWAP | Execution | A slicing algorithm that submits equal size slices over a certain timeframe. Maximum participation rate can also be taken into account |
| Adaptive VWAP | Execution | A benchmarking algorithm that slices an order according to the historical volume reparation over a certain time horizon. Every slice benefits from the adaptive execution that takes into account the current market conditions and the aggressivity of the algorithm. |
| Arrival Price / Implementation Shortfall | Execution | An algorithm that regularly adapts its participation based on estimated market impact in order to remain within a given price band. Participation is increased when the probability of high market impact is low and decreased when the probability is high. Adaptation of the participation is based both on historical behaviour and real-time data |
| Auto-hedging | Trading | Cross-asset class rule-driven autohedger based on position and real-time market data (greeks, delta, vega) for single trades or accrued positions. |
| Custom | Any | Builds client side algos or uses our native algo API for customising this menu and building your own. Over 150 parameters and unlimited logical decisions give you complete customisation of your strategies |
| On-Close Auctions / On-Open Auctions | Trading | Balance impact and dispersion of the orders into and during the closing/opening auction. The algorithm phase management detects different market phases, with distinct parameters (e.g. move intra-day from trading to an intra-day auction phase) |
| Pair Trading | Trading | A neutral trading strategy enabling traders to profit from virtually any market conditions including uptrend, downtrend or sideways movement |
| Participation Volume (PoV) | Execution | To execute a given percentage of visible liquidity in the market (for instance no more than 30%) in order to limit market impact |
| Pegged Order | Trading | An order to the bid or ask with, or without an offset. The display quantity will float with the bid or ask, up to the ultimate limit price of the order. |
| Pegged Order - with price | Trading | An enhanced pegged order that pegs to the BBO using an offset (in ticks or price) as defined by the users. Additional conditions such as limit price, min/max quantity or a-would-price (which for buy and Above which for sell) are available to hunt for liquidity |
| Random Distribution Iceberg | Execution | A slicing algorithm which randomly sends child orders onto the market, so it is not initially being recognised as a child order |
| Sniping | Trading | Takes a set of predefined triggers such as the bid/offer trigger price and quantity/child order slice to hunt for liquidity |
| Statistical Adaptive Liquidity Seeking | Liquidity seeking | A liquidity seeking algorithm which integrates real-time / near-time statistical analysis to enrich the adaptive decision making process |
| Synthetic OCO | Trading | Cancels an order when another one is fully filled |
| Synthetic OTO | Trading | Triggers an order when another order is fully filled |
| Synthetic Stop | Trading | A limit sell order for a given instrument which is managed by the system and triggered by falling price |
| Synthetic Take Profit | Trading | A limit sell order for a given instrument which is managed by the system and triggered by raising the price |
| Synthetic time-in-force | Trading | A Good-Till-Date (GTD) or Good Till-Cancel (GTC) order type which is held away from the market and able to execute on a range of venues meeting the trade criteria |
| Timed Order | Trading | Releases the order at a specific time to the exchange for execution |
| Trailing Stop | Trading | A Stop-loss order which the stop loss price is set to some fixed percentage below the market price. The market price rises, the stop loss price rises proportionally |
Instead of dedicated or overloaded fields in the Schema, use:
| 847 | TargetStrategy | The target strategy of the order |
| Component(-) | StrategyParametersGrp | Strategy parameter block |
| Repeating Group 957 | NoStrategyParameters | Indicates number of strategy parameters |
| 958 | StrategyParameterName | Name of parameter |
| 959 | StrategyParameterType | Datatype of the parameter. |
| 960 | StrategyParameterValue | Value of the parameter |
| end Repeating Group |
Additional Attributes
Limit price
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