The following suite of CQG Algos is available in FIX API.
Parameter types and their possible values are described in the Message Definition section.
Advanced parameters could be skipped in FIX requests, most of them have the default values used by CQG Algo Engine when parameter value is not specified in FIX request.
The algo type is specified in the tag 847 (TargetStrategy) for the following requests: New Order Single (D), New Order Multileg (AB), Order Cancel/Replace Multileg (AC), Order Cancel/Replace (G).
Algos can be DAY orders only.
Following values for TargetStrategy(847) fields are currently supported:
- 1000 - CQG ARRIVALPRICE
- 1001 - CQG PAYUP
- 1002 - CQG RICEBERG
- 1003 - CQG RTWAP
- 1004 - CQG SLICEBERG
- 1005 - CQG SLSNIPE
- 1006 - CQG SNIPE
- 1007 - CQG TICK
- 1008 - CQG TWAP
- 1009 - CQG VWAP
- 1010 - CQG OFFSETPAYUP
- 1011 - CQG PEG
- 1012 - CQG ROLL
- 1013 - CQG SLARRIVAL
- 1014 - CQG ICESLICER
- 1015 - CQG OFFSETTICK
- 1016 - CQG ICEPEGGER
- 1017 - CQG SLSWEEPER
- 1018 - CQG POSITIONBRKT
- 1019 - CQG SLSNIPEBERG
- 1020 - CQG POV
- 1021 – CQG SMARTMARKET
- 1022 – CQG ARRIVAL AI
- 1023 – CQG PAYUP AI
- 1024 – CQG OFFSETPAYUPAI