CQG ARRIVAL AI is an AI Optimized Arrival Price with AI Optimized Payups.
Order types: MKT, LMT.
Benchmark: Arrival Price.
Method: Child orders are sized in effort to blend into existing orders through AI optimization. The duration of the order is defined by an AI optimized prediction of volatility and DOM liquidity. PercentOfVolume may be specified as a number between 0 and 1 as a guideline.
|
Name |
Tag number |
Format |
Comment |
|
TargetStrategy |
847 |
Int |
1022 - CQG ARRIVAL AI |
|
StartTime |
8151 |
Time after which the algo will begin execution. No slices will be released before this time. Replaced with UTC Now acquired by CQG Algo Engine when this parameter is in the past or not present. Unless stated otherwise, can be updated to different value before algo execution has started; value change is ignored after algo start. Default – Now. | |
|
EndTime |
8152 |
Time that, when set, represents the Computed End Time. Cannot be specified together with MaxDurationInMinutes. Automatically replaced with order’s symbol specific end of trading day when set to time after trading day end. Default: symbol specific end of trading day. | |
|
MaxDurationInMinutes |
9030 |
Float |
If set, this value is added to StartTime to yield the Computed End Time. At the Computed End Time, all slices in the market will be paid up. Non-working size will be cancelled. MaxDurationInMinutes cannot be specified together with End Time. If neither this value, nor End Time are set, the Computed End Time will default to order’s symbol specific end of trading day. Computed End Time will be set to order’s symbol specific end of trading day the when StartTime + MaxDurationInMinutes is after trading day end. |
|
IWouldPrice |
8816 |
Float |
See CQG ARRIVALPRICE algo. |
|
EconomicModel |
9065 |
Char |
See CQG ARRIVALPRICE algo. |
|
ImpactModel |
9070 |
Char |
See CQG ARRIVALPRICE algo. |
|
CostModel |
9072 |
Char |
See CQG ARRIVALPRICE algo. |
|
PercentOfVolume |
9080 |
Float |
Advanced parameter. See CQG ARRIVALPRICE algo. |
|
MinDuration |
9095 |
Float |
Advanced parameter See CQG ARRIVALPRICE algo. |
|
AllowIncomplete |
9073 |
Boolean |
Advanced parameter See CQG ARRIVALPRICE algo. |
|
WakeIntervalSeconds |
8945 |
Float |
Advanced parameter See CQG ARRIVALPRICE algo. |
|
ModelSensitivity |
9111 |
Float |
See CQG PAYUP algo. |
|
OnMiss |
9106 |
Char |
See CQG PAYUP algo. |
|
MaxChaseTicks |
8202 |
Int |
See CQG PAYUP algo. |