Name

Tag number

Format

Comment

TargetStrategy

847

Int

1000 - CQG ARRIVALPRICE

StartTime

8151

UTCTimestamp

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

UTCTimestamp

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

Price at which algo will indiscriminately take all posted liquidity until filled.

Default – Not Set.

EconomicModel

9065

Char

•      0 - Darby2021 - Computes optimal working time based on volatility, liquidity.

Default – Darby2021.

ImpactModel

9070

Char

•      0 - MBO – Place inconspicuously-sized orders based on order population.

•      1 - PovOnly – Limit participation as a percentage of traded volume.

•      2 - Schedule – Don't limit slice sizes.

Default – MBO.

CostModel

9072

Char

•      0 - Optimistic – Speed up during favorable market moves with respect to arrival price, or slow down during unfavorable moves, thus allowing the market to mean-revert.

•      1 - Aggressive – Maintain optimal velocity based solely on liquidity whether the market moves favorably or unfavorably. 

PercentOfVolume

9080

Float

Advanced parameter.

Participation rate guidance factor.

Default – 0.05 (5%).

MinDuration

9095

Float

Advanced parameter

Min Duration in Minutes.

Default – 0.0.

AllowIncomplete

9073

Boolean

Advanced parameter

When Y, allows for parameterizations of arrival price to result in orders not fully completing, default N.

WakeIntervalSeconds

8945

Float

Advanced parameter

How often to analyze the market, in seconds, default 1.

Currently there is no limit for this parameter value for this algo but it is not reasonable to use values greater than algo duration.

TickOffset

8402

Int

Initial placement of child orders relative to best level. 0 means join best, -1 means one tick through the market.

Default – 0.

PayupModel

9105

Char

See CQG PAYUP algo.

ModelSensitivity

9111

Float

See CQG PAYUP algo.

OppositeSizeRatio

9120

Float

See CQG PAYUP algo.

OppositeSizeRaw

9130

Float

See CQG PAYUP algo.

OnMiss

9106

Char

See CQG PAYUP algo.

MaxChaseTicks

8202

Int

See CQG PAYUP algo.

TickOffset

8402

Int

Initial placement of child orders relative to best level. 0 means join best, -1 means one tick through the market.

Default – 0.