CQG CLOSER

Executes a VWAP algo up to trading day end or a given target time.

Order types: MKT, LMT

This is essentially VWAP algo which start/end times are computed automatically. End time is set to current trading day end and can be overridden by EndTime parameter. VWAP duration (and start time therefore) is computed from historical volume distribution and algo parameters (PercentOfVolume) to provide best execution.

Parameters:

Name	Tag number	Format	Comment
TargetStrategy	847	Int	1030 – CQG CLOSER
EndTime	8152	UTCTimestamp	If set, then the algo should be executed up to this time. Default: symbol specific end of trading day.
IWouldPrice	8816	Price	Price at which algo will indiscriminately take all posted liquidity until filled. Default – Not Set. That parameter cannot be updated – algo will be terminated on attempt to change its value. This parameter value is not limited.
PercentOfVolume	9080	Float	Advanced parameter. Participation rate guidance factor. Default – 0.05 (5%). Allowed range: [0.0; 1.0].
TimeHorizonDays	8935	Int	Advanced parameter. Bucket horizon in calendar days. Default – 30. That parameter cannot be updated – algo will be terminated on attempt to change its value. Value range: [1; 60].
AveragingMethod	8960	Char	Advanced parameter Historical volume data averaging method. 0 – Median - In liquid markets it allows to get rid of unusual spikes in historical data. 1 – Mean average - algo calculates simple average over available data and should help, unless historical data are almost empty and simple volume average over available data is almost zero Default – 0. That parameter cannot be updated – algo will be terminated on attempt to change its value.
WakeIntervalSeconds	8945	Float	Advanced parameter Wake interval in seconds –slice launch interval. Min value – 1. Default – 15. Value is limited by order duration which is based on StartTime, EndTime, MaxDurationInMinutes parameters. That parameter cannot be updated – algo will be terminated on attempt to change its value.
ScheduleSlicingMethod	8970	Char	Advanced parameter Controls usage of historical data base volume distribution when algo works with Scheduling ImpactModel. Values: • 0 – Accumulative - Accumulate fractions of each slice from start and launch when breach 1 • 1 – Probabilistic - Distribute rest amount of order one by one lot among slices with highest probabilities Default: 0 - Accumulative.
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.
AllowIncomplete	9073	Boolean	Advanced parameter When Y algo may not complete. Default – N.
AdjustVolumeCurves	9074	Boolean	Advanced parameter When Y, adjust scheduled slice size if actual market volume deviates from historical one. Default – N.