Name

Tag number

Format

Comment

TargetStrategy

847

Int

1026 – CQG HEDGEDVOLA

LegIndex

10000

Int

0-based leg index.

Required for all legs.

Should be set to:

0 – for first leg.

1 – for second leg.

GroupID

10001

String

Globally unique identifier assigned by a client to every leg order constituting the single multi-legged algo order.

Required for all legs.

NumberOfLegs

10002

Int

Number of legs in multi-legged algo.

Required for all legs, shall be 2.

ShowQuantity

8051

Int

Maximum size of Option order

Value range: [1; algo order size].

If value is greater than algo order size it will be capped by order size.

Specific for leg order with 0 index.

LimitVolatilityPercent

9500

Float

Limit price of the order in volatility percentage.

There is no default value.

Value range is (0.0, 1000].

100 means 100%.

Specific for leg with 0 index.

RiskFreeRatePercent

9501

Float

Risk-free interest rate for option pricing model, annualized percentage.

Default – 0.

Allowed value range is [-1000; 1000] range.

Specific for leg with 0 index.

GrowthRatePercent

9502

Float

The growth rate of the underlying, net of dividends. Annualized percentage.

The concept of growth rate is essentially the risk free rate minus the dividend yield, or r-q in textbooks.

Default – 0.

Allowed value range is [-1000; 1000] range.

Advanced parameter.

Specific for leg with 0 index.

BusinessDaysOverride

9503

Float

Number of business days till the expiration. Annualized with factor 1/252.

There is no default value.

Parameter value shall be greater than 0.0.

There is no max value.

Advanced parameter.

Specific for leg with 0 index.

QuotingModel

9520

Char

Quoting model:

•      0 – JoinOrBetterOrCross

Try to be best and allow opposite side crossing.

•      1 – SniperCrossOnly

Send order only when opposite side price matches.

•      2 – JoinOrBetter

Try to be best but don't cross opposite side.

•      3 – JoinOnly

Only join current best on same side.

Default – 0 (JoinOrBetterOrCross).

Specific for leg with 0 index.

ActiveRangeTicks

9521

Int

Tells algo to not work order that is farther from best more than this number of ticks

Default – 2.

Allowed value range is [0, 1000].

Specific for leg with 0 index.

MaxBackTicks

9522

Int

Maximum number ticks to step back from child price computed by algo.

Default – 0.

Allowed value range is [0, 1000].

Specific for leg with 0 index.

CompeteDelayMs

9523

Int

Number of milliseconds to delay price improvement since latest price worsening.

Min value – 0.

Default – 1000.

There is no upper limit for this parameter.

Specific for leg with 0 index.

PauseOnRejectMs

9524

Int

Number of milliseconds to pause quoting after receiving a reject on a child order.

Min value – 0.

Default – 1000.

There is no upper limit for this parameter.

Specific for leg with 0 index.

MaxConsecutiveRejects

9525

Int

Maximum allowed number of consecutive rejects received on child order.

Algo will be terminated if that number is reached.

Min value – 0.

Default – 5.

There is no upper limit for this parameter.

Specific for leg with 0 index.

PayupModel

9105

Char

See CQG PAYUP algo.

Specific for leg with 1 index.

ModelSensitivity

9111

Float

See CQG PAYUP algo.

Specific for leg with 1 index.

OppositeSizeRatio

9120

Float

See CQG PAYUP algo.

Specific for leg with 1 index.

OppositeSizeRaw

9130

Float

See CQG PAYUP algo.

Specific for leg with 1 index.

OnMiss

9106

Char

See CQG PAYUP algo.

Specific for leg with 1 index.

MaxChaseTicks

8202

Int

See CQG PAYUP algo.

Specific for leg with 1 index.