Order types: MKT, LMT
Method: Roll positions in Iceberg mode with Peg logic on the base leg and optional Payup logic on the hedging leg.
This is 2-leg algo – first is the base leg and 2nd is the hedging leg. Base leg works Peg order(s). Fills on base leg are hedged with Payup orders on hedging leg. By default, the algo works in Iceberg mode with visible quantity specified by parameter ShowQuantity. Working quantity on the base leg is replenished after fill(s) on the hedging leg. Multiple fills on hedging leg are consolidating during PauseBetweenOrdersMs period before replenishing base leg working quantity.
Parameters:
|
Name |
Tag number |
Format |
Comment |
|
TargetStrategy |
847 |
Int |
1031 - CQG ICEROLLER |
|
ShowQuantity |
8051 |
Int |
Iceberg visible quantity on the base leg. If set to 0, work full order quantity. Default – 1. |
|
PauseBetweenOrdersMs |
8053 |
Int |
Period of consolidation of hedging fills before replenishing working quantity on base leg. Default – 100. |
|
LegIndex |
10000 |
Int |
0-based leg index. Required for all legs. Should be set to: 0 – for the base leg. 1 – for the hedging 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 for this algo. |
|
TickOffset |
8402 |
Int |
Base leg: Peg offset: 0 means peg to best, positive values – further from market, negative value – into the market. Hedging leg: Initial placement of child orders relative to best level. 0 means join best, -1 means one tick through the market. Default – 0. This parameter value is not limited. |
|
DontRetreatWithMarket |
8405 |
Boolean |
If set to Y then don’t retreat with market on the base leg. Default – N. |
|
PayupModel |
9105 |
Char |
See CQG PAYUP algo. Hedging leg only. |
|
ModelSensitivity |
9111 |
Float |
See CQG PAYUP algo. Hedging leg only. |
|
OppositeSizeRatio |
9120 |
Float |
See CQG PAYUP algo. Hedging leg only. |
|
OppositeSizeRaw |
9130 |
Float |
See CQG PAYUP algo. Hedging leg only. |
|
OnMiss |
9106 |
Char |
See CQG PAYUP algo. Hedging leg only. |
|
MaxChaseTicks |
8202 |
Int |
See CQG PAYUP algo. Hedging leg only. |