CQG PAYUP algo uses model-based Payup logic to optimize passive fills.
Order types: LMT
Method: Payup comprises several models designed to work orders at best levels and pay up based on a variety of statistical factors in attempt to save implicit trading costs by buying at the bid or selling at the offer. This logic is featured in many other algos and it is also its own simple algo.
Parameters:
|
Name |
Tag number |
Format |
Comment |
|
TargetStrategy |
847 |
Int |
1001 – CQG PAYUP |
|
PayupModel |
9105 |
Char |
Payup Model: •0 - Never Payup only if a parent scheduling algorithm forces. •1 - Simple Payup if the OppositeInsideSize is <= MySize*OppositeSizeRatio OR OppositeInsideSize < OppositeSizeRaw. •3 - Immediate Pay up immediately •Q – FairQueue Pay up if the probability of the market NOT turning against us in the next time period is less than probability of success calculated by algo OR if the conditions above in Simple mode obtain. Joins a new market when algo considers probability of the market reverting to the prior level negligible. •T - TheoQueue Pay up if the probability of the market NOT turning against us in the next time period is less than probability of success calculated by algo GIVEN that the market is driven by an independent, latent theoretical process. Joins a new market when algo considers probability of the market reverting to the prior level negligible.
|
|
ModelSensitivity |
9111 |
Float |
Bias in sensitivity to up and down signals in the market, 0.0 (default) means no bias. Positive value means reduced sensitivity, negative - increased sensitivity. Default – 0.0 Allowed value range is [-1.0; 1.0]. |
|
OppositeSizeRatio |
9120 |
Float |
Ratio of this order size to opposite inside size, used when PayupModel is Simple. Default – 0.0 Value is limited with 1.0. |
|
OppositeSizeRaw |
9130 |
Int |
Raw opposite size threshold, used in Simple payup model. Default – 0 (disabled) |
|
OnMiss |
9106 |
Char |
Governs what happens when a payup opportunity is missed. Allowed values: •0 – AlwaysPayup - Gets the slice done by crossing the bid / offer spread; default value. •1 – JoinIfStable - Keep the order in queue unless the new bid or offer level is deemed probabilistically stable.
|
|
MaxChaseTicks |
8202 |
Int |
Max number of ticks to pay up. Default – 0 (this means no limit). |