CQG POSITIONBRKT – Position Bracket.
Order types: LMT
Available only for instruments for which both Limit and Market orders are available at the destination Exchange.
Method: Implements Bracket behavior using up to three targets for profit (each is a Limit order)and one stop (impl as triggered market order).
This algo does not enter the market and does not create new position. It is assumed to be used to manage an existing position which means that after one of the profit target order fills a ‘stop’ order is launched on the same side as the algo’s.
Parameters:
|
Name |
Tag number |
Format |
Comment |
|
TargetStrategy |
847 |
Int |
1018 - CQG POSITIONBRKT |
|
StopTicks |
9602 |
Int |
Number of ticks away from algo order price (higher for BUY, lower for SELL) to calculate price which when reached will result in launching ‘stop’ part of the algo. Default – 0. Shall be greater than or equal to 0. |
|
Target1PriceTicks |
9610 |
Int |
Number of ticks away from algo order price (lower for BUY, higher for SELL) to determine price of first profit target order. Default – 0. Shall be greater than or equal to 0. |
|
Target1QtyPct |
9611 |
Float |
Percentage of algo order’s quantity to allocate to quantity of first profit target. Default – 0. Value range is [0.0; 1.0]. That parameter cannot be updated – algo will be terminated on attempt to change its value. |
|
Target2PriceTicks |
9612 |
Int |
Number of ticks away from algo order price (lower for BUY, higher for SELL) to determine price of second profit target order. Default – 0. Shall be greater than or equal to 0. |
|
Target2QtyPct |
9613 |
Float |
Percentage of algo order’s quantity to allocate to quantity of second profit target. Default – 0. Value range is [0.0; 1.0]. That parameter cannot be updated – algo will be terminated on attempt to change its value. |
|
Target3PriceTicks |
9614 |
Int |
Number of ticks away from algo order price (lower for BUY, higher for SELL) to determine price of third profit target order. Default – 0. Shall be greater than or equal to 0. |
|
Target3QtyPct |
9615 |
Float |
Percentage of algo order’s quantity to allocate to quantity of third profit target. Default – 0. Value range is [0.0; 1.0]. That parameter cannot be updated – algo will be terminated on attempt to change its value. |
Sum of Target1QtyPct, Target2QtyPct and Target3QtyPct shall be 1.0 or algo order will be rejected.
It is not required to specify all three profit targets parameters but target quantity percentage sum still shall be 1.0 so if only one profit target needs to be launched value of corresponding percentage parameter shall be 1.0.
Algo uses ‘greedy’ logic when allocating its quantity to profit targets: the target with higher quantity percent gets it first, then come targets with lower quantity percent. If there are two targets with equal quantity percent then quantity is allocated to profit targets in numeric order.
For example, if algo order quantity is 1 and there are two profit targets both having 0.5 as their corresponding quantity percent, then there will be a 1 lot Limit order sent to destination Exchange for first target, and no orders for second target.
Quantity allocated to targets is rounded to a closest integer value. For example, if order size is 9 and there are 2 targets with 0.5 quantity percent then first one will get 5 lots, second – 4 lots. If order size is 9 and there are three targets with 0.33, 0.33 and 0.34 quantity percent correspondingly, each one will result in a Limit order for 3 lots.
Currently it is not allowed to change quantity percent values for profit targets.
Update of algo quantity may result in cancellation of Limit orders corresponding to profit targets if newly allocated profit target quantity becomes equal to a quantity already filled for that target.