Name

Tag number

Format

Comment

TargetStrategy

847

Int

1020 - CQG POV

PercentOfVolume

9080

Float

Determines a quantity of order launched at the current wake interval in following way: quantity is calculated as percent of volume traded during previous wake interval.

So, if volume traded was 100 and percent of volume is 0.05 then 5 lots at max will be launched at the current wake interval.

If calculated quantity is greater than algo’s remaining quantity, algo’s remaining quantity will be launched at the current wake interval.

Default – 0.05 (5%).

Value range is (0, 1.0].

WakeIntervalSeconds

8945

Int

Wake interval in seconds –slice launch interval.

Default 1.

Value is limited by order duration which is based on StartTime, EndTime, MaxDurationInMinutes  parameters.

StartTime

8151

UTCTimestamp

Time after which the algo will begin execution.

No slices will be released before this time.

Replaced with UTC Now acquired by CQG Algo Engine when this parameter is in the past or not present.

Can be updated to different value before algo execution has started; value change is ignored after algo start.

Default – Now.

EndTime

8152

UTCTimestamp

Time that, when set, represents the Computed End Time.

Cannot be specified together with MaxDurationInMinutes.

Automatically replaced with order’s symbol specific end of trading day when set to time after trading day end.

Default: symbol specific end of trading day.

MaxDurationInMinutes

9030

Float

If set, this value is added to  StartTime to yield the Computed End Time.

At the Computed End Time, all slices in the market will be paid up. Non-working size will be cancelled.

MaxDurationInMinutes cannot be specified together with End Time.

If neither this value, nor End Time are set, the Computed End Time will default to order’s symbol specific end of trading day.

Computed End Time will be set to order’s symbol specific end of trading day the  when StartTime + MaxDurationInMinutes is after trading day end.

TickOffset

8402

Int

Initial placement of child orders relative to best level. 0 means join best, -1 means one tick through the market.

Default – 0.

PayupModel

9105

Char

See CQG PAYUP algo.

ModelSensitivity

9111

Float

See CQG PAYUP algo.

OppositeSizeRatio

9120

Float

See CQG PAYUP algo.

OppositeSizeRaw

9130

Int

See CQG PAYUP algo.

OnMiss

9106

Char

See CQG PAYUP algo.

MaxChaseTicks

8202

Int

See CQG PAYUP algo.