Name

Tag number

Format

Comment

TargetStrategy

847

Int

1012 - CQG ROLL

HedgeTicks

9601

Int

Hedge ticks

Global algo parameter, not specific to any of the legs.

LegIndex

10000

Int

0-based leg index.

Required for all legs.

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 Roll algo.

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.

EconomicModel

9065

Char

•      0 - Darby2021 - Computes optimal working time based on volatility, liquidity.

Default – Darby2021.

Specific for leg with 0 index.

IWouldPrice

8816

Float

Price at which algo will indiscriminately take all posted liquidity until filled.

•      Default – Not Set.

Specific for leg with 0 index.

ImpactModel

9070

Char

•      0 - MBO – Place inconspicuously-sized orders based on order population

•      1 - PovOnly – Limit participation as a percentage of traded volume

•      2 - Schedule – Don't limit slice size

Default – Schedule.

Specific for leg with 0 index.

CostModel

9072

Char

•      0 - Optimistic – Speed up during favorable market moves with respect to arrival price, or slow down during unfavorable moves, thus allowing the market to mean-revert.

•      1 - Aggressive – Maintain optimal velocity based solely on liquidity whether the market moves favorably or unfavorably. 

Specific for leg with 0 index.

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.

Can be used with both legs.

PercentOfVolume

9080

Float

Advanced parameter.

Participation rate guidance factor.

Default – 0.05 (5%).

Specific for leg with 0 index.

MinDuration

9095

Float

Min Duration in Minutes.

Specific for leg with 0 index.

AllowIncomplete

9073

Boolean

Advanced parameter

When true, allows for parameterizations of arrival price to result in orders not fully completing, default false.

Specific for leg with 0 index.

WakeIntervalSeconds

8945

Float

Advanced parameter

How often to analyze the market, in seconds, default 1.

Specific for leg with 0 index.

Currently there is no limit for this parameter value for this algo but it is not reasonable to use values greater than algo duration.

PayupModel

9105

Char

See CQG PAYUP algo.

Can be used with both legs.

SuccessProbability

9110

Float

See CQG PAYUP algo.

Can be used with both legs.

OppositeSizeRatio

9120

Float

See CQG PAYUP algo.

Can be used with both legs.

OppositeSizeRaw

9130

Float

See CQG PAYUP algo.

Can be used with both legs.

OnMiss

9106

Char

See CQG PAYUP algo.

Can be used with both legs.

MaxChaseTicks

8202

Int

See CQG PAYUP algo.

Can be used with both legs.