CQG SMARTMARKET uses pre-configured Payup logic in attempt to save implicit trading costs of directly buying at the bid or selling at the offer.
Order types: MKT
Method: Technically it’s a CQG PAYUP algo with TheoQueue payup model and JoinIfStable on miss behavior.
Note: this algo doesn’t have any algo specific parameters except for TargetStrategy(847) value.
Parameters:
|
Name |
Tag number |
Format |
Comment |
|
TargetStrategy |
847 |
Int |
1021 - CQG SMARTMARKET |
Multi-Legged Algo
To create a multi-legged algo order FIX client should provide a separate order request for each leg of multi-legged algo order.
Execution of multi-legged algo order starts only after requests for all legs will be received.
These requests must contain the correct leg number (tag 10000), the same group identifier (tag 10001) and the correct number of legs (tag 10002).
Execution reports for each leg will be sent to the FIX client as separate events.
Attempts to modify mleg algo orders will be rejected, please cancel and replace the order.