Name

Tag number

Format

Comment

TargetStrategy

847

Int

1008 - CQG TWAP

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.

Unless stated otherwise, 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.

IWouldPrice

8816

Float

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

Default – Not Set.

IntervalInSeconds

8820

Int

Interval in seconds between launching two consecutive child orders.

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

OrderSizeOverride

8840

Int

Set child order size manually or order size will be determined by Interval and Max Duration.

When has positive value IntervalInSeconds parameter value is ignored and actual interval is calculated as OrderSizeOverride * (Computed End Time – Actual Start Time) / OrderQty.

Default – Not Set.

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

Float

See CQG PAYUP algo.

OnMiss

9106

Char

See CQG PAYUP algo above.

MaxChaseTicks

8202

Int

See CQG PAYUP algo.