CQG VOLA trades Option at specified volatility.
Order types: MKT
This algo is available for Option instruments which underlying asset is Futures.
Method: calculates Option order price using underlying asset price and algo parameters. Option pricing model is one of these:
- Black-Scholes for European style Options;
- Whaley for American style Options on Futures;
- Black-Scholes in all other cases.
Parameters:
|
Name |
Tag number |
Format |
Comment |
|
Target Strategy |
847 |
Int |
1025 - CQG VOLA |
|
ShowQuantity |
8051 |
Int |
Maximum size of Option order Value range: [1; algo order size]. If value is greater than algo order size it will be capped by order size. |
|
LimitVolatilityPercent |
9500 |
Float |
Limit price of the order in volatility percentage. There is no default value. Value range is (0.0, 1000]. 100 means 100%. |
|
RiskFreeRatePercent |
9501 |
Float |
Risk-free interest rate for option pricing model, annualized percentage. Default – 0. Allowed value range is [-1000; 1000] range. |
|
GrowthRatePercent |
9502 |
Float |
The growth rate of the underlying, net of dividends. Annualized percentage. The concept of growth rate is essentially the risk free rate minus the dividend yield, or r-q in textbooks. Default – 0. Allowed value range is [-1000; 1000] range. Advanced parameter. |
|
BusinessDaysOverride |
9503 |
Float |
Number of business days till the expiration. Annualized with factor 1/252. There is no default value. Parameter value shall be greater than 0.0. There is no max value. Advanced parameter. |
|
QuotingModel |
9520 |
Char |
Quoting model: •0 – JoinOrBetterOrCross Try to be best and allow opposite side crossing. •1 – SniperCrossOnly Send order only when opposite side price matches. •2 – JoinOrBetter Try to be best but don't cross opposite side. •3 – JoinOnly Only join current best on same side. Default – 0 (JoinOrBetterOrCross). |
|
ActiveRangeTicks |
9521 |
Int |
Tells algo to not work order that is farther from best more than this number of ticks Default – 2. Allowed value range is [0, 1000]. |
|
MaxBackTicks |
9522 |
Int |
Maximum number ticks to step back from child price computed by algo. Default – 0. Allowed value range is [0, 1000]. |
|
CompeteDelayMs |
9523 |
Int |
Number of milliseconds to delay price improvement since latest price worsening. Min value – 0. Default – 1000. There is no upper limit for this parameter. |
|
PauseOnRejectMs |
9524 |
Int |
Number of milliseconds to pause quoting after receiving a reject on a child order. Min value – 0. Default – 1000. There is no upper limit for this parameter. |
|
MaxConsecutiveRejects |
9525 |
Int |
Maximum allowed number of consecutive rejects received on child order. Algo will be terminated if that number is reached. Min value – 0. Default – 5. There is no upper limit for this parameter. |