Name

Tag number

Format

Comment

TargetStrategy

847

Int

1009 – CQG VWAP

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.

Currently this parameter cannot be updated for CQG VWAP algo even if algo has not started to work yet – order will be terminated on attempt to change value.

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.

That parameter cannot be updated – algo will be terminated on attempt to change its value.

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.

That parameter cannot be updated – algo will be terminated on attempt to change its value.

PercentOfVolume

9080

Float

Advanced parameter.

Participation rate guidance factor.

Default – 0.05 (5%).

Allowed range is [0.0; 1.0].

TimeHorizonDays

8935

Int

Advanced parameter.

Bucket horizon in calendar days.

Default – 30.

That parameter cannot be updated – algo will be terminated on attempt to change its value.

AveragingMethod

8960

Char

Advanced parameter

Historical volume data averaging method.

0 – Median - In liquid markets it allows to get rid of unusual spikes in historical data.

1 – Mean average - algo calculates simple average over available data and should help, unless historical data are almost empty and simple volume average over available data is almost zero

Default – 0.

That parameter cannot be updated – algo will be terminated on attempt to change its value.

WakeIntervalSeconds

8945

Float

Advanced parameter

Wake interval in seconds –slice launch interval.

Default 15

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

That parameter cannot be updated – algo will be terminated on attempt to change its value.

ScheduleSlicingMethod

8970

Char

Advanced parameter

Controls usage of historical data base volume distribution when algo works with Scheduling ImpactModel.

Values:

•      0 – Accumulative - Accumulate fractions of each slice from start and launch when breach 1

•      1 – Probabilistic - Distribute rest amount of order one by one lot among slices with highest probabilities

Default: 0 -  Accumulative.

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.

MaxChaseTicks

8202

Int

See CQG PAYUP algo.