By default each target order is launched immediately at the corresponding target price but it is allowed to choose trailing stop algo as order type for each of targets independently. For example Target1OrderType=1, Target2OrderType=2 values mean that first target order will be launched as LMT DAY and second – as trailing stop.
Trailing stop algo order will wait until market crosses target price and then will trail market at specified tick distance specified by TargetNTrailTicks parameter where N is number of target order: 1, 2 or 3.
Example of trailing stop algo behavior with single profit target order on AAPL equity:
•AAPL market price at the starting moment is $100.
•Algo order side is SELL.
•Algo order price is 100.00
•Target1QtyPct=1, Target1PriceTicks=10, Target1OrderType=2 (TrailingStopAlgo), Target1TrailTicks=5.
•In result a SELL trailing stop algo order is launched on AAPL equity with target price 100.10.
•AAPL market moves to $100.10 – algo activates with trailing price at $100.05.
•AAPL market moves to $100.20 – trail price moves to $100.15.
•AAPL market moves to $100.17 – trail price does not move.
•AAPL market moves to $100.19 – trail price does not move as distance from market is less than target’s trail ticks.
•AAPL market then declines to $100.15 - algo triggers and launches a child to sell, using $100.15 as base for child price calculation.
On trailing stop trigger a child order can be:
1. Launched as LMT DAY order at trigger price.
2. Launched as LMT DAY order at a more aggressive price level which is calculated as:
a. TriggerPrice + TrailingStopPayupTicks * T (tick size) for BUY side
b. TriggerPrice – TrailingStopPayupTicks * T for SELL side.
3. Launched a CQG PAYUP algo which execution is controlled by a set of algo specific parameters.
Trailing stop trigger behavior is controlled by TargetNOnTrigger parameter value.