AlgoOrder Scaling Bracket (SB)

A scaling bracket order begins with an initial limit order. When that order is completely filled, up to three bracket orders are placed, each one paired with a stop loss order.

All initial stop loss orders have the same price. When one of the bracket orders is filled, its stop loss order is automatically removed and the remaining stop loss orders are modified towards the market with a given number of ticks.

Once the initial limit order is placed, the SB application starts monitoring it. Once it is completely filled, SB places the bracket orders along with their stop loss orders.

Installing, running, and stopping SB

1. Open CQG software, and log on to trade.

2. From CQG’s website, download and run the installation program for SB (AlgoOrder SB.msi).

If you plan on using the source code in any way, make sure to install the application and the source (Custom Setup).

3. Go to Start > All Programs > CQG > AlgoOrderSB to register the type, so that it can be viewed in the software.

4. In the CQG software, open a trading application. Note that the AlgoOrder type is now listed on the special orders menu.

The SB application runs in the background of the CQG software. The SB icon is visible in the system tray when it’s running.

Right-click that icon to open a menu of options, explained later in this topic, associated with SB orders.

Use this menu to stop the SB application. When you do so, if the initial limit order is not yet filled, the bracket orders are not placed. If the bracket orders are already placed, the stop loss orders are not trailed.

SB parameters

Parameter	Description
Liquidate on Cancel	If on, the remaining position is liquidated if the order is cancelled. Default = off
Scaling Offset	Distance from the market stop loss orders should be placed upon trailing modifications. Type an integer for ticks. Type a price with decimal for currency. Default = 2
Stop Loss Order	Initial distance, in ticks, stop loss orders should be placed from the market. Type an integer for ticks. Type a price with decimal for currency. Default = 5
Tier #1: Quantity	Quantity of the first bracket order. For percentage, the quantity is calculated based on the initial limit order. 20%
Target Order #1	Distance from the market the first bracket order should be placed. Type an integer for ticks. Type a price with decimal for currency. 3
Tier #2: Quantity	Quantity of the second bracket order. For percentage, the quantity is calculated based on the initial limit order. 30%
Target Order #2	Distance from the market the second bracket order should be placed. Type an integer for ticks. Type a price with decimal for currency. 5
Tier #3: Quantity	Quantity of the third bracket order. For percentage, the quantity is calculated based on the initial limit order. 50%
Target Order #3	Distance from the market the third bracket order should be placed. Type an integer for ticks. Type a price with decimal for currency. 7

Monitoring and cancelling SB orders

Right-click the SB icon in the system tray, then click Monitor to open the Monitor window. The window lists working orders with associated data:

• Algo Order ID, format COSBxxxxyyyy-Z, for the initial limit order COSBPnxxxxyyyy-Z,

COSBLnxxxxyyyy-Z, where:

Pn - n-th bracket order

Ln - n-th Stop Loss order

xxxx - the serial number of the algorithmic order placed through the application's current session. This value is reset after restarting the application.

yyyy - the serial number of the leg for the xxxx AO. This value is reset for each AO.

Z - multi-digit serial number of orders placed through the given instance of the application.

• Status

• FCM Account ID

• Account Name

• Instrument Name

• Side

• Type

• Limit Price

• Stop Price

• Total Quantity

• Filled Quantity

• Liquidate on Cancel

• Scaling Offset

• Stop Loss Order

• Tier #1: Quantity

• Target Order #1

• Tier #2: Quantity

• Target Order #2

• Tier #3: Quantity

• Target Order #3

To cancel one or some of the working orders, select them and then click the Cancel Checked Orders button. You can also right-click the order.

To cancel all working orders, click the Cancel All Orders button. You can also right-click the order.

The bracket orders that the application has already placed can be viewed and further managed in CQG software.

To obtain log files, right-click the SB icon in the system tray, then click Show Logs. The local folder that contains logs is opened: C:\Users\<name>\AppData\Local\CQG\AlgoOrder_SB\Logs

SB Profile Manager

Set parameter values using Profile Manager. Right-click the SB icon in the system tray, then click Profile Manager.

SB Configuration Manager

Change naming, tooltip, and log settings using Configuration Manager. Right-click the SB icon in the system tray, then click Configuration Manager.

Setting	Description
Long Name	Name that is displayed in the Special Orders drop-down list in CQG software.
Short Name	Short form of order type name used in the algo order ID and UENames (system uses first four characters). Also used on the special orders menu in the software.
Balloon Tip Level	Determines lower level of importance that should be used to filter out events to be displayed as tool tips in the system tray area. None: Nothing is displayed. Info: All events are displayed. Warning: Warning or error events are displayed. Error: Only error events are displayed.
Log Level	Messages are delivered to the log file. None: Nothing is logged. Info: All events are logged. Warning: Warning or error events are logged. Error: Only error events are logged.
Log File Max Size	Determines maximum size of log file. When reached, a new log file is created. Maximum allowed file size = 32768 KB or 32 MB.
Log Files Max Count	Determines the maximum number of log files. When reached, the oldest file is deleted before a new file is started. Maximum allowed number of log files = 100.