Outright Futures and Futures Spreads. Market or Limit order.
Benchmark: Order Arrival Midpoint or Sweep to Fill
Method: Arrival price uses short-term volatility and other signals to balance price risk vs cost of liquidity. Child orders can be sized based on market-by-order metrics or percent of volume parameters. Child orders can contain Payup logic.
Algo parameters in addition to [Side, Size]
•Start Time [Default – Now]
o Time after which the algo will begin execution. No slices will be released before this time. This time can be in the recent past, so long as the Computed End Time is in the future.
•End Time [Default – Not Set]
o If set, this value represents the Computed End Time.
o At this time, all slices in the market will be paid up. Non-working size will be cancelled.
o Cannot be specified with Max Duration In Minutes.
•Max Duration In Minutes [Default – Not Set]
o If set, this value is added to Start Time to yield the Computed End Time.
o At the Computed End Time, all slices in the market will be paid up. Non-working size will be cancelled.
o This value cannot be specified with End Time.
o If neither this value nor End Time are set, the Computed End Time will default to End of Session.
•I Would Price [Default – Not Set]
o Price at which algo will indiscriminately take all posted liquidity until filled
•Economic Model [Default – Darby2021]
o Darby2021 - Computes optimal working time based on volatility, liquidity
o AC2000 - Working time as a parameter
•Impact Model [Default – MBO]
o MBO – Place inconspicuously-sized orders based on order population
o PovOnly – Limit participation as a percentage of traded volume
o Schedule – Don't limit slice sizes
•Cost Model [Default – Optimistic]
o Optimistic – Speed up during favorable market moves with respect to arrival price, or slow down during unfavorable moves, thus allowing the market to mean-revert.
o Aggressive – Maintain optimal velocity based solely on liquidity, whether the market moves favorably or unfavorably.
•Tick Offset [Default – 0]
o Initial placement of child orders relative to best level. 0 means join best, -1 means one tick through the market.
•Payup Parameters: see PayUp Algo
Advanced parameters
•Slippage Tolerance [Default – 0.0]
o Appetite (in points) for variance risk. Values greater than 0 extend the computed optimal working time
•Percent of Volume [Default – 5%]
o Participation rate guidance factor
•Vol Override [Default – Not Set]
o Short-term volatility override, affects optimal working time
•Drift Override [Default – Not Set]
o Short-term drift override in points, affects optimal working time
•Gamma Factor [Default – 0]
o Aggressivity parameter. Positive values push volume toward the end of the trading horizon, negative numbers push toward the beginning. Range -4 to +4