Outright Futures, Futures Spreads, and Options. Limit order.
Method: Basic “with a tick” logic, monitors opposite inside size and pays up if it recedes below a threshold or if the market moves away. Optionally reprice or cancel the order if the market moves toward the order.
Algo parameters in addition to [Side, Size, Price]
•Opposite Size Ratio [Default – 1.5]
o Ratio of this order size to opposite inside size, below which the algo triggers
•Opposite Size Raw [Default – 0 (disabled)]
o Raw opposite size threshold, below which the algo triggers.
•Max Chase Ticks [Default – 2]
o Maximum number of ticks to pay up
•Trade Toward Behavior [Default – NO_CHANGE]
o What happens if the market moves towards us.
o NO_CHANGE – Continue to lean on the original opposite inside price
o CANCEL – Cancel the order
o REPRICE – Lean on the new opposite inside price
•Imbalance Ratio [Default – 0.0]
o Trigger threshold:
o (SameSize–OppositeSize) / (SameSize– OppositeSize)
•Enable Imbalance [Default – False]
o Look for order imbalance