Outright Futures and Futures Spreads. Market or Limit order.
Benchmark: Volume-Weighted Average Price
Method: Uses a static bucketed, N day historical volume distribution or stochastic volume distribution augmented by realized volatility to execute over a predicted volume distribution.
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.
•Economic Model [Default – Static]
o Static – Use N Day Volume Distribution Mean, Variance
o UncertBands– Use Static distribution as modified by short-term "uncertainty bands”
•I Would Price [Default – Not Set]
o Price at which algo will indiscriminately take all posted liquidity until filled
•Impact Model [Default – Schedule]
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
•Max Duration In Minutes [Default – End of Session]
o Maximum amount of time to work order in minutes. At this time, all slices in the market will be paid up. Non-working size will be cancelled.
•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
•Percent of Volume [Default – 5%]
o Participation rate guidance factor
•Time Horizon Days [Default – 30]
o Bucket horizon in calendar days
•Bucket Interval Minutes [Default – 5]
•Wake Interval Seconds [Default – 15]
•Max Uncertainty Width [Default – 0.7]