Outright Futures, Futures Spreads, and Options. Limit order.
Method: PayUp comprises several models designed to work orders at best levels and pay up based on a variety of statistical factors in attempt to save implicit trading costs by buying at the bid or selling at the offer. This logic is featured in many other algos and it is also its own simple algo.
Algo parameters in addition to [Side, Size, Price]
•PayUp Model [Required]
o Never
Pay up only if a parent scheduling algorithm forces
o Immediate
Pay up immediately, through multiple levels, until complete
o Simple
Pay up if the OppositeInsideSize is <= MySize*OppositeSizeRatio OR OppositeInsideSize < OppositeSizeRaw.
o Imbalance
Pay up if the probability of the market turning in our favor is less than SuccessProbability OR if the conditions above in Simple mode obtain.
o FairQueue
Pay up if the probability of the market NOT turning against us in the next time period is less than SuccessProbability OR if the conditions above in Simple mode obtain.
Join a new market if the probability of the market reverting to the prior level is less than JoinThreshold.
o TheoQueue
Pay up if the probability of the market NOT turning against us in the next time period is less than SuccessProbability GIVEN that the market is driven by an independent, latent theoretical process.
Join a new market if the probability of the market reverting to the prior level is less than JoinThreshold.
•Success Probability [Default – 0.6 (this means 60%)]
o Probability of a passive fill threshold, used in FairQueue and TheoQueue models above.
•Opposite Size Ratio [Default – 1.5]
o Ratio of this order size to opposite inside size, used in Simple, Imbalance, and FairQueue models above.
•Opposite Size Raw [Default – 0 (disabled)]
o Raw opposite size threshold, used in Simple, Imbalance, and FairQueue models above.
•Join Threshold [Default – 0.5 (this means 50%)]
o Probability threshold to join a new market after missing a Payup, used in FairQueue and TheoQueue models. Zero disables join.
•Max Chase Ticks [Default – 0 (no limit)]
o Maximum number of ticks to pay up. Zero means no maximum