Outright Futures, Futures Spreads, and Options. Market or Limit order.
Benchmark: Time-Weighted Average Price (Randomized)
Method: Trade over time with randomly-sized slices
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
•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
•Interval in Seconds [Required]
o Trade interval in seconds
•Order Size Override [Default – Not Set]
o Set child order size manually or order size will be determined by Interval and Max Duration
•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.
•Rand Min / Rand Max
o Minimum and maximum values for the random sizing
•Use Mbo [Default – false]
o Randomize child sizes based on market-by-order population
•Payup Parameters: see PayUp Algo