|
|
This documentation is now deprecated. Please switch to the IBKR Campus for up-to-date information regarding IBKR's API solutions. |
The Jefferies Algos are available with the socket-based API languages (Java, C#/.NET, Python, C++).
The following table lists all available Jefferies algo strategies and parameters supported by the API.
Parameter | Description | Type | Syntax/Values |
---|---|---|---|
StartTime | Start time | Time | 9:00:00 EST |
EndTime | End time | Time | 15:00:00 EST |
Relative Limit | Double | Positive and negative values allowed. | |
MaxVolumeRate | Double | ||
ExcludeAuctions | Define auction participation | String | "Exclude_Both", "Include_Open", "Include_Close", "Include_Both" |
TriggerPrice | Double | Any positive value, no max. | |
WoWPrice | Would or Work - The price at which the user is willing to complete the order. Used if no WoW reference is specified. | Double | |
WowReference | Used with WoW price field. If WoW price is not submitted, the Reference price can be submitted for processing. | String | "Market", "Inside_NBBO_Price", "Arrival Price", "PNC", "Open", "BPS_Arrival", "Price", "OPP", "Midpoint" |
MinFillSize | Minimum number of share per execution for non-displayed liquidity. Rounded down to closest lot size. | Integer | |
WoWOrderPct | Max percent of the order on which WoW can work. | Integer | |
WoWMode | String | "BLITZ", "DARKSeek", "Seek_Passive", "Seek_Active", "Seek_Aggressive", "Volume_10%", "Volume_20%", "Volume_30%","VWAP_Day", "Patience" | |
IsBuyBack | The algo should engage in SEC Rule 10b-18 restrictions for buy back in US securities. | String | "Yes", "No" |
Example Jefferies VWAP Algo
Parameter | Description | Type | Syntax/Values |
---|---|---|---|
StartTime | Start time | Time | 9:00:00 EST |
EndTime | End time | Time | 15:00:00 EST |
Relative Limit | Double | Positive and negative values allowed. | |
MaxVolumeRate | Double | ||
ExcludeAuctions | Define auction participation | String | "Exclude_Both", "Include_Open", "Include_Close", "Include_Both" |
TradingSession | Denotes the trading session for the order. | String | "DAY", "PRE-OPEN", "AFTER-HOURS" |
WoWPrice | Would or Work - The price at which the user is willing to complete the order. Used if no WoW reference is specified. | Double | |
WowReference | Used with WoW price field. If WoW price is not submitted, the Reference price can be submitted for processing. | String | "Market", "Inside_NBBO_Price", "Arrival Price", "PNC", "Open", "BPS_Arrival", "Price", "OPP", "Midpoint" |
MinFillSize | Minimum number of share per execution. Rounded down to closest lot size. | Integer | |
WoWOrderPct | Max percent of the order on which WoW can work. | Integer | |
WoWMode | String | "BLITZ", "DARKSeek", "Seek_Passive", "Seek_Active", "Seek_Aggressive", "Volume_10%", "Volume_20%", "Volume_30%","VWAP_Day", "Patience" | |
IsBuyBack | The algo should engage in SEC Rule 10b-18 restrictions for buy back in US securities. | String | "Yes", "No" |
Parameter | Description | Type | Syntax/Values |
---|---|---|---|
StartTime | Start time | Time | 9:00:00 EST |
EndTime | End time | Time | 15:00:00 EST |
Relative Limit | Double | Positive and negative values allowed. | |
MaxVolumeRate | Volume limit | Double | |
DarkVolumeRate | Dark volume limit | Double | |
ExcludeAuctions | Define auction participation | String | "Exclude_Both", "Include_Open", "Include_Close", "Include_Both" |
TradingSession | Denotes the trading session for the order. | String | "DAY", "PRE-OPEN", "AFTER-HOURS" |
WoWPrice | Would or Work - The price at which the user is willing to complete the order. Used if no WoW reference is specified. | Double | |
WowReference | Used with WoW price field. If WoW price is not submitted, the Reference price can be submitted for processing. | String | "Market", "Inside_NBBO_Price", "Arrival Price", "PNC", "Open", "BPS_Arrival", "Price", "OPP", "Midpoint" |
MinFillSize | Minimum number of share per execution for non-displayed liquidity. Rounded down to closest lot size. | Integer | |
WoWOrderPct | Max percent of the order on which WoW can work. | Integer | |
WoWMode | String | "BLITZ", "DARKSeek", "Seek_Passive", "Seek_Active", "Seek_Aggressive", "Volume_10%", "Volume_20%", "Volume_30%","VWAP_Day", "Patience" | |
IsBuyBack | The algo should engage in SEC Rule 10b-18 restrictions for buy back in US securities. | String | "Yes", "No" |
Parameter | Description | Type | Syntax/Values |
---|---|---|---|
StartTime | Start time | Time | 9:00:00 EST |
EndTime | End time | Time | 15:00:00 EST |
Relative Limit | Double | Positive and negative values allowed. | |
DisplaySize | Integer | ||
TradingStyle | String | "Price Improvement", "Opportunistic", "Get-It-Done", "No_Post" | |
IsBuyBack | The algo should engage in SEC Rule 10b-18 restrictions for buy back in US securities. | String | "Yes", "No" |
TradingSession | Denotes the trading session for the order. | String | "DAY", "PRE-OPEN", "AFTER-HOURS" |
Parameter | Description | Type | Syntax/Values |
---|---|---|---|
StartTime | Start time | Time | 9:00:00 EST |
EndTime | End time | Time | 15:00:00 EST |
Relative Limit | Double | Positive and negative values allowed. | |
MaxVolumeRate | Double | ||
Urgency | String | "Passive", "Active", "Aggressive" | |
ExcludeAuctions | Define auction participation | String | "Exclude_Both", "Include_Open", "Include_Close", "Include_Both" |
WoWPrice | Would or Work - The price at which the user is willing to complete the order. Used if no WoW reference is specified. | Double | |
WowReference | Used with WoW price field. If WoW price is not submitted, the Reference price can be submitted for processing. | String | "Market", "Inside_NBBO_Price", "Arrival Price", "PNC", "Open", "BPS_Arrival", "Price", "OPP", "Midpoint" |
MinFillSize | Minimum number of share per execution for non-displayed liquidity. Rounded down to closest lot size. | Integer | |
WoWOrderPct | Max percent of the order on which WoW can work. | Integer | |
WoWMode | String | "BLITZ", "DARKSeek", "Seek_Passive", "Seek_Active", "Seek_Aggressive", "Volume_10%", "Volume_20%", "Volume_30%","VWAP_Day", "Patience" |
Parameter | Description | Type | Syntax/Values |
---|---|---|---|
StartTime | Start time | Time | 9:00:00 EST |
EndTime | End time | Time | 15:00:00 EST |
Relative Limit | Double | Positive and negative values allowed. | |
ExcludeAuctions | Define auction participation | String | "Exclude_Both", "Include_Open", "Include_Close", "Include_Both" |
Urgency | String | "Passive_Minus", "Passive", "Active", "Active_Plus", "Aggressive" | |
MaxVolumeRate | Double | ||
WoWPrice | Would or Work - The price at which the user is willing to complete the order. Used if no WoW reference is specified. | Double | |
WowReference | Used with WoW price field. If WoW price is not submitted, the Reference price can be submitted for processing. | String | "Market", "Inside_NBBO_Price", "Arrival Price", "PNC", "Open", "BPS_Arrival", "Price", "OPP", "Midpoint" |
MinFillSize | Minimum number of share per execution for non-displayed liquidity. Rounded down to closest lot size. | Integer | |
WoWOrderPct | Max percent of the order on which WoW can work. | Integer | |
WoWMode | String | "BLITZ", "DARKSeek", "Seek_Passive", "Seek_Active", "Seek_Aggressive", "Volume_10%", "Volume_20%", "Volume_30%","VWAP_Day", "Patience" |
Parameter | Description | Type | Syntax/Values |
---|---|---|---|
StartTime | Start time | Time | 9:00:00 EST |
EndTime | End time | Time | 15:00:00 EST |
Relative Limit | Double | Positive and negative values allowed. | |
Urgency | String | "Passive_Minus", "Passive", "Active", "Active_Plus", "Aggressive" | |
MinTakeSize | Minimum number of share per execution for displayed liquidity. Rounded down to closest lot size. | Integer | |
MinFillSize | Minimum number of share per execution for non-displayed liquidity. Rounded down to closest lot size. | Integer | |
IsBuyBack | The algo should engage in SEC Rule 10b-18 restrictions for buy back in US securities. | String | "Yes", "No" |
WoWPrice | Would or Work - The price at which the user is willing to complete the order. Used if no WoW reference is specified. | Double | |
WowReference | Used with WoW price field. If WoW price is not submitted, the Reference price can be submitted for processing. | String | "Market", "Inside_NBBO_Price", "Arrival Price", "PNC", "Open", "BPS_Arrival", "Price", "OPP", "Midpoint" |
WoWOrderPct | Max percent of the order on which WoW can work. | Integer | |
WoWMode | String | "BLITZ", "DARKSeek", "Seek_Passive", "Seek_Active", "Seek_Aggressive", "Volume_10%", "Volume_20%", "Volume_30%","VWAP_Day", "Patience" |
Parameter | Description | Type | Syntax/Values |
---|---|---|---|
StartTime | Start time | Time | 9:00:00 EST |
EndTime | End time | Time | 15:00:00 EST |
Relative Limit | Double | Positive and negative values allowed. | |
MaxVolumeRate | Volume limit. | Double | |
WoWPrice | Would or Work - The price at which the user is willing to complete the order. Used if no WoW reference is specified. | Double | |
WowReference | Used with WoW price field. If WoW price is not submitted, the Reference price can be submitted for processing. | String | "Market", "Inside_NBBO_Price", "Arrival Price", "PNC", "Open", "BPS_Arrival", "Price", "OPP", "Midpoint" |
MinTakeSize | Minimum number of share per execution for displayed liquidity. Rounded down to closest lot size. | Integer | |
MinFillSize | Minimum number of share per execution for non-displayed liquidity. Rounded down to closest lot size. | Integer | |
WoWOrderPct | Max percent of the order on which WoW can work. | Integer | |
WoWMode | String | "BLITZ", "DARKSeek", "Seek_Passive", "Seek_Active", "Seek_Aggressive", "Volume_10%", "Volume_20%", "Volume_30%","VWAP_Day", "Patience" |
Parameter | Description | Type | Syntax/Values |
---|---|---|---|
StartTime | Start time | Time | 9:00:00 EST |
EndTime | End time | Time | 15:00:00 EST |
Algo1 | The base algo. | String | "Volume_5%", "Volume_10%", "Volume_15%", "Volume_20%", "Volume_25%", "Volume_30%", "DARKSeek", "Seek_Passive", "Seek_Active", "Seek_Aggressive", "BLITZ", "VWAP_Day", "Qty_Scale", "Patience" |
MaxQty1 | Max quantity for the base algo. | Integer | |
Price 2 | Trigger price for algo 2 if present. | Double | |
Algo2 | Underlying algo 2. Must be different than Algo1 or Algo3. | String | "Volume_5%", "Volume_10%", "Volume_15%", "Volume_20%", "Volume_25%", "Volume_30%", "DARKSeek", "Seek_Passive", "Seek_Active", "Seek_Aggressive", "BLITZ", "VWAP_Day", "Qty_Scale", "Patience" |
MaxQty2 | Max quantity for algo 2 | Integer | |
Price3 | Trigger price for algo 3 if present. | String | |
Algo3 | Underlying algo 2. Must be different than Algo1 or Algo2. | String | "Volume_5%", "Volume_10%", "Volume_15%", "Volume_20%", "Volume_25%", "Volume_30%", "DARKSeek", "Seek_Passive", "Seek_Active", "Seek_Aggressive", "BLITZ", "VWAP_Day", "Qty_Scale", "Patience" |
Parameter | Description | Type | Syntax/Values |
---|---|---|---|
Relative Limit | Double | Positive and negative values allowed. | |
UnitForOpen | Defines the unit for the open quantity, either shares or percentage. | String | Shares must be in round lots. Percentage must be between 1 and 100. |
OpenQty | Determines quantity placed into opening auction. Used unit defined in UnitForOpen. | Double | |
PostOpenStrategy | String | "Volume_5%", "Volume_10%", "Volume_15%", "Volume_20%", "Volume_25%", "Volume_30%", "DARKSeek", "Seek_Passive", "Seek_Active", "Seek_Aggressive", "BLITZ", "VWAP_Day", "Qty_Scale", "Patience" | |
PostOpenLimit | Absolute limit price for the Post Open strategy. | Double | |
PostOpenBenchmark | String | "Inside_NBBO_Price", "Arrival_Price", "PNC", "Open" | |
BenchmarkOffset | In conjunction with Post Open Benchmark, this sets the relative limit for the strategy. | Integer | Positive or negative value in basis points set as the relative limit from the post open benchmark. |
Parameter | Description | Type | Syntax/Values |
---|---|---|---|
StartTime | Start time | Time | 9:00:00 EST |
Urgency | String | "Passive", "Active", "Aggressive" | |
UnitForClose | The unit to use when defining the close quantity. | String | "Shares", "%_of_Order", "%_of_ADV", "%_of_Expected_Close" |
CloseQty | The quantity of the closing auction. | Double |
Parameter | Description | Type | Syntax/Values |
---|---|---|---|
StartTime | Start time | Time | 9:00:00 EST |
EndTime | End time | Time | 15:00:00 EST |
MaxVolumeRate | Double | ||
PortfolioId | User defined ID | FixSizeString | |
PortfolioLimit | Basis points from arrival | Double | |
ExcludeAuctions | Define auction participation | String | "Exclude_Both", "Include_Open", "Include_Close", "Include_Both" |
PortfolioUrgency | String | "1", "2", "3", "4", "5" | |
Style | String | "Cash_Balance", "Beta_Neutral", "IS", "Dark_Only", "Exec_Balance" | |
CompleteByEOD | String | "Yes", "No" | |
PriceLimitType | String | "Fixed", "Floating" | |
Benchmark | String | "Inside_NBBO_Price", "Arrival_Price", "PNC", "Open" | |
BenchmarkOffset | Integer | Positive or Negative value in basis points. | |
TrackingIndex | FixSizeString | ||
MaxOutPerform | Integer | Positive or Negative value in basis points. | |
MinOutPerform | Integer | Positive or Negative value in basis points. |
Parameter | Description | Type | Syntax/Values |
---|---|---|---|
StartTime | Start time | Time | 9:00:00 EST |
EndTime | End time | Time | 15:00:00 EST |
MaxVolumeRate | Volume limit. | Double | |
Style | Boolean | ||
WoWPrice | Would or Work - The price at which the user is willing to complete the order. Used if no WoW reference is specified. | Double | |
WowReference | Used with WoW price field. If WoW price is not submitted, the Reference price can be submitted for processing. | String | "Market", "Inside_NBBO_Price", "Arrival Price", "PNC", "Open", "BPS_Arrival", "Price", "OPP", "Midpoint" |
MinTakeSize | Minimum number of share per execution for displayed liquidity. Rounded down to closest lot size. | Integer | |
MinFillSize | Minimum number of share per execution for non-displayed liquidity. Rounded down to closest lot size. | Integer | |
WoWOrderPct | Max percent of the order on which WoW can work. | Integer | |
WoWMode | String | "BLITZ", "DARKSeek", "Seek_Passive", "Seek_Active", "Seek_Aggressive", "Volume_10%", "Volume_20%", "Volume_30%","VWAP_Day", "Patience" |
Parameter | Description | Type | Syntax/Values |
---|---|---|---|
StartTime | Start time | Time | 9:00:00 EST |
EndTime | End time | Time | 15:00:00 EST |
MaxVolumeRate | Volume limit. | Double | |
PairID | FixSizeString | ||
Balance | String | "Share_Balanced", "Cash_Balanced", "Ratio_Balanced" | |
ExecutionStyle | String | "Active", "TWAP", "Aggressive", "Custom" | |
LegThreshold | Double | ||
PairRatio | Double | ||
PairSpread | Double | ||
PairSpreadOperator | String | <=, >= |
Parameter | Description | Type | Syntax/Values |
---|---|---|---|
StartTime | Start time | Time | 9:00:00 EST |
EndTime | End time | Time | 15:00:00 EST |
MaxVolumeRate | Volume limit. | Double | |
PairID | FixSizeString | ||
Balance | String | "Share_Balanced", "Cash_Balanced", "Ratio_Balanced" | |
ExecutionStyle | String | "Active", "TWAP", "Aggressive", "Custom" | |
LegThreshold | Double | ||
PairBenchmark | String | "PNC", "Open", "Arrival_Price" | |
PairSpread | Double | ||
PairSpreadOperator | String | <=, >= |
Parameter | Description | Type | Syntax/Values |
---|---|---|---|
StartTime | Start time | Time | 9:00:00 EST |
EndTime | End time | Time | 15:00:00 EST |
MaxVolumeRate | Volume limit. | Double | |
ExecutionStyle | String | "Active", "TWAP", "Aggressive", "Custom" | |
LegThreshold | Double | ||
PairID | FixSizeString | ||
PairObjective | String | "Setup", "Unwind", "Reverse" | |
PairRatio | Double | ||
PairCash | Double | ||
PairSpread | Double | ||
PairSpreadOperator | String | <=, >= |
Parameter | Description | Type | Syntax/Values |
---|---|---|---|
StrategyIntent | String | "Volume_5%", "Volume_10%", "Volume_15%", "Volume_20%", "Volume_25%", "Volume_30%", "DARKSeek", "Seek_Passive", "Seek_Active", "Seek_Aggressive", "BLITZ", "VWAP_Day", "Qty_Scale", "Patience" | |
ActionType | String | "Halt", "Resume", "Check_Dark", "Take/Hit" | |
ActionQty | Integer | ||
ActionPrice | Double |