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Jefferies Algorithms

Jefferies Algorithm

The Jefferies Algos are available with the socket-based API languages (Java, C#/.NET, Python, C++).

  • It is recommended to first try to create the Jefferies algo in TWS to see the most current available field values.
  • Jefferies algos are only available in live accounts.
  • Some fields have default values and are optional in TWS but must be explicitly specified in the API.

Available Jefferies Algos

VWAP

TWAP

VolPart

Blitz

Strike

Seek

Darkseek

Post

MultiScale

Opener

Finale

Portfolio

Patience

Pairs - Ratio

Pairs - Net Return

Pairs - Arb

Trader

The following table lists all available Jefferies algo strategies and parameters supported by the API.

jeffalgoparams971.png


VWAP (VWAP)

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

  • Contract contract = new Contract();
    contract.Symbol = "AAPL";
    contract.SecType = "STK";
    contract.Exchange = "JEFFALGO"; // must be direct-routed to JEFFALGO
    contract.Currency = "USD"; // only available for US stocks
    ...
    AvailableAlgoParams.FillJefferiesVWAPParams(baseOrder, "10:00:00 US/Eastern", "16:00:00 US/Eastern", 10, 10, "Exclude_Both", 130, 135, 1, 10, "Patience", false, "Midpoint");
    client.placeOrder(nextOrderId++, ContractSamples.JefferiesContract(), baseOrder);
    ...
    public static void FillJefferiesVWAPParams(Order baseOrder, string startTime, string endTime, double relativeLimit,
    double maxVolumeRate, string excludeAuctions, double triggerPrice, double wowPrice, int minFillSize, double wowOrderPct,
    string wowMode, bool isBuyBack, string wowReference)
    {
    baseOrder.AlgoStrategy = "VWAP";
    baseOrder.AlgoParams = new List<TagValue>();
    baseOrder.AlgoParams.Add(new TagValue("startTime", startTime));
    baseOrder.AlgoParams.Add(new TagValue("endTime", endTime));
    baseOrder.AlgoParams.Add(new TagValue("relativeLimit", relativeLimit.ToString()));
    baseOrder.AlgoParams.Add(new TagValue("maxVolumeRate", maxVolumeRate.ToString()));
    baseOrder.AlgoParams.Add(new TagValue("excludeAuctions", excludeAuctions));
    baseOrder.AlgoParams.Add(new TagValue("triggerPrice", triggerPrice.ToString()));
    baseOrder.AlgoParams.Add(new TagValue("wowPrice", wowPrice.ToString()));
    baseOrder.AlgoParams.Add(new TagValue("minFillSize", minFillSize.ToString()));
    baseOrder.AlgoParams.Add(new TagValue("wowOrderPct", wowOrderPct.ToString()));
    baseOrder.AlgoParams.Add(new TagValue("wowMode", wowMode));
    baseOrder.AlgoParams.Add(new TagValue("IsBuyBack", isBuyBack ? "1" : "0"));
    baseOrder.AlgoParams.Add(new TagValue("wowReference", wowReference));
    }
  • Contract contract = new Contract();
    contract.symbol("AAPL");
    contract.secType("STK");
    contract.exchange("JEFFALGO"); // must be direct-routed to JEFFALGO
    contract.currency("USD"); // only available for US stocks
    ...
    AvailableAlgoParams.FillJefferiesVWAPParams(baseOrder, "10:00:00 US/Eastern", "16:00:00 US/Eastern", 10, 10, "Exclude_Both", 130, 135, 1, 10, "Patience", false, "Midpoint");
    client.placeOrder(nextOrderId++, ContractSamples.JefferiesContract(), baseOrder);
    ...
    public static void FillJefferiesVWAPParams(Order baseOrder, String startTime, String endTime, double relativeLimit,
    double maxVolumeRate, String excludeAuctions, double triggerPrice, double wowPrice, int minFillSize, double wowOrderPct,
    String wowMode, boolean isBuyBack, String wowReference) {
    // must be direct-routed to "JEFFALGO"
    baseOrder.algoStrategy("VWAP");
    baseOrder.algoParams(new ArrayList<>());
    baseOrder.algoParams().add(new TagValue("StartTime", startTime));
    baseOrder.algoParams().add(new TagValue("EndTime", endTime));
    baseOrder.algoParams().add(new TagValue("RelativeLimit", String.valueOf(relativeLimit)));
    baseOrder.algoParams().add(new TagValue("MaxVolumeRate", String.valueOf(maxVolumeRate)));
    baseOrder.algoParams().add(new TagValue("ExcludeAuctions", excludeAuctions));
    baseOrder.algoParams().add(new TagValue("TriggerPrice", String.valueOf(triggerPrice)));
    baseOrder.algoParams().add(new TagValue("WowPrice", String.valueOf(wowPrice)));
    baseOrder.algoParams().add(new TagValue("MinFillSize", String.valueOf(minFillSize)));
    baseOrder.algoParams().add(new TagValue("WowOrderPct", String.valueOf(wowOrderPct)));
    baseOrder.algoParams().add(new TagValue("WowMode", wowMode));
    baseOrder.algoParams().add(new TagValue("IsBuyBack", isBuyBack ? "1" : "0"));
    baseOrder.algoParams().add(new TagValue("WowReference", wowReference));
    }
  • Dim contract As Contract = New Contract()
    contract.Symbol = "AAPL"
    contract.SecType = "STK"
    contract.Exchange = "JEFFALGO" 'must me direct-routed to JEFFALGO
    contract.Currency = "USD" 'only available for US stocks
    ...
    AvailableAlgoParams.FillJefferiesVWAPParams(baseOrder, "10:00:00 US/Eastern", "16:00:00 US/Eastern", 10, 10, "Exclude_Both", 130, 135, 1, 10, "Patience", False, "Midpoint")
    client.placeOrder(increment(nextOrderId), ContractSamples.JefferiesContract(), baseOrder)
    ...
    Public Shared Sub FillJefferiesVWAPParams(baseOrder As Order, startTime As String, endTime As String, relativeLimit As Double, maxVolumeRate As Double, excludeAuctions As String,
    triggerPrice As Double, wowPrice As Double, minFillSize As Integer, wowOrderPct As Double, wowMode As String, isBuyBack As Boolean, wowReference As String)
    'Must be direct-routed to "JEFFALGO"
    baseOrder.AlgoStrategy = "VWAP"
    baseOrder.AlgoParams = New List(Of TagValue)
    baseOrder.AlgoParams.Add(New TagValue("startTime", startTime))
    baseOrder.AlgoParams.Add(New TagValue("endTime", endTime))
    baseOrder.AlgoParams.Add(New TagValue("relativeLimit", relativeLimit.ToString()))
    baseOrder.AlgoParams.Add(New TagValue("maxVolumeRate", maxVolumeRate.ToString()))
    baseOrder.AlgoParams.Add(New TagValue("excludeAuctions", excludeAuctions))
    baseOrder.AlgoParams.Add(New TagValue("triggerPrice", triggerPrice.ToString()))
    baseOrder.AlgoParams.Add(New TagValue("wowPrice", wowPrice.ToString()))
    baseOrder.AlgoParams.Add(New TagValue("minFillSize", minFillSize.ToString()))
    baseOrder.AlgoParams.Add(New TagValue("wowOrderPct", wowOrderPct.ToString()))
    baseOrder.AlgoParams.Add(New TagValue("wowMode", wowMode))
    baseOrder.AlgoParams.Add(New TagValue("isBuyBack", BooleantoString(isBuyBack)))
    baseOrder.AlgoParams.Add(New TagValue("wowReference", wowReference))
    End Sub
  • Contract contract;
    contract.symbol = "AAPL";
    contract.secType = "STK";
    contract.exchange = "JEFFALGO"; // must be direct-routed to JEFALGO
    contract.currency = "USD"; // only available for US stocks
    ...
    AvailableAlgoParams::FillJefferiesVWAPParams(baseOrder, "10:00:00 US/Eastern", "16:00:00 US/Eastern", 10, 10, "Exclude_Both", 130, 135, 1, 10, "Patience", false, "Midpoint");
    m_pClient->placeOrder(m_orderId++, ContractSamples::JefferiesContract(), baseOrder);
    ...
    void AvailableAlgoParams::FillJefferiesVWAPParams(Order baseOrder, std::string startTime, std::string endTime, double relativeLimit,
    double maxVolumeRate, std::string excludeAuctions, double triggerPrice, double wowPrice, int minFillSize, double wowOrderPct,
    std::string wowMode, bool isBuyBack, std::string wowReference){
    baseOrder.algoStrategy = "VWAP";
    baseOrder.algoParams.reset(new TagValueList());
    TagValueSPtr tag1(new TagValue("StartTime", startTime));
    TagValueSPtr tag2(new TagValue("EndTime", endTime));
    TagValueSPtr tag3(new TagValue("RelativeLimit", std::to_string(relativeLimit)));
    TagValueSPtr tag4(new TagValue("MaxVolumeRate", std::to_string(maxVolumeRate)));
    TagValueSPtr tag5(new TagValue("ExcludeAuctions", excludeAuctions));
    TagValueSPtr tag6(new TagValue("TriggerPrice", std::to_string(triggerPrice)));
    TagValueSPtr tag7(new TagValue("WowPrice", std::to_string(wowPrice)));
    TagValueSPtr tag8(new TagValue("MinFillSize", std::to_string(minFillSize)));
    TagValueSPtr tag9(new TagValue("WowOrderPct", std::to_string(wowOrderPct)));
    TagValueSPtr tag10(new TagValue("WowMode", wowMode));
    TagValueSPtr tag11(new TagValue("IsBuyBack", isBuyBack ? "1" : "0"));
    TagValueSPtr tag12(new TagValue("WowReference", wowReference));
    baseOrder.algoParams->push_back(tag1);
    baseOrder.algoParams->push_back(tag2);
    baseOrder.algoParams->push_back(tag3);
    baseOrder.algoParams->push_back(tag4);
    baseOrder.algoParams->push_back(tag5);
    baseOrder.algoParams->push_back(tag6);
    baseOrder.algoParams->push_back(tag7);
    baseOrder.algoParams->push_back(tag8);
    baseOrder.algoParams->push_back(tag9);
    baseOrder.algoParams->push_back(tag10);
    baseOrder.algoParams->push_back(tag11);
    baseOrder.algoParams->push_back(tag12);
    }
  • 1  contract = Contract()
    2  contract.symbol = "AAPL"
    3  contract.secType = "STK"
    4  contract.exchange = "JEFFALGO"
    5  contract.currency = "USD"
    ...
    1  AvailableAlgoParams.FillJefferiesVWAPParams(baseOrder, "10:00:00 US/Eastern", "16:00:00 US/Eastern", 10, 10, "Exclude_Both", 130, 135, 1, 10, "Patience", False, "Midpoint")
    2  self.placeOrder(self.nextOrderId(), ContractSamples.JefferiesContract(), baseOrder)
    ...
    1  @staticmethod
    2  def FillJefferiesVWAPParams(baseOrder: Order, startTime: str,
    3  endTime: str, relativeLimit: float,
    4  maxVolumeRate: float, excludeAuctions: str,
    5  triggerPrice: float, wowPrice: float,
    6  minFillSize: int, wowOrderPct: float,
    7  wowMode: str, isBuyBack: bool, wowReference: str):
    8  # must be direct-routed to "JEFFALGO"
    9  baseOrder.algoStrategy = "VWAP"
    10  baseOrder.algoParams = []
    11  baseOrder.algoParams.append(TagValue("StartTime", startTime))
    12  baseOrder.algoParams.append(TagValue("EndTime", endTime))
    13  baseOrder.algoParams.append(TagValue("RelativeLimit", relativeLimit))
    14  baseOrder.algoParams.append(TagValue("MaxVolumeRate", maxVolumeRate))
    15  baseOrder.algoParams.append(TagValue("ExcludeAuctions", excludeAuctions))
    16  baseOrder.algoParams.append(TagValue("TriggerPrice", triggerPrice))
    17  baseOrder.algoParams.append(TagValue("WowPrice", wowPrice))
    18  baseOrder.algoParams.append(TagValue("MinFillSize", minFillSize))
    19  baseOrder.algoParams.append(TagValue("WowOrderPct", wowOrderPct))
    20  baseOrder.algoParams.append(TagValue("WowMode", wowMode))
    21  baseOrder.algoParams.append(TagValue("IsBuyBack", int(isBuyBack)))
    22  baseOrder.algoParams.append(TagValue("WowReference", wowReference))

TWAP (TWAP)

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"


VolPart (VOLPART)

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"


Blitz (BLITZ)

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"


Strike (STRIKE)

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"


Seek (SEEK)

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"


Darkseek (DS)

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"


Post (POST)

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"


MultiScale (MS)

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"


Opener (OPENER)

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.


Finale (TOC)

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


Portfolio (PORT)

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.


Patience (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
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"


Pairs - Ratio (RATIO)

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 <=, >=


Pairs - Net Return (TR)

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 <=, >=


Pairs - Arb (ARB)

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 <=, >=


Trader (TRADER)

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