Execution Algorithms

Single-instrument synthetic orders

Conditional order

Place an order at a given price and quantity when conditions on the market price and quantity are met.

Fixing

Release an order to the market only when the market enters a specific phase (PREOPEN, OPEN, PRECLOSE). Useful for releasing orders during auction periods.

Grab

Place an order following the best limit of the market, until the opposite quantity reduces below a threshold, in which case the order will be updated to the opposite limit.

Hitter

Release an order with fixed price only when the market opposite price crosses the order price.

Linear

Send an order at a given price and update it periodically by a specified amount, until it reaches a target price or is fully executed.

OCO (one cancels the other)

Cancel an order when another one is fully filled.

Pegged

Place an order at a specified position on the market depth and offset, conditionally following the market within a min/max range.

Stop

Release an order at market when the market exceeds the stop price, emulating a simple stop order.

Time in force

Emulate good ’til date (GTD) and true good ’til canceled (GTC) orders for markets with limited support for such order types.

Timer

Compose multiple “smart orders,” moving one to the other at fixed intervals.

Trailing stop

Stop order where the stop price is expressed as an offset (absolute or relative) of the market price.

Volatility order (requires option pricing)

Place an order at a given volatility level, updating the price as the underlying price changes.

Slicing algos

VWAP

This algo aims to reproduce market volume-weighted average price (VWAP) by adapting the volume repartition, based on the historical volume. The execution adapts to market conditions to minimize market impact.

TWAP

This algo sends equal sized slices over a period of time, aiming to reproduce market time-weighted average price (TWAP). The execution adapts to market conditions to minimize market impact.

PoV (participate on volume)

This algo aims to execute a percentage of the visible liquidity on the market. The participation can dynamically adapt to the market price and conditions.