Algo Orders Description

TOC

Accumulate/Distribute

Iceberg allows you to place a large order on the market while ensuring only a small part of it is ever filled at once. By enabling the 'Excess As Hidden' option, it is possible to offer up the remainder as a hidden order, allowing for minimal market disruption when executing large trades.

MA Crossover

MA Crossover triggers either a `MARKET` or a `LIMIT` order when two user-defined moving averages cross. Users can configure either a standard MA or an EMA individually for both long & short signals.

Calculation of the EMA and SMA start with the execution of the algo order, which runs locally on the users machine. Any crossover is triggered *after* the initial collection of candles for the selected timeframes.

Order Creates OCO

Order Creates OCO (or OCOCO) triggers an OCO order after an initial MARKET or LIMIT order fills.

Ping/Pong

Ping/Pong submits multiple 'ping' orders; once a ping order fills, an associated 'pong' order is submitted.

Multiple ping/pong pairs can be created by specifying an order count greater than 1, a suitable min/max ping price, and a pong distance. Multiple ping orders will be created between the specified min/max prices, with the associated pongs offset by the pong distance from the ping price.

When operating in 'endless' mode, new ping orders will be submitted when their associated pongs fill.

TWAP

TWAP spreads an order out through time in order to fill at the time-weighted average price, calculated between the time the order is submitted to the final atomic order close.

The price can be specified as a fixed external target, such as the top bid/ask or last trade price, or as an explicit target which must be matched against the top bid/ask/last trade/etc.

Available price targets/explicit target conditions:

  • OB side price (top bid/ask)
  • OB mid price
  • Last trade price

When a submit delay is specified, the algo will wait until the submit delay in seconds has passed, then get / calculate the price for the orderbook and submit the order.