The Dark Ice order type develops the concept of privacy adopted by orders such as Iceberg or Reserve, using a proprietary algorithm to further hide the volume displayed to the market by the order. Parameterġ aceOrder(self.nextOrderId(), ContractSamples.USStockAtSmart(), OrderSamples.Midprice( "BUY", 1, 150)) The start and pace of execution are determined by the user who assigns a level of market risk and specifies the target percentage of volume, while the algo considers the prior volatility of the stock. This algo breaks down large order amounts and determines the timing of order entry so that it will continuously execute in order to minimize slippage. In order to help investors attempting to execute towards the end of the trading session we have developed the Close Price algo Strategy. Investors submitting market or limit orders into the closing auction may adversely affect the closing price, especially when the size of the order is large relative to the average close auction volume. By checking the box marked Allow trading past end time the algo will continue to work past the specified end time in an effort to fill the remaining portion of the order. The order entry screen allows the user to determine when the order will start and end regardless of whether or not the full amount of the order has been filled. The user can set the max percent of ADV from 1 to 50%. Market impact can be lessened by assigning lesser urgency, which is likely to lengthen the duration of the order. How quickly the order is submitted during the day is determined by the level of urgency: the higher the urgency the faster it will execute but will expose it to a greater market impact. The pace of execution is determined by the user-assigned level of risk aversion and the user-defined target percent of average daily volume. The Arrival Price algo is designed to keep hidden orders that will impact a high percentage of the average daily volume (ADV). ![]() ![]() The Arrival Price algorithmic order type will attempt to achieve, over the course of the order, the bid/ask midpoint at the time the order is submitted. Note: The Time Zone in "startTime" and "endTime" attributes is only applied when the format "hh:mm:ss TMZ" is used
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