Order Slicing
Order slicing is a strategy that uses VWAP over a time window to trigger placing orders in the market. Order execution is wave traded as a limit order until a timeout occurs. It is then converted to market order for any remaining shares.
Note: | To view data in the upper graph, you must first select an instance in the table. |
You can choose to see Average Price instead of Remaining:
To run strategies, click Create New. In the Order Slicing: Create dialog box, choose from the symbolsets to which you are subscribed, and then choose an instrument in the selected set.
Parameters for order slicing include:
Duration (strategy run time)
VWAP Period (time window to calculate the vwap value)
Max time in market (time period in market as limit order before any remainder is converted to a market order).
Limit Offset (time limit offset (price additive at which to sell)
Limit time (time in market before re-price against new vwap)
When you change the value of a parameter, press Enter (while focus is on that field) to persist the change.
Click Create to save the parameters, and then click on its line on the page to run the strategy. Create as many strategies as you want.
