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Algo Orders Description

TOC

Accumulate/Distribute

Accumulate/Distribute allows you to break up a large order into smaller randomized chunks, submitted at regular or irregular intervals to minimise detection by other players in the market.

By enabling the 'Await Fill' option, the algorithm will ensure each component fills before submitting subsequent orders. Enabling the 'Catch Up' flag will cause the algorithm to ignore the slice interval for the next order if previous orders have taken longer than expected to fill, thereby ensuring the time-to-fill for the entire order is not adversely affected.

The price must be manually specified as limitPrice for LIMIT order types, or as a combination of a price offset & cap for RELATIVE order types. MARKET A/D orders execute using MARKET atomic orders, and offer no price control.

For RELATIVE A/D orders, the price offset & cap can both be set to one of the following:

  • Top ask
  • Top bid
  • Orderbook mid price
  • Last trade price
  • Moving Average (configurable period, time frame, candle price)
  • Exponential Moving Average (configurable period, time frame, candle price)

The period limit for moving average targets/caps is 240, being the number of candles returned by the Bitfinex API when subscribing to a candle data channel.

Iceberg

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.

Bracket Order

Bracket Orders 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