VWAP (Fox River)
Instructions
Passive volume specific strategy designed to execute an order targeting best execution over a specified time frame. Tags specifying a time frame can optionally be set. Participation rate is used as a limit.
Field Name |
Description |
Valid Values/ Default Value |
|---|---|---|
|
Effective Time |
Optional. Set the time to begin the order. |
Between market open and market close, and prior to Expire Time (if set). Defaults to immediately. |
|
Expire Time |
Optional. Time/date for the order to expire. |
Between market open and market close, and after Effective Time (if set). Defaults to market close if not set. |
|
Participation Rate Limit |
Optional. The participation of volume rate limit, as a percentage. |
Digit that will be used as a percentage 0 < rate <= 1. Example: 0.05 equals 5% |
|
End Time Behavior |
Optional. Tells how to treat an order that expires. |
Cancel - cancels any remaining balance Hard - Complete the order with give up Soft - If possible, complete the order with no give up |
|
Dark Attack |
Optional. Whether or not to favor dark pools. |
0 - Do not favor dark pools 1 - Least aggressive 10 - Most aggressive Will default to 0. |
|
I Would Dark checkbox |
Optional. Check to allow the order to complete in a dark venue at any time. Very aggressive if set. |
If unchecked, pacing will not be affected by fills from dark venues. |
|
Sweep Price |
Optional. Set a price at which you would be willing to sweep all available equity. |
>0 |
|
Dollar Certain Limit |
Optional. The maximum acceptable dollar amount of the trade, including Dollar Certain Commission. Used to trade by dollar amount. |
>0 |
|
Dollar Certain Commission |
Optional. The commission cost on a cents-per-share basis, e.g. 0.1 = 1 cent |
>0 |
|
Dollar Certain Execution checkbox |
Optional. Check to determine the order quantity by dollar value. Must be checked for other "Dollar Certain" fields to be valid. |
If checked, Dollar Certain Limit at least must be defined. |
|
Corporate Buy Back checkbox |
Optional. Check for 10b-18 corporate repurchase. |
Yes or no. |