CQG Algos
11 results found
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2 votes
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Roll Algo
Roll positions with Arrival Price logic on the base leg, with optional Payup logic on the excess leg.
2 votes -
Trade Volatility (Vola) Algo
Execute a hedged portfolio of options at a volatility level through legs or the complex order book.
7 votes -
Spreader Algo
Multileg Treasury, Energy, Equity or Ag spreads with an ultra-low latency spreader.
3 votes -
VWAP Algo
VWAP uses a historical N day volume distribution, or a stochastic distribution augmented by short-term and implied volatility.
3 votes -
Tick Algo
Basic “with a tick” logic
2 votes -
Stop Limit Iceberg (SLIceberg)
Deploys a random iceberg when the market trades at a price level
2 votes -
Random Iceberg (RIceberg)
Randomly sizes iceberg slices, replenishing once the prior slice is filled.
2 votes -
PayUp Algo
Simple "with a tick" or more complex order imbalance measures. Coming Soon: Neural Nets for Payups
2 votes -
TWAP Algo
TWAP uses a Standard or Randomized sizing function that can optionally use MBO to create inconspicuous slices.
3 votes -
Arrival Price Algo
Arrival Price algorithm uses short-term volatility and drift signals to balance the uncertainty of working an order over time versus paying a liquidity premium for immediate execution.
Share your feedback such as ideas, suggestions and feature requests here.3 votes
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