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CQG Algos

← Customer Feedback for CQG
We have launched a new offering: CQG Execution Technologies which includes CQG Algos.

We want to hear from you about what algos and functionality you'd like to see next. 

How can we improve CQG Algos?

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7 results found

  1. VWAP Algo

    VWAP uses a historical N day volume distribution, or a stochastic distribution augmented by short-term and implied volatility.

    3 votes

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    started  ·  0 comments  ·  CQG Algos  ·  Admin →
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  2. TWAP Algo

    TWAP uses a Standard or Randomized sizing function that can optionally use MBO to create inconspicuous slices.

    3 votes

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  3. 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.
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    3 votes

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  4. Tick Algo

    Basic “with a tick” logic

    2 votes

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  5. Stop Limit Iceberg (SLIceberg)

    Deploys a random iceberg when the market trades at a price level

    2 votes

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  6. Random Iceberg (RIceberg)

    Randomly sizes iceberg slices, replenishing once the prior slice is filled.

    2 votes

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  7. PayUp Algo

    Simple "with a tick" or more complex order imbalance measures. Coming Soon: Neural Nets for Payups

    2 votes

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