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Algos over WebAPI.md

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Algo type is specified in algo_strategy proto field of related messages, its value shall be as Abbreviation from algos list below, value is case sensitive.

Algo parameters are specified as a named values collection extra_attributes repeated field.

It is possible to request ATDL definition via WebAPI proto, see InformationRequest.algo_strategy_definition_request; that may be helpful for getting parameter types, their default values, allowable values and some basic validation rules (for example some parameter values must be greater than 0).

It is suggested to re-request ATDL definitions periodically because they may change over time. There is no ATDL versioning, in other words, only most recent version is usable at at a time.

There is one peculiar thing about parameter names in ATDL and actual names expected by CQGGW: ALGO_ prefix has to be added to every name. So, if parameter name in ATDL is CQG_end_time, its name in extra_attributes shall be ALGO_CQG_end_time. Parameter names are case sensitive.

Below, all parameters are listed as 'Name, underlying type (what is expected as its string value'

  • CQG Arrival Price Abbreviation: CQG ARRIVALPRICE Parameters: ALGO_CQG_cost_model char ALGO_CQG_drift_override double ALGO_CQG_economic_model char ALGO_CQG_end_time UTCTimestamp in YYYYMMDD-HH:MM:SS format ALGO_CQG_gamma_factor double ALGO_CQG_i_would_price price (double value, multiple of instrument's tick size) ALGO_CQG_impact_model char ALGO_CQG_join_threshold double ALGO_CQG_max_chase_ticks int ALGO_CQG_max_duration_in_minutes int ALGO_CQG_min_duration double ALGO_CQG_opposite_size_ratio double ALGO_CQG_opposite_size_raw int ALGO_CQG_payup_model char ALGO_CQG_percent_of_volume double ALGO_CQG_slippage_tolerance double ALGO_CQG_start_time UTCTimestamp ALGO_CQG_success_probability double ALGO_CQG_tick_offset int ALGO_CQG_vol_override float

  • CQG Iceberg Slicer Abbreviation: CQG ICESLICER Parameters: ALGO_CQG_end_time UTCTimestamp ALGO_CQG_i_wont_ticks int ALGO_CQG_interval_in_seconds int ALGO_CQG_join_threshold double ALGO_CQG_max_chase_ticks int ALGO_CQG_max_duration_in_minutes int ALGO_CQG_max_show_quantity int ALGO_CQG_num_slices int ALGO_CQG_opposite_size_ratio double ALGO_CQG_opposite_size_raw int ALGO_CQG_payup_model char ALGO_CQG_start_time UTCTimestamp ALGO_CQG_success_probability double

  • CQG Offset Payup Abbreviation: CQG OFFSETPAYUP Parameters: ALGO_CQG_join_threshold double ALGO_CQG_max_chase_ticks int ALGO_CQG_opposite_size_ratio double ALGO_CQG_opposite_size_raw int ALGO_CQG_payup_model char ALGO_CQG_success_probability double ALGO_CQG_tick_offset int

  • CQG Offset Tick Abbreviation: CQG OFFSETTICK Parameters: ALGO_CQG_enable_imbalance bool (Y|N) ALGO_CQG_imbalance_ratio double ALGO_CQG_max_chase_ticks int ALGO_CQG_opposite_size_ratio double ALGO_CQG_opposite_size_raw int ALGO_CQG_tick_offset int ALGO_CQG_trade_toward_behavior char

  • CQG Payup Abbreviation: CQG PAYUP Parameters: ALGO_CQG_join_threshold double ALGO_CQG_max_chase_ticks int ALGO_CQG_opposite_size_ratio double ALGO_CQG_opposite_size_raw int ALGO_CQG_payup_model char ALGO_CQG_success_probability double

  • CQG Peg Abbreviation: CQG PEG Parameters: ALGO_CQG_tick_offset int

  • CQG Randomized Iceberg Abbreviation: CQG RICEBERG Parameters: ALGO_CQG_join_threshold double ALGO_CQG_max_chase_ticks int ALGO_CQG_opposite_size_ratio double ALGO_CQG_opposite_size_raw int ALGO_CQG_pause_between_orders_ms int ALGO_CQG_payup_model char ALGO_CQG_rand_max int ALGO_CQG_rand_min int ALGO_CQG_show_quantity int ALGO_CQG_success_probability double ALGO_CQG_tick_offset int ALGO_CQG_use_mbo bool (Y|N)

  • CQG Randomized TWAP Abbreviation: CQG RTWAP ALGO_CQG_end_time UTCTimestamp ALGO_CQG_i_would_price price ALGO_CQG_impact_model char ALGO_CQG_interval_in_seconds int ALGO_CQG_join_threshold double ALGO_CQG_max_chase_ticks int ALGO_CQG_max_duration_in_minutes int ALGO_CQG_opposite_size_ratio double ALGO_CQG_opposite_size_raw int ALGO_CQG_order_size_override int ALGO_CQG_payup_model char ALGO_CQG_rand_max int ALGO_CQG_rand_min int ALGO_CQG_start_time UTCTimestamp ALGO_CQG_success_probability double ALGO_CQG_tick_offset int ALGO_CQG_use_mbo bool (Y|N)

  • CQG Stop-Limit Arrival Price Abbreviation: CQG SLARRIVAL Parameters: ALGO_CQG_cost_model char ALGO_CQG_drift_override double ALGO_CQG_economic_model char ALGO_CQG_end_time UTCTimestamp ALGO_CQG_gamma_factor double ALGO_CQG_i_would_price price ALGO_CQG_impact_model char ALGO_CQG_join_threshold double ALGO_CQG_max_chase_ticks int ALGO_CQG_max_duration_in_minutes int ALGO_CQG_min_duration double ALGO_CQG_opposite_size_ratio double ALGO_CQG_opposite_size_raw int ALGO_CQG_payup_model char ALGO_CQG_percent_of_volume double ALGO_CQG_price_type char ALGO_CQG_slippage_tolerance double ALGO_CQG_start_time UTCTimestamp ALGO_CQG_success_probability double ALGO_CQG_tick_offset int ALGO_CQG_vol_override double

  • CQG Stop-Limit Iceberg Abbreviation: CQG SLICEBERG Parameters: ALGO_CQG_join_threshold double ALGO_CQG_max_chase_ticks int ALGO_CQG_opposite_size_ratio double ALGO_CQG_opposite_size_raw int ALGO_CQG_pause_between_orders_ms int ALGO_CQG_payup_model char ALGO_CQG_price_type char ALGO_CQG_rand_max int ALGO_CQG_rand_min int ALGO_CQG_show_quantity int ALGO_CQG_success_probability double ALGO_CQG_use_mbo bool (Y|N)

  • CQG Stop-Limit Sniper Abbreviation: CQG SLSNIPE Parameters: ALGO_CQG_i_wont_ticks int ALGO_CQG_join_threshold double ALGO_CQG_max_chase_ticks int ALGO_CQG_opposite_size_ratio double ALGO_CQG_opposite_size_raw int ALGO_CQG_pause_between_orders_ms int ALGO_CQG_payup_model char ALGO_CQG_price_type char ALGO_CQG_success_probability double ALGO_CQG_tick_offset int

  • CQG Sniper Abbreviation: CQG SNIPE Parameters: ALGO_CQG_i_wont_ticks int ALGO_CQG_join_threshold double ALGO_CQG_max_chase_ticks int ALGO_CQG_opposite_size_ratio double ALGO_CQG_opposite_size_raw int ALGO_CQG_pause_between_orders_ms int ALGO_CQG_payup_model char ALGO_CQG_success_probability double ALGO_CQG_tick_offset int

  • CQG Tick Abbreviation: CQG TICK Parameters: ALGO_CQG_enable_imbalance bool (Y|N) ALGO_CQG_imbalance_ratio double ALGO_CQG_max_chase_ticks int ALGO_CQG_opposite_size_ratio double ALGO_CQG_opposite_size_raw int ALGO_CQG_trade_toward_behavior char

  • CQG TWAP Abbreviation: CQG TWAP Parameters: ALGO_CQG_end_time UTCTimestamp ALGO_CQG_i_would_price price ALGO_CQG_impact_model char ALGO_CQG_interval_in_seconds int ALGO_CQG_join_threshold double ALGO_CQG_max_chase_ticks int ALGO_CQG_max_duration_in_minutes int ALGO_CQG_opposite_size_ratio double ALGO_CQG_opposite_size_raw int ALGO_CQG_order_size_override int ALGO_CQG_payup_model char ALGO_CQG_start_time UTCTimestamp ALGO_CQG_success_probability double ALGO_CQG_tick_offset int

  • CQG VWAP Abbreviation: CQDG VWAP Parameters: ALGO_CQG_bucket_interval_minutes int ALGO_CQG_economic_model char ALGO_CQG_end_time UTCTimestamp ALGO_CQG_i_would_price price ALGO_CQG_impact_model char ALGO_CQG_join_threshold double ALGO_CQG_max_chase_ticks int ALGO_CQG_max_duration_in_minutes int ALGO_CQG_max_uncertainty_width double ALGO_CQG_opposite_size_ratio double ALGO_CQG_opposite_size_raw int ALGO_CQG_payup_model char ALGO_CQG_percent_of_volume double ALGO_CQG_start_time UTCTimestamp ALGO_CQG_success_probability double ALGO_CQG_tick_offset int ALGO_CQG_time_horizon_days int ALGO_CQG_wake_interval_seconds int