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Fox TWAP

A time-weighted algorithm that aims to evenly distribute an order over the user-specified duration using Fox River alpha signals. Allows the user flexibility to control how much leeway the model has to be off the expected fill rate. Seeks to outperform TWAP using Fox Alpha and short-term alpha signals.

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

Elasticity

Optional. Elasticity describes the pacing of the Fox trading signal. This value tells how much leeway the model has to be off the expected fill rate.

Low, Medium, High.

Set the High by default to provide the most flexibility and best performance.

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.

Important Disclosures