Fox River Pyramid™

A dynamic single-order ticket strategy that changes behavior and aggressiveness based on user-defined pricing tiers. Ability to set individual POV rate, "I Would" dark setting and sweep price.

This algo strategy can be applied to POV, VWAP, TWAP, Fox Dark Attack and Fox Alpha algos, using the PyramidStrategy drop-down field.

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

Participation Rate Target

Optional. The percentage of traded volume that is the target participation rate.

0 > rate >= 1, e.g. 0.05 is 5%

Aggressiveness Optional. How aggressive to fill.

0 - Low

1 - Medium

2 - High

Dark Minimum Fill Quantity

Optional. The minimum fill quantity in a dark pool.

If set, must be greater than or equal to the lot size.

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.

Price Level 1

Optional. Define a price level at which POV Rate 1 would be triggered.

>0

If a value is entered POV Rate 1 and I Would Dark 1 (if set) are in effect.

POV Rate 1

Required if Price Level 1 is populated. This is the participation rate of volume at which to execute when Price Level 1 is active.

0 > rate >= 1, e.g. 0.05 is 5%

This POV Rate is used when Price Level 1 (if set) has been triggered.

I Would Dark 1

Optional. Check to allow the order to complete in a dark venue at any time. Very aggressive if set.

 

Price Level 2

Optional. Define a price level at which POV Rate 2 would be triggered.

>0

If a value is entered POV Rate 2 and I Would Dark 2 (if set) are in effect.

POV Rate 2

Required if Price Level 2 is populated. This is the participation rate of volume at which to execute when Price Level 1 is active.

0 > rate >= 1, e.g. 0.05 is 5%

This POV Rate is used when Price Level 2 (if set) has been triggered.

I Would Dark 2

Optional. Check to allow the order to complete in a dark venue at any time. Very aggressive if set.

 

Price Level 3

Optional. Define a price level at which POV Rate 3 and I Would Dark 3 would be triggered.

>0

If a value is entered POV Rate 3 and I Would Dark 3 (if set) are in effect.

POV Rate 3

Required if Price Level 3 is populated. This is the participation rate of volume at which to execute when Price Level 1 is active.

0 > rate >= 1, e.g. 0.05 is 5%

This POV Rate is used when Price Level 3 (if set) has been triggered.

I Would Dark 3

Optional. Check to allow the order to complete in a dark venue at any time. Very aggressive if set.

 

Pyramid Strategy

Required. Select the strategy to which price levels of the pyramid will be applied.

POV

VWAP

TWAP

Dark Attack

Alpha

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.