The goal of the lean order is to watch the opposite-inside market size and cross when that size goes below the threshold (this also implies a cross if that size goes to zero and the market trades away from you) If the market trades toward you, you can opt into several different behaviors
The goal of the join order is to watch the opposite-inside market and join when the market flips (that is, when the best offer becomes the best bid) and has at least threshold size.
The goal of the top order is to not trade by yourself, but the intent at the time of order entry is to get filled.If the order is on the market (say current bid price) AND the quantity on that bid price is below top thresh then cancel the order else remain working.
A Cover order’s purpose is to fire a hedge order (of any type) in response to fills from it’s child order on the opposite side of the market N ticks away
An OCO order creates a relationship between a child order and a 'stop' or 'other' order such that when one of these is cancelled, both cancel, or when one is filled, the other order's size is debited in the amount of the fill.
Composing this order with Cover simulates scalping functionality
The splitter is useful for pro-rata markets where you want to vary your exposure independent of the order quantity that you want to fill. The splitter will complete when the number of fills reaches or exceeds the order quantity but it will put exposed_qty total size on the market. Splitter favors order size over queue position.
If exposed_qty is set to 0 the splitter will continue to exist in the Order Book but will cancel all of its child orders. This makes it a useful building block for custom algos that need to implement a 'paused' state.
The scratch algo is similar to Lean, but instead of watching the opposite inside market, it watches the same side market and pays up when this quantity recedes below the scratch_threshold
The prorata algo is a special case hedging algo for pro-rata markets. Users can specify two hedge types-- normal hedge and overfill hedge, the latter is spawned when you receive more fills than your fill_limit. Further, the algo attempts to scratch when in an overfilled state AND optionally the same side size falls below stay_in_threshold