BTS Basic Algos

    LeanπŸ”—

    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

    ParametersπŸ”—
    • Cross Thresh - size thresh in absolute or ratio terms
    • Max Chase Ticks - max levels to pay up, in ticks

    JoinπŸ”—

    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.

    ParametersπŸ”—
    • Join Thresh - size thresh in absolute or ratio terms

    TopπŸ”—

    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.

    ParametersπŸ”—
    • Top Thresh - size thresh in absolute or ratio terms

    CoverπŸ”—

    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

    ParametersπŸ”—
    • Profit Ticks - ticks above or below fill price to place profit / cover order

    OCOπŸ”—

    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

    ParametersπŸ”—
    • Stop Ticks - ticks below or above main order to place stop / other order