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ADL®

Sniper Algo

About the Sniper Algo

The Sniper algo allows you to hide your intent to buy / sell at a given price until there is quantity available at that price on the opposite side of the market. It has five required inputs:

  • Buy/Sell to set whether the algo will buy or sell the contract.
  • Quantity to set the total desired quantity
  • Price to set the order price
  • OrderTicketInstrument to select the desired contract you wish to trade.
  • Client Disconnect Action to set the behavior of the algo if the client application experiences a disconnection from the Algo SE server.

Upon submission, the Sniper algo looks at the quantity available on the opposite side of the market at the specified order price for the given contract. If there is at least one lot available at this price (or better), a child limit order will be submitted at this price with a quantity equal to MIN(available quantity at specified price or better, remaining quantity to execute).

If all of the child order is not immediately filled, the algo will cancel the balance and add the unfilled quantity back to the quantity remaining to be filled. It will repeat this until the total quantity is filled.

Requirements

To use the Sniper Algo, you must have access to an Algo SE in your trading environment.

Launching the Sniper Algo

To use the Sniper Algo, you must have access to an Algo SE in your trading environment.

To launch the Sniper Algo:

  1. Populate a contract in the MD Trader window and select Sniper from the order type drop-down

  2. Use the Instrument Explorer to open the desired contract in the Market Grid.
  3. Right-click any row in the Market Grid and select Show/Hide Columns.
  4. Verify the checkbox next to Algo is enabled. Press OK.
  5. Press the green plus icon to open the OTA window.
  6. Select Sniper from the drop-down menu.

  7. Specify values for the following fields:
    • Buy/Sell to set whether the algo will buy or sell the contract.
    • Quantity to set the desired quantity
    • Price to set the target price
    • Aggressiveness: This is set to zero by default which will have the algo wait that many seconds before submitting additional orders. Minimum setting is 0.25 or 250 milliseconds.
    • Show Alert on Start: sets whether the alert message appears when the algo is started.
    • OrderTicketInstrument to select the desired contract you wish to trade.
    • Client Disconnect Action to set the behavior of the algo if the client application experiences a disconnect from the AlgoSE.
  8. Select Start to launch the algo. If configured to, an alert appears when the algo is started.

In this example, no order will be submitted to the exchange since there is no quantity offered at 210650. If, for example, the market changes such there is a quantity of 10 available at 210650, the algo will submit a buy order for 10 @ 210650. If it is completely filled, the algo will wait until there is additional quantity offered at this price before submitting any further orders. It will continue doing this until it gets fills for all 500.