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X_TRADER®

Time Sliced Orders

You are viewing X_TRADER Version 7.17 and higher. For earlier versions, click here

A Time Sliced order slices a large quantity order into smaller disclosed orders. Child order portions are sent to the market at fixed time intervals. The resting portion might not be filled before it is time to disclose the next portion.

Time sliced graphic

Example

The following screen shots illustrate a Time Sliced order with a goal quantity of 2000, a disclosed quantity of 200, a variance percentage of 50, and a time interval of 10 minutes. The Synthetic SE will cancel the resting child order in the market and merge the remaining quantity with the next disclosed child order when it is time to submit the next child portion. Child orders will be priced to join the Bid (designated as SameSide plus zero).

 

Note: X_TRADER automatically corrects parameter fields that contain invalid values. When this occurs, the child orders are recalculated and display with a yellow background in the Preview Grid.

The Synthetic SE submits a child order (line 1.1) to the market with an order quantity of 266. Notice that 139 are working and 127 are filled. The parent order (line 1) displays a working quantity of 139, a filled quantity of 127, and an undisclosed quantity of 1734. The Synthetic SE will cancel the resting child order and merge the remaining quantity with the next disclosed child order. Subsequent child orders will be sent at 10 minute intervals.

Time Sliced in the Orders and Fills Window

 

Tip: Notice the price of the child order. Parameters independent of Buy/Sell direction (i.e., Offset, SameSide, OppositeSide and percentage) are converted to the actual value when displayed in trading windows (e.g., the Confirmation Window, Orders and Fills Window, and Audit Trail Window).

The Leftover parameter indicates how to handle any existing unfilled order quantities when it is time to send the next portion. Options include Leave (the default). Merge, Market, and Payup. The When parameter defines when the Leftover Action should be performed.

  • At End performs the leftover action at the end of the interval.
  • Half Life performs the leftover action halfway through the interval. For example, if the Time Slice interval is 10 minutes, perform the leftover action once 5 minutes has elapsed. If the Volume Sliced interval is 1,000, perform the leftover action once 500 contracts have traded. Refer to Volume Sliced Orders for more information.

The following table describes Leftover behavior and valid When options.

 

Leftover ActionDescriptionWhen

Leave

(the default)

Leaves the resting child order portion in the marketAt End
MergeCancels the resting child order portion and submits a new order equal to the sum of the canceled quantity plus the next disclosed order portion at the specified price levelAt End
MarketCancels the resting child order portion and submits a market order for the remaining quantityAt End or Half Life
PayupCancels the resting child order portion and submits a limit order for the remaining quantity; the limit price is based upon the buy/sell direction of the order and the Payup Ticks value 

 

Payup Ticks defines the number of ticks to add or subtract from your Bid or Offer to determine the price of the limit order. The limit price is based on the buy/sell direction of the order.

Note: If the desired price type is not available when it is time to price the limit order, all related child orders along with the parent synthetic order will be canceled.

The Payup Ticks value is applied based on the buy/sell direction of the order. For example, positive values adjust the price into the market; negative values adjust the price away from the market.

 

Order DirectionPayup TicksDesired BehaviorWhen

Buy

+1Place order into the marketAdd 1 tick to my current Bid
Buy-1Place order away from the marketSubtract 1 tick from my current Bid
Sell+1Place order into the marketSubtract 1 tick from my current Ask
Sell-1Place order away from the marketAdd 1 tick to my current Ask

Placing Time Sliced Orders using the Market Window

To place a Time Sliced order...

  1. Click in the appropriate expiration/strike row on the bid or ask side of the Market Grid to seed the Order Pane with a contract.

  2. Set a goal quantity.
  3. Configure routing using the Routing Configuration dialog.

    Note: You can setup routing rules and customer profiles, or use the <Default> profile. Refer to Creating a Customer Defaults Profile

  4. Use the Price Mode section to set how to price each child order portion that will be submitted to the market.

    Note: Refer to Price Mode if you would like to explore this topic in greater detail.

  5. Click Advanced Settings drop-down and select Time Sliced.

  6. Set the Interval.

    This is the time between each disclosed order portion in Minutes, Seconds, or Milliseconds.

  7. Set the Disclosed portion viewable to the market.

    This is either a percentage of the total goal quantity or a fixed number.

    Note: Click the % button to toggle between % and Qty.

  8. Set a Variance % if you would like to vary each disclosed order portion.
  9. Set the Leftover Action.

    This is how to handle the remaining balance of the resting sliced portion before disclosing the next order portion.

  10. Preview the proposed child order portions in the Preview Grid.
  11. Click OK once you have configured the sliced order settings.

    Note: Left-clicking outside the Advanced Settings dialog box also saves your configured settings.

  12. Click Buy or Sell once you have entered the desired order parameters to submit the sliced order.

Placing Time Sliced Orders using MD Trader

To place a Time Sliced...

  1. Create an Order Template using the Order Defaults window.

    • Note: If desired, assign the order template to an order button on the MD Trading tab.

  2. From MD Trader, select the Time Sliced order configuration.

    • Click the assigned Order Button.

      - or -

    • Select the Time Sliced configuration in the Order Type drop-down list.

  3. Configure routing using the Routing Configuration dialog.

    Note: You can setup routing rules and customer profiles, or use the <Default> profile. Refer to Creating a Customer Defaults Profile

  4. Set the goal quantity.

  5. Click the Buy or Sell column at the price level where you would like to submit the sliced order.

    This displays the working and undisclosed quantity in the Working Orders column adjacent to the price..