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X_TRADER®

Volume Duration

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

Volume Duration defines the total amount of traded volume desired to achieve the total goal quantity. You may set Volume Duration parameters as either a desired volume or disclosed quantity.

Interval (the default) specifies the number or percentage of contracts that must trade to trigger a slice to enter the market. The TT system calculates the child order portions needed to achieve the total goal quantity for the total volume.

Volume duration graphic

The following screen shot illustrates a Volume Duration order with a goal quantity of 150, an interval of 100, and a duration of 1000 contracts. This means that there must be 100 contracts traded between each disclosed order portion for a traded volume of 1000 contracts. The Preview Grid displays the proposed volume interval and child order portions needed to achieve the total goal quantity.

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.

Disclose sets the disclosed quantity or percentage of total goal quantity viewable to the market and total volume. The TT system calculates the volume interval between each child order portion for the total volume.

The following screen shot illustrates a Volume Duration order with a goal quantity of 150, a disclosed quantity of five, and a duration of 1000 contracts. The Preview Grid displays the proposed volume interval and child order portions needed to achieve the total goal quantity.

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.

Variance percentage and Leftover action parameters are available when Volume Duration is selected in the Advanced Settings section of the Order Pane.

Placing Volume Duration Orders using the Market Window

To place a Volume Duration 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 the Advanced Settings drop-down and select Volume Duration.

  6. Set the Interval or Disclosed order portion.

    Interval is either a percentage or a fixed number of contracts that must trade to trigger a slice to enter the market.

    Disclosed is either a fixed number of contracts or a percentage of total goal quantity viewable to the market.

    Note: Click the Interval button to toggle between Interval and Disclose.

    Note: Click the % button to toggle between Interval % and Vol or Disclose Qty and %.

  7. Set the Duration to achieve the goal quantity.

    This is the total quantity traded in the market.

  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 Volume Duration Orders using MD Trader

To place a Volume Duration...

  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 Volume Duration order configuration.

    • Click the assigned Order Button.

      - or -

    • Select the Volume Duration 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..