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X_TRADER®

Volume Sliced Orders

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

A Volume Sliced order slices a large quantity order into smaller disclosed orders based on trading volume. The resting portion may not be filled before there is enough trading volume to submit the next portion. The Leftover parameter indicates how to handle the resting order when it is time to send the next portion. Options include: Leave, Merge, Market, and Payup. The When parameter defines when the Leftover Action should be performed.

Volume sliced graphic

The following screen shots illustrate a Volume Sliced order with a goal quantity of 500, a disclosed quantity of 100, a variance percentage of 20, and an interval of 2000. This means that there must be 2000 contracts traded between each disclosed order portion. The Synthetic SE will leave the resting child order in the market when there is the requisite traded volume to submit the next child portion. Child orders will be priced relative to the Ask price minus one tick.

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 one child order (line 1.1) to the market with a working quantity of 106. The Synthetic SE will leave resting child orders in the market based upon the specified Left over parameter. The parent order (line 1) displays a working quantity of 106 and an undisclosed quantity of 394. Subsequent child orders will be submitted when 2000 contracts have traded .

Note: The first child order will not be submitted until the designated interval quantity has traded.

Volume Sliced in the Orders and Fills Window

Placing Volume Sliced Orders using the Market Window

To place a Volume 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 Volume Sliced.

  6. Set the Interval.

    This is the number of contracts traded between each disclosed order portion.

  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 Volume Sliced Orders using MD Trader

To place a Volume 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 Volume Sliced order configuration.

    • Click the assigned Order Button.

      - or -

    • Select the Volume 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..