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Jefferies Patience

Liquidity seeking algo targeted at illiquid securities.

Number Description
1

Choose the algo.

2

(optional) Set a start time

3

(optional) Set an end time

4

Volume Limit - (optional) Max rate of volume

5 Blocks Only - Check to specify.
6 WoW Price (optional) Users must be able to modify this field on a Cxl/Replace or cancel the original entry. If this field has a value, user may specify BPS Arrival or Price. Price is the default behavior if WoW Reference is not submitted.
7

WoW Reference (optional)This field is used in con-junction with the WoW Price fields. If a user enters a value in the WoW Price field; they may specify BPS Arrival or Price. If WoW Price is not submitted, a “reference” can be submitted for processing. Users must be able to modify this field on a Cxl/Replace or cancel the original entry.

  • Market
  • Inside NBBO Price
  • Arrival Price
  • PNC
  • Open
  • BPS Arrival
  • Price
  • OPP
  • Midpoint
8 Min Take Size - Specifies the minimum size to take. Will be rounded down to nearest lot size.
9

Min Fill Size - (optional) Specifies minimum number of shares per execution. This applies only to eligible dark pool fills.

10 WoW Order Percentage - (optional) specified max percent of order WoW can act on. 5-100.
11 WoW Mode
  • BLITZ
  • DARKSeek
  • Seek Passive
  • Seek Active
  • Seek Aggressive
  • Volume 10%
  • Volume 20%
  • Volume 30%
  • VWAP Day
  • Custom 1
  • Patience

To use Jefferies algos, select JEFFALGO as the routing destination.

Important Disclosures