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Jefferies Strike

This strategy seeks best execution in the user-designated time period, while minimizing market impact and volatility cost and tracking the arrival price.

 

Number Description
1

Choose algo

2

(optional) Set a start time

3

(optional) Set an end time

4

Relative Limit - (optional) Positive and Negative values are allowed. Creates a "soft" limit on the order as a price move from arrival price by the specified number of basis points. The strategy will use the Arrival Price after Market Open, the day’s Opening price if the order is received before Market Open.

5 Volume Limit - (optional) Max rate of volume
6 Urgency (optional) Passive, Active or Aggressive.
7 Auction Participation - (optional)
  • Exclude Both
  • Include Open
  • Include Close
  • Include Both
8 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.
9

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

 

10 Min Fill Size - (optional) Specifies minimum number of shares per execution. This applies only to eligible dark pool fills.
11 WoW Order Percentage - (optional) specified max percent of order WoW can act on. 5-100.
12 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