You are here: Algos > Jefferies Algos > VWAP

Jefferies VWAP

This strategy automatically manages transactions to approximate the all-day or intra-day VWAP through a proprietary algorithm.

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 Auction Participation - (optional)
  • Exclude Both
  • Include Open
  • Include Close
  • Include Both
7 Trigger Price (optional) Takes any positive value to trigger the algo. No maximum
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
13 Buy Back -(optional) Indicates that the algo should engage SEC Rule 10b-18 restrictions for Buy Back in US instruments. Also applies local market Buy Back rules (for non-US instruments). This field cannot be modified. Value Y or N.

 

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

Important Disclosures