Market Time Slice Algorithm

The market time slice algorithm functions a lot like the Improved Time Slice, except the standard orders prior to price improvement are market orders.  The market orders sent are limited to the total order quantity divided by the number of intervals.  After these orders are filled, price improvement initiates by sending Limit orders in the tiered fashion described in the Improved Time Slice algorithm.  The best price from the market orders dictates the start of this tier.

Number of Intervals:   The number of times an interval is divided into equal parts.

Total Period:  Total time period that the order will encompass. Its format is in hours, minutes, and seconds (hh:mm:ss).

Best Price Factor:  The number of ticks from the best filed market price.

Step Factor:   The number of steps used to obtain best price.

Example:

Buy 100 ES @ MKT

Number of Intervals:   4

Total Period:  00:01:00

Best Price Factor: 4

Step Factor: 3

Assumption:  Best Price Fill of 750.75

In this example the order will consist of four (4) – 15 second intervals.    The maximum that can be filled in each 15 second interval is 25 (Total Qty / Number of Intervals) until price improvement initiates.  Once the 25 is filled the algorithm starts trying to fill using the Best Price Factor and Step Factor starting from the best fill price of the market orders.  In this case it’ll start from 750.75 as stated in the assumptions.  Thus, in favorable conditions, the algorithm could fill the following:

Important Notes:

• Step factors may not be reached if the total quantity is filled before reaching the final step.

• All Price Improvement Orders will be cancelled at the end of each interval

• In this algorithm, the maximum step offset can only be (1 – Number of Intervals)

• The number of intervals you can benefit from Price Improvement is (1 – Number of Intervals)

• When the maximum step during price improvement is reached, the OSM will not send any additional orders.