The time slice algorithm is used for dividing order execution across a set interval. The following describes the possible parameters for this algorithm.
Max Qty Per Interval: The maximum quantity that can be filled in a predefined interval. Please note that if (Max Qty Per Interval) (Number of Intervals) < Lot Size, then the maximum that could be filled is (Max Qty Per Interval) (Number of Intervals) using this algorithm.
Max Qty Per Trade: The maximum quantity each trade will consist of. Must be less than Max Qty per Interval.
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).
Buy 100 ES @ 751.00 LMT
Max Qty Per Interval: 25
Max Qty Per Trade: 5
Number of Intervals: 4
Total Period: 00:01:00
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. Because of the ‘Max Qty per Trade’ parameter, each trade will be a 5 lot or less. All unfilled orders in each interval will be cancelled at the end of the interval.