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CSFB TWAP

The system trades based on the clock, i.e., on a 2-hour order the system is 25% done after 30 minutes, 50% done after an hour, etc. Unlike VWAP, TWAP (time weighted average price) does not speed up/slow down based on projected volume or price moves. However, it does use smart limit order placement strategies throughout the order.

For large sized orders use Blockfinder to define a price/size at which you're willing to potentially move a large block while still working the algo.

Field Description
Algo Selector

Select the CSFB algo.

Start Time Enter a start time for the algo if desired. If no start time is set, the algo becomes active when you submit.
End Time Enter the end time for the algo if desired. If no end time is set, the default end time is the market's close.
Execution Style

Select the degree of urgency.

Max % Participation Define the max percent of volume if desired.
Auction Specify whether or not to include the order in all auctions, no auctions, just opening, just closing or just imbalance auctions.
Blockfinder Check to enable Blockfinder, which submits blocks (with a 10,000 share minimum) for execution which remaining size continues to fill through the algo.
Blockprice

Only valid if Blockfinder is enabled.

Define the price at which the block is eligible to execute.

Min Block Size

Only valid if Blockfinder is enabled.

Define the minimum block size if desired. Must be at least 5000 and increments are in sizes of 5000. If no minimum size is defined the default size of 10,000 is used.

Max Block Size

Only valid if Blockfinder is enabled.

Define the maximum size of the block if desired.

I Would Price Set a price at which you are willing to fill the entire order.

 

To use CSFB algos, select CSFBALGO as the destination and then select the algo.