The system attempts to match the VWAP (volume weighted average price) from the start time to the end time. A unique and powerful feature is the ability to accept a maximum percent volume limit (“don’t be more than 20% of the volume.”) The system trades over your time period, subject to your price and volume constraints.
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. |
| Iceberg | Enter the display size for the order. Cannot be less than 100 shares, or greater than the order size. |
| 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.