Pegged to Market (PEG) is a highly customized algorithm provided by CyberX ONE. You can modify the parameters to place your orders with different levels of aggressiveness.
Algo Trading Model
Two indicators need to be configured to use PEG:
Set Price Tracker and Order Size Limitation. The algorithm allows the system to cancel the order immediately when the market condition changes, and place a new order based on the latest order book status.
Set Price Tracker
-Dynamic middle price: A randomly selected price in between Best Bid and Best Offer
-Fixed middle price: (Best Bid + Best Offer)/2
Increase or decrease x ticks (minimum price increment) by the corresponding price tracker. Example:
User sets the price tracker as Best Bid,currently the best bid price on the order book is 0.005 ETH, then an order is placed at 0.005 ETH;
User sets the price Deviation to price tracker minus 5 ticks. 1 tick = 0.0001 ETH, then the order being placed at 0.005 - 0.0001 * 5 = 0.0045 ETH
Click auto-fill button, the system would fill in parameters according to the following rules:
Price Type: Best Bid when buying, Best Offer when selling
Price Deviation: Decrease by 10 Ticks when buying, increase by 10 Ticks when selling
Price Type: Fixed Mid Price
Price Deviation: 0
Price Type: Best Offer when buying, Best Bid when selling
Price Deviation: Decrease by 1 Tick when buying, increase by 1 Tick when selling
Order Size Limitation
To hide your trading intentions from the market, the order size is randomly selected by the system between the minimum and maximum size.
The minimum order size needs to be larger than the minimum order size required by the exchanges. The maximum size needs to be smaller than the total target trading volume of this particular algorithm order.
Note: to ensure the completion of your trade, some of the order generated by the system might exceed the maximum order amount you set.
When you set a limit price, our system would not place any order above this price when you are a buyer, and not below this price when you are a seller.
If the price tracker was unreasonably set, it may cause a considerable impact on the market.
If the price tracker was set too far from the tradable level with insufficient market liquidity. You may fail to complete the transaction.