We have recently enabled support for chaser orders via our API. Chaser orders are pegged orders that reset based on a timer (once every 1-5 seconds, depending on their parameters) and re-peg according to the top-of-book prices. It’s an addition that will allow users to place passive orders that will follow the book as it moves away from the order to improve likelihood of execution, and optionally also move away from the other side of the book if it approaches, to allow for wick-catching orders to be left deeper in the book.
Chaser orders have ordType=”Pegged”, and need to specify a “pegOffsetValue” as with existing pegged orders. Additionally users need to specify an “execInst”, which must have one of two possible values:
- ”ChaserClassic” – these orders will reset when the distance from the order and the best price on the same side of the book is greater than pegOffsetValue, to stay no more than this distance from the top of the book
- “ChaserBothways” – these orders will reset to keep the distance to the front of the book constant at pegOffsetValue, to stay a fixed distance from the top of the book
Note that as with all pegged orders, pegOffsetValue must be positive for offers and negative for bids. Invalid values will be rejected by the API.
There is currently a limit of 5 chaser orders per account.
ChaserClassic
This allows users to set passive orders that will follow the top of the book if it moves away, so users run less risk that their passive orders will not be filled.
Schematically:
ChaserBothways
This allows users to place orders deep in the book that will move up and down with the market. These will only get filled if there is a sharp move on a shorter timescale than the order reset period, which might be the result of large market orders or liquidation cascades. These act as passive “wick catcher” orders that clients can leave on the book without having to worry about constant monitoring.
Schematically:
If you have any questions, please contact Support.