Example 3: Scale with Profit and Initial Component Size
Data Assumptions
| Label | Value |
|---|---|
| NBBO | $412.89 - $412.93 |
| Action | Buy |
| Total Order Size | 600 |
| Initial Component Size | 5 |
| Subsequent Component Size | 2 |
| Starting Price | $413.02 |
| Price Increment | .02 |
| Order Type | Limit |
| Time in Force | GTC (this is set on the Basic tab of the order ticket) |
| Create profit taking order | Check to enable |
| Profit Offset | 0.20 |
The difference between this order and the order in Example 2 is that the Initial Component Size is larger than the subsequent component size by one full size. This feature works in conjunction with the profit taking orders, which we have enabled at an offset of $.20.
To understand the larger initial component, let’s first look at the mechanics of using the same component size of 2 with the $.02 profit offset. In this case, a BUY order would be submitted at the starting price of $413.02 and after it fills, the profit SELL order would be submitted at the component price + profit offset, or $413.22. When this fills, you have bought at $413.02 and sold at $413.22 for a profit of $.20 per share.
Now let’s look at the example above with the Initial Component of 5. The algo submits the first component as a BUY order for 5 at the Starting Price, or $413.02. But when this fills, the profit sell orders are submitted in Subsequent Component-sized lots AS IF the 5 shares were sent in as two BUY orders at $413.02 and $413.00, right up to the non-editable Top Price. So two sell orders for 2 shares each are submitted for $413.22 and $413.20. Once these fill, the subsequent 2-share components kick in for the remainder of the 600-share order.