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How Algo Traders Blend Passive and Aggressive Execution (Pegging + Discretion Orders Explained)
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ticker lesson
Breakdown
0:00lesson
Pegging and discretion in order placement
- Pegging looks at same side
- Discretion looks at opposite side
- Blending both increases trade probability
- Order has characteristics of both pegging and discretion
2:06lesson
Discretion range mechanics
- Discretion range = bid-VWAP difference
- Order placed at 100.1 with 20 cent range
- If ask at 100.5, discretion used if within range
- Order modified to 100.3 when ask at 100.3
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