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For a Box trade, there are additional fields not present in a non-Box trade.
AuctionStrategy
StartingPrice
StockRangeUpper
StockRangeLower
Delta
StockRefPrice
Volatility
VolatilityPeriod
DeltaNeutralOrderType
DeltaNeutralAuxPrice
ContinuousUpdate
ReferencePrice
All volatility orders have these two parameters:
1. Volatility: What the price is computed from via TWS's options analytics. For VOL orders, the limit price sent to an exchange is not editable, as it is the output of a function. Volatility is expressed as a percentage.
2. VolatilityPeriod: Set to UnSet, Daily or Annual.
Dynamic volatility orders have these three additional parameters:
| 1. | DeltaNeutral: Specifies whether TWS is supposed to do the corresponding delta trade upon full or partial execution of the option order. If delta neutral is selected, market orders in the underlier will be placed in response to executions to maintain delta-neutrality. |
| 2. | ContinuousUpdate: Whether TWS is supposed to update the order price as the underlier moves. If Continuous Update is selected, the limit price sent to an exchange is modified by TWS if the computed price of the option changes enough to warrant doing so. This is very helpful in keeping the limit price sent to the exchange up to date as the underlier price changes. |
| 3. | ReferencePrice: UnSet, Average or BidOrAsk. Set to Average for Average of National Best Bid or Ask, or set to BidOrAsk for National Best Bid when buying a call or selling a put, and National Best Ask when selling a call or buying a put. The reference price is used to compute the limit price sent to an exchange (whether or not Continuous Update is selected), and for watermark price monitoring. |
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