Algorithms API

The Algorithms API provides execution algorithms that break large orders into smaller slices to minimize market impact and achieve better average prices.

Key Features

Time-sliced execution: TWAP and TimePace spread orders evenly over time
Multi-level orders: Ladder places limit orders at multiple price levels
Aggressive fills: Sweep uses IOC orders for immediate execution
Spread trading: Two-leg execution for basis/arb trades with risk management
Anti-gaming: Randomization of size and timing to avoid detection
Limit price guardrails: Won’t execute beyond your price limit
TCA metrics: Arrival price, VWAP, slippage tracking
Full lifecycle: Start, pause, resume, cancel algorithms

Algorithm Types

Algorithm	Status	Description
`twap`	Available	Time-Weighted Average Price - executes evenly over time
`ladder`	Available	Places limit orders at multiple price levels
`sweep`	Available	Aggressive fill - hits all available liquidity with IOC orders
`timepace`	Available	Fixed quantity per interval, no catch-up
`spread`	Available	Two-leg spread/basis trade execution

POST /oems/algorithms/start

Start a new execution algorithm.

Request Body (JSON)

Parameter	Type	Required	Description
`algorithm_type`	string	Yes	Algorithm type: `twap`, `ladder`, `sweep`, `timepace`, `spread`
`symbol`	string	Yes	Trading pair (e.g., “BTC/USDC”)
`side`	string	Yes	`buy` or `sell`
`quantity`	number	Yes	Total quantity to execute
`exchange_account_ids`	array	Yes	List of exchange account IDs
`limit_price`	number	No	Won’t execute beyond this price
`params`	object	Yes	Algorithm-specific parameters (see below)

TWAP Parameters

Parameter	Type	Default	Description
`duration_seconds`	int	required	Total execution time in seconds
`interval_seconds`	int	required	Time between slices
`aggression`	string	`"neutral"`	`passive`, `neutral`, `aggressive`, `auto`
`randomize_size`	bool	`true`	+/-20% size randomization
`randomize_timing`	bool	`true`	+/-30% timing randomization
`catch_up_enabled`	bool	`true`	Catch up if falling behind
`max_catch_up_pct`	int	`200`	Max catch-up as % of interval size

Request Example

curl -X POST "http://localhost:8082/oems/algorithms/start" \
  -H "Content-Type: application/json" \
  -d '{
    "algorithm_type": "twap",
    "symbol": "BTC/USDC",
    "side": "buy",
    "quantity": 0.001,
    "exchange_account_ids": ["binance-001"],
    "params": {
      "duration_seconds": 60,
      "interval_seconds": 10,
      "aggression": "neutral"
    }
  }'

Response Example

{
  "isError": false,
  "message": "Algorithm started successfully.",
  "statusCode": 200,
  "data": {
    "order_id": "893dc6ba-3b13-407a-a06c-41dcdd39d1ee",
    "algorithm_type": "twap",
    "symbol": "BTC/USDC",
    "side": "buy",
    "total_quantity": 0.001,
    "status": "RUNNING",
    "arrival_price": 78836.00,
    "arrival_spread_bps": 10,
    "estimated_completion": "2026-02-02T23:42:58.862514",
    "progress": {
      "filled_quantity": 0.0,
      "remaining_quantity": 0.001,
      "fill_percentage": 0.0,
      "vwap": null,
      "child_orders_filled": 0,
      "total_fees": 0.0
    },
    "state": {
      "current_interval": 1,
      "total_intervals": 6,
      "base_quantity_per_interval": 0.000166
    }
  }
}

Best Practices

Use passive aggression for large orders to minimize market impact
Enable catch_up_enabled to ensure full quantity is executed
Set limit_price as a safety guardrail
Longer durations reduce market impact but increase timing risk

Ladder Parameters

Parameter	Type	Default	Description
`num_levels`	int	required	Number of price levels (1-20)
`price_spacing_bps`	number	`10`	Spacing between levels in basis points
`size_distribution`	string	`"equal"`	`equal`, `linear`, `exponential`
`start_price`	number	market mid	Starting price for the ladder
`end_price`	number	-	End price (overrides spacing if set)
`cancel_on_fill_pct`	number	-	Cancel remaining levels when X% filled
`cancel_on_price_move_bps`	number	-	Cancel all if mid-price moves X bps
`reprice_on_move_bps`	number	-	Recalculate levels if mid moves X bps

Size Distributions

Distribution	Behavior	Use Case
`equal`	Same quantity at each level	Standard ladder
`linear`	More quantity at better prices	Favor fills near mid-price
`exponential`	Much more at best prices	Aggressive near-touch accumulation

Request Example

curl -X POST "http://localhost:8082/oems/algorithms/start" \
  -H "Content-Type: application/json" \
  -d '{
    "algorithm_type": "ladder",
    "symbol": "BTC/USDT",
    "side": "buy",
    "quantity": 0.01,
    "exchange_account_ids": ["binance-sandbox-001"],
    "params": {
      "num_levels": 5,
      "price_spacing_bps": 20,
      "size_distribution": "linear",
      "cancel_on_fill_pct": 80,
      "reprice_on_move_bps": 50
    }
  }'

Response Example

{
  "isError": false,
  "message": "Algorithm started successfully.",
  "statusCode": 200,
  "data": {
    "order_id": "a1b2c3d4-e5f6-7890-abcd-ef1234567890",
    "algorithm_type": "ladder",
    "symbol": "BTC/USDT",
    "side": "buy",
    "total_quantity": 0.01,
    "status": "RUNNING",
    "arrival_price": 95000.00,
    "state": {
      "levels": [
        {"level_number": 1, "price": 95000.00, "quantity": 0.0033, "status": "active"},
        {"level_number": 2, "price": 94981.00, "quantity": 0.0027, "status": "active"},
        {"level_number": 3, "price": 94962.00, "quantity": 0.0020, "status": "active"},
        {"level_number": 4, "price": 94943.00, "quantity": 0.0013, "status": "active"},
        {"level_number": 5, "price": 94924.00, "quantity": 0.0007, "status": "active"}
      ],
      "total_filled": 0.0,
      "active_orders": 5,
      "initial_mid_price": 95000.00
    }
  }
}

Best Practices

Use linear distribution to concentrate size near market price
Set cancel_on_fill_pct to 70-80% to capture most fills without overfilling
Use reprice_on_move_bps for volatile markets to keep levels relevant
Keep num_levels at 3-10 for most use cases

Sweep Parameters

Parameter	Type	Default	Description
`urgency`	string	`"aggressive"`	Aggression level for pricing
`limit_price`	number	-	Maximum price for buys, minimum for sells
`use_sor`	bool	`true`	Route across multiple venues via SOR
`max_slippage_bps`	number	`50`	Max slippage from arrival price before blocking
`max_retries`	int	`3`	Number of retry rounds if not fully filled

Request Example

curl -X POST "http://localhost:8082/oems/algorithms/start" \
  -H "Content-Type: application/json" \
  -d '{
    "algorithm_type": "sweep",
    "symbol": "BTC/USDT",
    "side": "buy",
    "quantity": 0.01,
    "exchange_account_ids": ["binance-sandbox-001"],
    "params": {
      "max_slippage_bps": 30,
      "max_retries": 5
    }
  }'

Response Example

{
  "isError": false,
  "message": "Algorithm started successfully.",
  "statusCode": 200,
  "data": {
    "order_id": "b2c3d4e5-f6a7-8901-bcde-f12345678901",
    "algorithm_type": "sweep",
    "symbol": "BTC/USDT",
    "side": "buy",
    "total_quantity": 0.01,
    "status": "RUNNING",
    "arrival_price": 95000.00,
    "state": {
      "sweep_round": 0,
      "total_rounds": 6,
      "remaining_after_round": 0.0,
      "arrival_price": 95000.00
    }
  }
}

Best Practices

Sweep is the simplest algorithm - use it when you need immediate fills
All slices are IOC (Immediate-or-Cancel) - unfilled portions cancel immediately
Set max_slippage_bps to protect against adverse price movement
Use max_retries > 0 for illiquid markets where one pass may not fill

TimePace Parameters

Parameter	Type	Default	Description
`quantity_per_interval`	number	required	Fixed quantity per interval
`interval_seconds`	int	required	Seconds between intervals
`limit_price`	number	-	Skip interval if price is beyond limit
`aggression`	string	`"neutral"`	`passive`, `neutral`, `aggressive`
`randomize_size`	bool	`true`	Randomize quantity per interval
`randomize_size_pct`	number	`10`	Randomization percentage

Key Difference from TWAP: TimePace has no catch-up logic. If an interval is skipped (due to limit price breach), that quantity is lost. TWAP catches up on missed quantity. Request Example

curl -X POST "http://localhost:8082/oems/algorithms/start" \
  -H "Content-Type: application/json" \
  -d '{
    "algorithm_type": "timepace",
    "symbol": "BTC/USDT",
    "side": "buy",
    "quantity": 0.01,
    "exchange_account_ids": ["binance-sandbox-001"],
    "params": {
      "quantity_per_interval": 0.002,
      "interval_seconds": 30,
      "aggression": "neutral",
      "randomize_size": true
    }
  }'

Response Example

{
  "isError": false,
  "message": "Algorithm started successfully.",
  "statusCode": 200,
  "data": {
    "order_id": "c3d4e5f6-a7b8-9012-cdef-123456789012",
    "algorithm_type": "timepace",
    "symbol": "BTC/USDT",
    "side": "buy",
    "total_quantity": 0.01,
    "status": "RUNNING",
    "arrival_price": 95000.00,
    "state": {
      "current_interval": 1,
      "intervals_completed": 0,
      "intervals_skipped": 0,
      "quantity_per_interval_actual": 0.002
    }
  }
}

Best Practices

Use TimePace when you want predictable, fixed-size executions
Set limit_price to skip intervals during adverse price moves
Unlike TWAP, skipped intervals do NOT accumulate - choose TimePace for strict pacing
Runs until total_quantity is filled or the algorithm is cancelled

Spread Parameters

Parameter	Type	Default	Description
`anchor_symbol`	string	required	Primary leg symbol
`contra_symbol`	string	required	Hedge leg symbol
`anchor_exchange_account_ids`	array	required	Exchange accounts for anchor leg
`contra_exchange_account_ids`	array	required	Exchange accounts for contra leg
`risk_quantity`	number	required	Max unhedged exposure
`lead_mode`	string	`"anchor"`	Which leg posts first: `anchor` or `contra`
`aggression`	string	`"neutral"`	Aggression for posting leg
`sweep_trigger_mode`	string	`"immediate"`	Hedge trigger: `immediate`, `disabled`, `threshold`
`sweep_threshold_pct`	number	`0`	Spread % threshold for `threshold` mode
`pause_offset_pct`	number	-	Pause if spread exceeds this %
`reprice_increment_bps`	number	`10`	Reprice increment in bps
`spread_offset_pct`	number	`0`	Target spread offset

Sweep Trigger Modes

Mode	Behavior
`immediate`	Hedge with IOC order as soon as lead leg fills
`disabled`	Hedge with limit order (passive)
`threshold`	Use IOC only when spread exceeds `sweep_threshold_pct`

Request Example (BTC spot vs perp basis trade)

curl -X POST "http://localhost:8082/oems/algorithms/start" \
  -H "Content-Type: application/json" \
  -d '{
    "algorithm_type": "spread",
    "symbol": "BTC/USDT",
    "side": "buy",
    "quantity": 0.01,
    "exchange_account_ids": ["binance-sandbox-001"],
    "params": {
      "anchor_symbol": "BTC/USDT",
      "contra_symbol": "BTC/USDT:USDT",
      "anchor_exchange_account_ids": ["binance-sandbox-001"],
      "contra_exchange_account_ids": ["bybit-001"],
      "risk_quantity": 0.005,
      "lead_mode": "anchor",
      "aggression": "neutral",
      "sweep_trigger_mode": "immediate",
      "pause_offset_pct": 2.0
    }
  }'

Response Example

{
  "isError": false,
  "message": "Algorithm started successfully.",
  "statusCode": 200,
  "data": {
    "order_id": "d4e5f6a7-b8c9-0123-def0-234567890123",
    "algorithm_type": "spread",
    "symbol": "BTC/USDT",
    "side": "buy",
    "total_quantity": 0.01,
    "status": "RUNNING",
    "arrival_price": 95000.00,
    "state": {
      "anchor_filled": 0.0,
      "contra_filled": 0.0,
      "current_spread_pct": 0.05,
      "unhedged_quantity": 0.0,
      "is_spread_paused": false
    }
  }
}

Best Practices

Set risk_quantity conservatively - it limits max unhedged exposure
Use immediate sweep trigger for tight risk management
Set pause_offset_pct to stop trading when the spread widens beyond tolerance
The algorithm completes when BOTH legs are fully filled
Use different exchange accounts for each leg for cross-venue basis trades

Aggression Levels

Applies to TWAP, Ladder, TimePace, and Spread algorithms.

Level	Description	Use Case
`passive`	25% into spread	Minimize market impact, patient execution
`neutral`	Midpoint	Balanced approach
`aggressive`	75% into spread	Prioritize fills over price
`auto`	Dynamic (TWAP only)	Adjusts based on fill progress

GET /oems/algorithms/

Get the status and progress of an algorithm.

Path Parameters

Parameter	Type	Description
`order_id`	string	Algorithm order ID

Request Example

curl "http://localhost:8082/oems/algorithms/893dc6ba-3b13-407a-a06c-41dcdd39d1ee"

Response Example

{
  "isError": false,
  "message": "Success",
  "statusCode": 200,
  "data": {
    "order_id": "893dc6ba-3b13-407a-a06c-41dcdd39d1ee",
    "algorithm_type": "twap",
    "symbol": "BTC/USDC",
    "side": "buy",
    "total_quantity": 0.001,
    "status": "RUNNING",
    "arrival_price": 78836.00,
    "progress": {
      "filled_quantity": 0.0006,
      "remaining_quantity": 0.0004,
      "fill_percentage": 60.0,
      "vwap": 78842.50,
      "child_orders_filled": 3,
      "child_orders_failed": 0,
      "total_fees": 0.000045
    },
    "state": {
      "current_interval": 4,
      "total_intervals": 6,
      "behind_by": 0.0
    },
    "recent_slices": [
      {
        "slice_id": "abc123",
        "status": "filled",
        "quantity": 0.0002,
        "fill_price": 78840.00,
        "arrival_price": 78836.00,
        "slippage_bps": 0.51
      }
    ]
  }
}

POST /oems/algorithms//pause

Pause a running algorithm. Stops generating new slices but keeps open orders.

Request Example

curl -X POST "http://localhost:8082/oems/algorithms/893dc6ba-3b13-407a-a06c-41dcdd39d1ee/pause"

Response Example

{
  "isError": false,
  "message": "Algorithm paused successfully.",
  "statusCode": 200,
  "data": {
    "order_id": "893dc6ba-3b13-407a-a06c-41dcdd39d1ee",
    "status": "PAUSED",
    "paused_at": "2026-02-02T23:45:00Z"
  }
}

POST /oems/algorithms//resume

Resume a paused algorithm.

Request Example

curl -X POST "http://localhost:8082/oems/algorithms/893dc6ba-3b13-407a-a06c-41dcdd39d1ee/resume"

Response Example

{
  "isError": false,
  "message": "Algorithm resumed successfully.",
  "statusCode": 200,
  "data": {
    "order_id": "893dc6ba-3b13-407a-a06c-41dcdd39d1ee",
    "status": "RUNNING"
  }
}

POST /oems/algorithms//cancel

Cancel an algorithm. Cancels all open child orders.

Request Example

curl -X POST "http://localhost:8082/oems/algorithms/893dc6ba-3b13-407a-a06c-41dcdd39d1ee/cancel"

Response Example

{
  "isError": false,
  "message": "Algorithm cancelled successfully.",
  "statusCode": 200,
  "data": {
    "order_id": "893dc6ba-3b13-407a-a06c-41dcdd39d1ee",
    "status": "CANCELLED",
    "cancelled_at": "2026-02-02T23:47:00Z",
    "child_orders_cancelled": 2,
    "final_progress": {
      "filled_quantity": 0.0008,
      "fill_percentage": 80.0,
      "vwap": 78855.46,
      "total_fees": 0.000058
    }
  }
}

GET /oems/algorithms//slices

Get all child orders (slices) for an algorithm.

Request Example

curl "http://localhost:8082/oems/algorithms/893dc6ba-3b13-407a-a06c-41dcdd39d1ee/slices"

Response Example

{
  "isError": false,
  "message": "Success",
  "statusCode": 200,
  "data": {
    "order_id": "893dc6ba-3b13-407a-a06c-41dcdd39d1ee",
    "slices": [
      {
        "slice_id": "slice-001",
        "interval_number": 1,
        "status": "filled",
        "quantity": 0.0002,
        "filled_quantity": 0.0002,
        "price": 78830.00,
        "fill_price": 78832.50,
        "arrival_price": 78836.00,
        "slippage_bps": -0.44,
        "fees": 0.000015,
        "fee_currency": "BNB",
        "submitted_at": "2026-02-02T23:42:10Z",
        "filled_at": "2026-02-02T23:42:10Z",
        "venue": "binance"
      }
    ]
  }
}

GET /oems/algorithms

List all algorithms.

Query Parameters

Parameter	Type	Description
`status`	string	Filter by status: `RUNNING`, `PAUSED`, `COMPLETED`, `CANCELLED`, `FAILED`
`algorithm_type`	string	Filter by type: `twap`, `ladder`, `sweep`, `timepace`, `spread`
`symbol`	string	Filter by trading pair
`side`	string	Filter by `buy` or `sell`
`limit`	int	Max results (default: 50, max: 200)
`offset`	int	Pagination offset

Request Example

# List all
curl "http://localhost:8082/oems/algorithms"

# List running only
curl "http://localhost:8082/oems/algorithms?status=RUNNING"

# List ladder algorithms
curl "http://localhost:8082/oems/algorithms?algorithm_type=ladder"

GET /oems/algorithms/by-status/

List algorithms by status.

Request Example

curl "http://localhost:8082/oems/algorithms/by-status/RUNNING"
curl "http://localhost:8082/oems/algorithms/by-status/COMPLETED"

GET /oems/algorithms/by-account/

List algorithms for a specific exchange account.

Request Example

curl "http://localhost:8082/oems/algorithms/by-account/binance-001"

Algorithm Status Lifecycle

PENDING -> RUNNING -> COMPLETED
               |
            PAUSED -> RUNNING (resume)
               |
           CANCELLED
               |
            FAILED

Status	Description
`PENDING`	Created but not started
`RUNNING`	Actively executing slices
`PAUSED`	Temporarily stopped by user
`COMPLETED`	All quantity filled
`CANCELLED`	Stopped by user
`FAILED`	Error occurred

TCA Metrics (Transaction Cost Analysis)

Each algorithm tracks execution quality metrics:

Metric	Description
`arrival_price`	Market mid-price when algorithm started
`vwap`	Volume-weighted average fill price
`slippage_bps`	Difference between arrival and fill price (basis points)
`fill_percentage`	Percentage of order filled
`total_fees`	Total trading fees incurred

Calculating Implementation Shortfall

Implementation Shortfall = (VWAP - Arrival Price) / Arrival Price * 10000 bps

Positive = paid more than arrival (for buys), negative = got better price.

Error Handling

Error	Cause	Resolution
`DAILY_LIMIT_EXCEEDED`	Order would exceed daily limit	Reduce quantity or wait until tomorrow
`MIN_ORDER_SIZE`	Slice below exchange minimum	Algorithm skips tiny slices automatically
`SYMBOL_NOT_PERMITTED`	Account can’t trade this pair	Check exchange account permissions
`EXCHANGE_ERROR`	Exchange rejected order	Check error message for details

Daily Limit Behavior

When an algorithm hits the daily trading limit:

Remaining slices are rejected
Algorithm is paused automatically
Check /oems/execution/daily-limit for current limit status

Choosing an Algorithm

Scenario	Algorithm	Why
Minimize market impact over time	`twap`	Spreads execution evenly, catches up if behind
Fixed-pace execution, no catch-up	`timepace`	Predictable pacing, skipped intervals stay skipped
Fill entire order NOW	`sweep`	IOC execution with retry logic
Accumulate at multiple price levels	`ladder`	Posts limit orders across a price range
Basis/arb trade across venues	`spread`	Two-leg execution with risk management

TWAP vs TimePace

Feature	TWAP	TimePace
Catch-up on missed intervals	Yes	No
Fixed end time	Yes (duration-based)	No (runs until filled)
Size per interval	Calculated from total/intervals	User-specified
Use case	Fill X quantity in Y time	Send Z quantity every N seconds

Getting Started

API Reference

​Algorithms API

​Key Features

​Algorithm Types

​POST /oems/algorithms/start

​Request Body (JSON)

​TWAP Parameters

​Ladder Parameters

​Sweep Parameters

​TimePace Parameters

​Spread Parameters

​Aggression Levels

​GET /oems/algorithms/

​Path Parameters

​Request Example

​Response Example

​POST /oems/algorithms//pause

​Request Example

​Response Example

​POST /oems/algorithms//resume

​Request Example

​Response Example

​POST /oems/algorithms//cancel

​Request Example

​Response Example

​GET /oems/algorithms//slices

​Request Example

​Response Example

​GET /oems/algorithms

​Query Parameters

​Request Example

​GET /oems/algorithms/by-status/

​Request Example

​GET /oems/algorithms/by-account/

​Request Example

​Algorithm Status Lifecycle

​TCA Metrics (Transaction Cost Analysis)

​Calculating Implementation Shortfall

​Error Handling

​Daily Limit Behavior

​Choosing an Algorithm

​TWAP vs TimePace

Algorithms API

Key Features

Algorithm Types

POST /oems/algorithms/start

Request Body (JSON)

TWAP Parameters

Ladder Parameters

Sweep Parameters

TimePace Parameters

Spread Parameters

Aggression Levels

GET /oems/algorithms/

Path Parameters

Request Example

Response Example

POST /oems/algorithms//pause

Request Example

Response Example

POST /oems/algorithms//resume

Request Example

Response Example

POST /oems/algorithms//cancel

Request Example

Response Example

GET /oems/algorithms//slices

Request Example

Response Example

GET /oems/algorithms

Query Parameters

Request Example

GET /oems/algorithms/by-status/

Request Example

GET /oems/algorithms/by-account/

Request Example

Algorithm Status Lifecycle

TCA Metrics (Transaction Cost Analysis)

Calculating Implementation Shortfall

Error Handling

Daily Limit Behavior

Choosing an Algorithm

TWAP vs TimePace