Participation Rate Limit

The Participation Rate Limit sets a maximum cap on the rate at which an order participates in the market, ensuring that execution does not exceed a predefined percentage of total market volume. This helps control market impact and maintain order pacing.

How It Works

• Defined as a maximum percentage of total market volume (e.g., a 15% limit means the order will never account for more than 15% of the market's traded volume at any time).

• The engine monitors actual participation rate during execution and reduces trading quantities per interval if the limit is exceeded.

• If market volume decreases, the order automatically slows its pace by reducing quantities traded at each schedule point to maintain the limit.

• Duration is not affected — the order will complete within the originally specified time window.

Considerations

• Constrained Execution: If market volume is insufficient, orders may be underfilled or take longer to execute within the original duration.

• Quantity Reduction Only: In low-liquidity conditions, the engine reduces quantities per interval to stay within the limit. The order duration remains unchanged, which may result in partial fills if the original duration is insufficient.

• No Duration Extension: This setting only amends quantities downward; it does not affect duration. The order will complete (or partially complete) within the originally specified time window.

This setting is ideal for traders looking to limit market impact, ensuring that execution remains controlled and does not excessively influence market dynamics, even if it means potentially incomplete fills in low-liquidity conditions.