Imported from previous forum
[ original email was from Ryan Pierce - rpierce@taltrade.com ]
[PC20030220_1]
Volume 6:
for 17 ExecInst add:
s = Trailing Stop Peg
Volume 4:
Under the section "Pegged Orders"
add to the enumeration
s = Trailing stop peg
And add the following paragraph to the end of this section:
A trailing stop peg also behaves differently. It requires PegDifference, which must be positive when buying and negative when selling. A trailing stop peg represents a stop order whose price can fluctuate relative to the last sale price. Initially, the stop is placed at the last sale price + PegDifference. The stop price will move like a last peg so that the stop price is the last sale price + PegDifference, with one exception: if buying, the fluctuating stop price cannot increase, and if selling, the stop price cannot decrease. For example, a security trades at $10.00, and a trailing stop peg order to sell with PegDifferece = -0.10 is placed. The pegged stop price will rest at $9.90. The security rises in price to $10.20, and the stop similarly rises to $10.10. The security price falls to $10.15, but the trailing stop holds its price at $10.10. The security’s price keeps falling, and when it reaches $10.10, the stop order is triggered and the security is sold.