TWAP Chase Order

This module mimicks the twap chase feature in orderform's TWAP ordertype:

The base grammar is similar to the TWAP Order:

twap chase <side> <size> [instrument] into <count> over <minutes>

e.g.: twap chase buy 1 btcusdt into 60 over 60

Additionally you can specify the timeout percentage: timeout <percentage%>

and further if it will execute after timeout at the market or add to the next lot: <market|next>

The defaults are 50% and market but if you wanted to adjust them your whole command would be:

twap chase <side> <size> [instrument] into <count> over <minutes> timeout <percentage%> <market|next>

e.g.: twap chase buy 1 btcusdt into 60 over 60 timeout 20% next

Further you may specify behavior when a chase fails. By default it's a market order but you can add it to the next lot:

fail <market|next>

e.g. twap chase buy 1 btcusdt into 60 over 60 fail next

or twap chase buy 1 btcusdt into 60 over 60 timeout 20% next fail next

You can also add reduce at the end of the command.