A Peg order is a dynamic limit order that passively works a price at a user-defined offset to a market reference point, resetting the price as the market moves. Peg orders are useful for posting passive orders near the top of the book without needing to manually cancel and replace limit orders.
Peg’s passive execution allows you to choose an offset away from the market reference price, where a larger offset makes the order more passive and an offset of zero (in price terms or basis points) pegs the order at the best bid or offer in the market. Orders can also be pegged to a level in the order book where there is sufficient market depth (for example, minimum of 1 BTC). As the market moves, peg periodically adjusts orders to maintain its relative offset.
Additionally, the limit price acts as a guardrail; orders never cross above the limit on a buy or below the limit on a sell. If the market moves past the limit, the order rests at the limit until conditions change.
Finally, a peg order can also include an optional WIG ("would-if good") level. If the market reaches the WIG level, the order works more aggressively to capture a fill.
In liquid environments, Peg allows for passive execution near the best bid or offer, eliminating the manual effort of canceling and replacing limit orders. For markets with lower liquidity, traders can set a minimum cumulative depth (such as 1 BTC) to anchor orders at levels with a minimum resting size, effectively managing slippage risks associated with posting near the top of the book. By defining an optional "would-if-good" (WIG) level, the order can also transition to a more aggressive strategy when the market shifts, ensuring fills while maintaining a primary focus on passive execution.
Traders will need to specify the side (buy or sell), size (in base or quote units), limit price, peg offset type (price, basis points, or cumulative depth), offset value, and time in force (good til canceled or good til date). Traders can optionally include a WIG (“would-if good”) level for more aggressive execution and/or a display size to make the order an iceberg.
There are three peg offset types:
Price: the offset is measured in quote currency (for example, $5 below the best bid for a buy).
Basis points: the offset is measured in basis points relative to the reference price (for example, 10 basis points off the best bid).
Cumulative depth: the order pegs at the first book level where the cumulative resting size meets the offset measured in base units, used to anchor large orders to a specific depth.
The offset value must be non-negative; an offset of 0 in price terms or bps pegs orders at best bid or offer (minimum of 0.01 offset required for basis point offset ).
The WIG level, if provided, must be at least 100bps from top of book.
