ADL®

MsgInfo Extractor Block

The MsgInfo Extractor Block is commonly used to take a snapshot of information that may be constantly changing in the market, such as the bid quantity of a given instrument. By taking a snapshot, the user can capture the information at a single moment in time and use the "frozen" information later on even if the market continues to change. However, when a new discrete event message triggers the MsgInfo Extractor Block, the block will replace the old snapshot with a new one.

The MsgInfo Extractor Block works as follows:

  1. A discrete event message triggers the MsgInfo Extractor Block.

  2. When triggered, the MsgInfo Extractor Block takes a "snapshot" of the specified values contained within the input .

  3. After the taking the snapshot, the MsgInfo Extractor Block:

    • Passes the original message unchanged through its lower-right port and starts to output the snapshot as .
    • Sends each selected message value through its corresponding output port.

Block settings

To change default block settings, double-click the block to open the Block Editor.

Setting Description
Name Name to display beneath the block on the ADL canvas
BodyColor Background color of the block
Connectors

Values from a message block to expose as output ports, including:

  • limitPrice: Price of an new order
  • orderQuantity: Total order quantity
  • workingQuantity: Working quantity of an order
  • fillPrice: Price of a fill
  • fillQuantity: Quantity of a fill
  • cumQuantity: Sum of fill quantities
  • disclosedQuantity: Quantity of a disclosed order visible in the market
  • deletedQuantity: Canceled quantity of a deleted order
  • tradeQuantity: Quantity of the last trade for a specified instrument
  • tradePrice: Price of the last trade for a specified instrument
  • stopTrigger: Price at which the respective stop order is activated
  • isBuy: Whether a fill was a buy side execution
  • isQuotingOrder: Whether the message was generated by a submitted quote order (valid only for Autospreader order blocks)
  • isHedgeOrder: Whether the message was generated by a submitted hedge order (valid only for Autospreader order blocks
  • isExternalEvent: Whether the message was generated from a source outside of the algorithm
  • isTriggered: Whether an order resulted from a trigger condition
  • instrument: Instrument associated with the message
  • userFieldN: One of four empty fields that can be populated by a Value Injector and then accessed by a Value Extractor

For each value you select, a corresponding connector is added to the block's outputs.

Description Optional text to explain how the block is used