Public Algos

Public algos

Public algos

TT offers suite of public algos that provide automated order entry strategies that allow users to quote a market based on a set of input parameters. Users are able to customize the quoting behavior, specify an action taken after a fill occurs, and control the risk parameters per instance. The strategies can be run from either Autotrader or Algo Dashboard. The values can be supplied manually by the user, linked from Excel, or loaded using order templates.

Market-making algos

TT provides the following market-making public algos:

  • Direct Entry: Submits the quoting orders based on the direct price supplied in the Bid Prc and Ask Prc inputs. The working orders will automatically reprice based on any changes to the supplied bid/ask price values.
  • Single Theo: Submits the quoting orders a user-defined number of ticks (Bid Offset and Ask Offset) from a single theoretical price (Theo Price). The working orders will automatically reprice based on any changes to the supplied theoretical value or offsets.
  • Bid/Ask Theo: Submits the quoting orders a user-defined number of ticks (Bid Offset and Ask Offset) from theoretical bid/ask price (Theo Bid and Theo Ask). The working orders will automatically reprice based on any changes to the supplied theoretical values or offsets.
  • Market Base: Submits the quoting orders a user-defined number of ticks (Bid Offset and Ask Offset) from the current inside market of the quoted instrument. The working orders will automatically reprice based on the movement of the market or changes to the offsets.
  • Reference Market: Submits the quoting orders a user-defined number of ticks (Bid Offset and Ask Offset) from the current inside market of the reference instrument (Ref Instrument). The working orders will automatically reprice based on the movement of the reference market or changes to the offsets.

How the algos work

The algo parameters allow you to customize the quoting behavior, specify an action taken after a fill occurs, and control the risk parameters per instance.

The quoting orders are submitted based on the base price and quantity inputs and may be adjusted depending on the If Quote Outside Join Mkt, If Quote Inside Join Mkt, and Don’t Cross Market settings. The strategy will automatically reprice quoting orders upon updates to the base price inputs. You can control the frequency of order updates with the Quote Throttle parameter. When a fill is received, the algo can automatically submit cover orders a specified number of ticks (Cover Offset) away from the fill price.

Based on the Manual Requote setting, the algo will automatically requote after the Fill Throttle has passed or remove all quotes from the market until the Requote button is clicked. The quote order will either be reduced or canceled based on the open position per instance versus the Max Pos allowed. The algo also gives you the option to reset the open position, if needed.

Notes:

  • The user must enter a max position value for the algo to run; otherwise the strategy will pause.
  • If the Enable Cover Orders parameter is enabled after starting the strategy, it will only consider fills achieved after that point.
  • If no fill throttle is entered, the algo will consider the quote throttle prior to requoting.

Warnings:

  • At this time TT recommends that you do not attempt to resume the algo from a paused state. Doing so will result in the momentary use of stale prices which can result in an unintentional fill.
  • Any manual intervention with the orders managed by the algo will cause the strategy to stop managing those orders. The algo will no longer work an order on that side of the market.

Algo parameters

Parameter Description Used by
Instrument Contract for which to submit quote/cover orders (and the market to use when determining the base price for the Market Base algo). All
Bid Prc Direct price to submit the buy quoting order. Direct Entry
Ask Prc Direct price to submit the sell quoting order. Direct Entry
Theo Price Base price to submit the buy and sell quoting orders (Single Theo) Single Theo
Theo Bid Base price to submit the buy quoting order Bid/Ask Theo
Theo Ask Base price to submit the sell quoting order. Bid/Ask Theo
Ref Instrument Contract to use for the base price to submit buy and sell quoting orders. Reference Market
Ref Prc Multiplier Adjusts the price of the reference market before calculating the base price for the quoting orders. Default setting is 1. Reference Market
Bid Offset Offset, in ticks, from the base price for the buy quoting order. Positive value is away from market, negative value is toward market Single Theo
Bid/Ask Theo
Market Base
Reference Market
Ask Offset Offset, in ticks, from the base price for the sell quoting order. Positive value is away from market, negative value is toward market Single Theo
Bid/Ask Theo
Market Base
Reference Market
Bid Qty Quantity of the buy quoting order. All
Ask Qty Quantity of the sell quoting order. All
Enable Cover Orders Whether to submit an offsetting order to the market when you receive a fill on the quoting order. All
Cover Order Offset Number of ticks away from the quoting order fill price at which your cover order will be submitted. All
Quote Throttle: Delay (in milliseconds) in which a quote order may be updated. The throttle is observed from the time of last order update. If a price update occurs within the throttle time, the order update will be suppressed until the throttle time has elapsed. This parameter can be used to reduce excessive quoting. All
Fill Throttle Delay (in milliseconds) in which a quote order will not update after receiving a fill. Should a second fill occur during the throttle duration, the throttle time will be reset. All
Max Pos Maximum open position (used for both long and short) before the algo stops quoting the position-increasing side of the market. All
Manual Requote Whether to remove all quoting orders from the market when a fill occurs; cover orders will remain working. If this parameter is set to True, the Requote button will need to be clicked to resume quoting. All
If Quote Outside, Join Mkt Whether to adjust a quoting order to the current market price when the calculated quote price is outside the inside market price. All
If Quote Inside, Join Mkt Whether to adjust a quoting order to the current market price when the calculated quote price is better than the inside market price. All
Don’t Cross Market Whether to prevent a quoting order from crossing the inside market. All
Use Cancel/ Replace Whether to reprice the quoting order with a cancel/replace rather than using change. All
Requote Click the button to resume quoting after a fill has occurred when Manual Requote is set to True. All
Reset Open Pos Click the button to reset your current open position for the running instance back to zero All