TT® FIX

Component Block: <StrategyParametersGrp>

Overview

The <StrategyParametersGrp> repeating group contains the parameters and values used by the following:

  • Free-form text fields, such as Text A in TT widgets.
  • Parameters for TT order types, such as TT Iceberg.
  • Parameters for Autospreader spreads.
  • Parameters for Aggregator orders.
  • Parameters for custom algos, such as ADL® (Algo Design Lab) or third-party algos

Supported tags

Tag # Field Name Req'd Data type Comments
957 NoStrategyParameters N NumInGroup

Repeating group of parameters for the algo or the free-form text fields to attach to the order

958 StrategyParameterName C String

Name of the algo parameter or free-form text field

TT uses the following parameter names to support TT order types:

TT uses the following parameter names to support Autospreader and Aggregator instruments:

TT uses the following parameter names to support TT free-form text fields:

  • TextA (Corresponds to the Text A field in TT widgets)
    Note: Some exchanges use sMemo instead of TextA.
  • TextB (Corresponds to the Text B field in TT widgets)
  • TextTT: (Corresponds to the Text TT field in TT widgets)

Condition: Required when tag 957 > 0

959 StrategyParameterType C Int

Type of data contained in tag 960 (StrategyParameterValue)

Possible values include:

  • 1: Int
  • 6: Float
  • 7: Double
  • 13: Boolean
  • 14: String
  • 19: UTCTimestamp

Condition: Required when tag 957 > 0

960 StrategyParameterValue C String

Value of the parameter or additional order information

Condition: Required when tag 957 > 0

Specifying parameters for TT order types

If you want to submit orders and receive updates for TT order type orders, you must use specific parameters that correspond to the parameters necessary for the selected TT order type. See TT order types for more details.

For custom algos, the group must contain the information for the algo name and the parameters required by the custom algo.

Note: All algos must contain the following StrategyParameterName (tag 958) values in the StrategyParameters repeating group, along with their corresponding types (tag 959) and values (tag 960):

  • 958=Algo Name
  • 958=Algo Type
  • 958=ChildTIF

Note: When 958=Spread Name or 958=Aggregator Name, you send only their corresponding types (tag 959) and values (tag 960) in the repeating group.

Based on which TT order type you use, you would include a subset of the following tags to provide the algo parameters.

StrategyParameterName (958) StrategyParameterType (959) StrategyParameterValue (960)
Aggregator Name String Name of the aggregator as defined in the Aggregator Manager
Algo Name String

Name of the TT order type

For TT order types, possible values include:

For custom algos, the name must match the one specified by the algo creator.

Required when this repeating group represents an algo

Algo Type int

Source of the algo

Possible values include:

  • 0: Custom algo
  • 1: TT order type
  • 3: Bank algo

Required when this repeating group contains a |958=Algo Name| entry

BracketOrderType int

Order type for the parent order

Possible values include:

  • 0: Limit
  • 1: Stop Limit
  • 2: Stop Market
BracketStopLimitOffset int

Number of ticks away from the Stop price to submit a Limit order.

ChildTIF int

Time-in-Force for the algo child orders

Possible values include:

  • 1: GTD
  • 2: GTC

Required when this repeating group contains a |958=Algo Name| entry

DiscVal int

Amount of the total order quantity to disclose (1 to maxint)

DiscValType int

What the DiscVal represents

Possible values include:

  • 1: Absolute quantity
  • 2: Percentage of the total order quantity
ExpireTime UTC_Timestamp

Time to stop working the order.

Note: Omit the tag to work the order until the market closes (GTC).

ETimeAct int

Action to take for any unfilled balance when the End time is reached. Currently, the only supported value is 1 (Cancel).

Interval int

Length of the slice, in milliseconds

IsTrlTrg Boolean

Indicates whether the trigger price trails the trigger price type by some number of ticks. Possible values include: Y or N.

LeftoverAction int

How to handle any existing unfilled order quantities when it is time to send the next portion.

  • 0: Leave
  • 1: Payup
LeftoverTicks int

Number of ticks to add or subtract from your Bid or Offer to determine the price of the limit order.

Required when the repeating group contains a 958=LeftOverAction with 960=1 (Payup) entry

LimitPriceType int

Type of price for the ticks away offset. Possible values include:

  • 1: Bid
  • 2: Ask
  • 3: LTP
LimitTicksAway int

Number of ticks away from the specified limit price to submit the order (-999 to 999)

OcoStopTriggerPrice int

Price at which to trigger the Stop Market or Stop Limit order.

Payup int

Number of ticks from the specified price to submit the Limit order

ProfitTarget int

Initial price for the profit order in the OCO pair, as follows:

  • Price = Entry Order Fill Price + Profit target setting, if the TT Bracket order was a bid.
  • Price = Entry Order Fill Price - Profit target setting, if the TT Bracket order was an offer.
RetryCount int

Number of times (0-32,000) to resend a rejected order

RetryInterval int

Number of milliseconds (0-100,000) between retry attempts

SpreadName String Name of the spread as defined in the Autospreader widget.
EffectiveTime UTC_Timestamp

Time to start working the order.

Note: Omit the tag to start working the order when submitted.

StopLimitOffset int

Number of ticks away from the Stop price to submit a Limit order when the OCO Stop Limit order is triggered.

StopOrderType int

Order type of the stop-loss order. Possible values include:

  • 1: Limit
  • 2: Market
StopTarget int

Initial price for the stop loss order in the OCO pair, as follows:

  • Price = Entry Order Fill Price + Stop loss setting, if the TT Bracket order was a bid.
  • Price = Entry Order Fill Price - Stop loss setting, if the TT Bracket order was an offer.
TriggerLTPReset int

Whether to reset the trade quantity counter back to zero, if the inside market backs away from the trigger price.

Possible values include:

  • Y: Yes
  • N: No
TriggerPriceType int

Type of order trigger. Possible values include:

  • 1: Bid
  • 2: Ask
  • 3: LTP
TriggerQty int

Quantity of the secondary trigger condition based on the executed quantity (if LTP) or the quantity on the Bid or the Ask.

TriggerQtyCompare int

Test to use when comparing trigger quantities. Possible values include:

  • 3: Less than or equal to
  • 5: Greater than or equal to
TriggerQtyType int

Type of quantity trigger. Possible values include:

  • 1: Qty
  • 2: Percent
TriggerType int

Price at which to trigger the order. Possible values include:

  • 1: Stop
  • 2: If-Touched
TriggerTicksAway int

Number of ticks away from the specified price to submit the child order

TTStopIsTrlTrigger Boolean

Whether the TT Stop order trigger price trails the trigger price type by some number of ticks.

Possible values include:

  • Y: Yes
  • N: No

Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).

TTStopLimitPriceType int

Type of price to use to the TT Stop child order

Possible values include:

  • 1: Bid
  • 2: Ask
  • 3: LTP

Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).

TTStopPayup int

Number of ticks from the specified price to submit the Limit order. Positive values indicate towards the market and negative values indicate away from the market.

Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).

TTStopTriggeredOrderPrice Price

price for the TT Stop child Limit order.

Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).

TTStopTriggeredOrderType int

Type of order to submit when triggered.

Possible values include:

  • 1: Market
  • 2: Limit
  • 3: MLM

Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).

TTStopTriggerLTPReset Boolean

Whether to reset the trade quantity counter back to zero, if the inside market backs away from the trigger price.

Possible values include:

  • Y: Yes
  • N: No

Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).

TTStopTriggerPriceType int

Type of trigger for the TT Stop order.

Possible values include:

  • 1: Bid
  • 2: Ask
  • 3: LTP

Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).

TTStopTriggerQty int

Quantity of the secondary trigger condition based on the executed quantity (if LTP) or the quantity on the Bid or the Ask.

Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).

TTStopTriggerQtyCompare int

Test to use when comparing TT Stop order trigger quantities.

Possible values include:

  • 3: Less than or equal to
  • 5: Greater than or equal to

Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).

TTStopTriggerQtyType int

Type of quantity trigger for the TT Stop order.

Possible values include:

  • 1: Qty
  • 2: Percent

Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).

TTStopTriggerTicksAway int

Number of ticks away from the specified price to submit the child orders of the TT Stop order

Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).

TTStopWithATick int

Threshold for the With A Tick behavior that reprices the order one tick toward the market when available quantity at the opposite inside market is at or below the specified quantity threshold

Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).

TTStopWithATickType int

Type of quantity to use for the With A Tick type specified in tag 16929 (TTStopWithATick).

Possible values include:

  • 1: Qty
  • 2: Percent

Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).

WithATick int

Whether the WAT threshold represents a specific quantity or a percentage of the order quantity.

Possible values include:

  • 1: Qty
  • 2: Percent
WithATickType int

WAT threshold quantity.

custom-parameter-name Varies

Value of the custom parameter

You must ensure that the value matches the specified data type for the custom parameter.

TT Bracket order

TT Bracket orders use the following parameters:

For the FIXatdl definition, see TT_Bracket.xml.

TT Iceberg order

TT Iceberg orders use the following parameters:

For the FIXatdl definition, see TT_Iceberg.xml.

TT If Touched order

TT If Touched orders use the following parameters:

For the FIXatdl definition, see TT_IfTouched.xml.

TT OCO order

TT OCO orders use the following parameters:

For the FIXatdl definition, see TT_OCO.xml.

TT Retry order

TT Retry orders use the following parameters:

For the FIXatdl definition, see TT_Retry.xml.

TT Stop order

TT Stop orders use the following parameters:

For the FIXatdl definition, see TT_Stop.xml.

TT Time Sliced order

TT Time Sliced orders use the following parameters:

For the FIXatdl definition, see TT_TimeSliced.xml.

TT Timed order

TT Timed orders use the following parameters:

For the FIXatdl definition, see TT_Timed.xml.

TT Trailing Limit order

TT Trailing Limit orders use the following parameters:

For the FIXatdl definition, see TT_TrailingLimit.xml.

TT With A Tick order

TT With A Tick orders use the following parameters:

For the FIXatdl definition, see TT_WithATick.xml.

Autospreader order

Orders for Autospreader spreads use specify only the parameters for the spread name.

Sample repeating group:

957=1|
958=Spread Name|959=14|960=ZB Calendar|

Agreggator order

Orders for Aggregator instruments use specify only the parameters for the aggregator name.

Sample repeating group:

957=1|
958=Aggregator Name|959=14|960=Gold Aggregated|

Custom algo or third-party algo order

When creating the repeating group for a custom algo, such as one created through ADL, you must specify the same algo name as defined by the algo creator and must identify the algo type as custom (959=0). You also need to provide all of the user parameters defined for the algo. For a third-party algo, you must contact the algo provider to get the algo name and the required parameters.

Sample repeating group:

957=6|
958=Algo Name|959=14|960=LimitWithOffset|
958=Algo Type|959=1|960=0|
958=ChildTIF|959=1|960=2|
958=LimitType|959=1|960=3|
958=EntryOffset|959=1|960=3|
958=ExitOffset|959=1|960=1|

Specifying free-form text fields

Free-form text fields allow you to include extra information with an order than persists throughout the life of the order. TT reserves three StrategyParamName values that correspond to the free-form text fields available in TT widgets, such as an Order Ticket.

Note: You can also include these free-form text fields as part of the repeating group for an algo.

StrategyParameterName (958) StrategyParameterType (959) StrategyParameterValue (960)
TextA String Value corresponding to the Text A field in TT widgets
TextB String Value corresponding to the Text B field in TT widgets
TextTT String Value corresponding to the Text TT field in TT widgets
custom-parameter-name String Value for the user-defined field

Sample repeating group:

957=2|
958=TextA|959=14|960=Trading group 1234|
958=TextTT|959=14|960=Flattening my position|