The TT Close Premium Order Type attempts to fill the order close to a targeted price at a desired end time. A common use case would be attempting to fill the order near to either the close price or the settlement price.
For more information, refer to the TT Close Order section of the Trade help.
| Number | NameFIX Tag | Type | Required | Updatable | FieldLocation | Description |
| (constructor variable) | Instrument | TRUE | FALSE | OrderProfile | Instrument for synthetic parent order | |
| 1 | OrderQtyTag 38 | Quantity | TRUE | TRUE | OrderProfile | Order quantity for synthetic parent order |
| 2 | LimitPriceTag 44 | Price | TRUE | TRUE | OrderProfile | Limit price to be used for synthetic parent order |
| 3 | OrderSideTag 54 | tt_net_sdk.OrderSide | TRUE | FALSE | OrderProfile | Side for synthetic parent order |
| 4 | AccountTag 1 | Account | TRUE | FALSE | OrderProfile | Account for synthetic parent order |
| 5 | strategyIdentifierTag Tag9100 | String_t | TRUE | FALSE | UserParameters | Set to “CLOSE” |
| ParentVendorAlgoType | String_t | FALSE | FALSE | UserParameters | ||
| ParentVendorAlgoID | String_t | FALSE | FALSE | UserParameters | ||
| 6 | TIFTag 59 | tt_net_sdk.TimeInForce | TRUE | FALSE | UserParameters | Only supports Day orders |
| 7 | OrderTypeTag 40 | tt_net_sdk.OrderType | TRUE | TRUE | OrderProfile | Order Type for synthetic parent order. |
| 8 | StopPxTag 99 | Price | FALSE | TRUE | OrderProfile | Synthetic parent order stop price |
| 9 | Participation Rate Tag9103 | Float_t | FALSE | TRUE | UserParameters | If provided, sets an optional cap on the parent orders participation rate during the life of the order |
| 10 | Aggression Tag9111 | Int_t | FALSE | TRUE | UserParameters | Influences how strongly to tilt order trajectory (TT Close, TT Brisk), how tightly to track max participation (TT POV, TT Scale POV), or how tightly to follow an order schedule (TT TWAP+, TT VWAP+).For TT Close orders, this means:Lower aggression (e.g. 0) trades close to a normal VWAP curve. Mid/Default aggression (e.g.5) trades more passively upfront than VWAP based upon product-specific optimizations to balance the risk of market impact vs end-price drift by reserving more quantity for the end of the order. High aggression (e.g. 10) trades most passively with respect to a standard VWAP, expressing greater preference for minimizing end-price drift by executing with most tilt towards the end time.Valid enums 0-10 |
| 11 | Tilt Mode Tag9112 | Int_t | FALSE | TRUE | UserParameters | Determines the methodology used to tilt away from the a normal Volume-Weighted Average Price (VWAP)-based schedule for TT Brisk and TT Close algos. 1: – Model Driven: Uses the instrument’s liquidity and volatility profile to determine the strength of the tilt. This setting results in the tilt, compared to a normal VWAP schedule, being more pronounced with higher Aggression setting, higher instrument liquidity, higher instrument volatility, and longer order duration. 2: Simple – The strength of the tilt is determined by the Aggression level and applied as a simple, linear shift vs a VWAP+ order trajectory. Higher Aggression levels will result in the order being shifted further away from VWAP+. |
| 12 | DynamicDuration Tag9302 | Boolean_t | FALSE | TRUE | UserParameters | Allows the algo to target a shorter trading horizon respective to its End Time. If selected, orders submitted may not begin placing child orders until nearer to the End Time. If not selected, parent orders will seek to utilize the full trading window as defined by the Start and End Times. |
| 13 | I Would Price Tag9106 | Price_t | FALSE | TRUE | UserParameters | Price at which you would like to aggressively attempt to fill your order, regardless of the algorithm logic. Order aggressively tries to fill if the instrument reaches this price, irrespective of volume based tracking objectives. Should be lower than limit and arrival time ask prices for BUY orders, higher than limit and arrival time bid prices for SELL orders. |
| 14 | IWouldQty Tag9215 | Int_t | FALSE | TRUE | UserParameters | When set to any value greater than 0, I Would Qty setting equals the minimum top of book quantity required before the order will cross the spread. |
| 15 | IWouldQtyPct Tag9216 | Float_t | FALSE | TRUE | UserParameters | Similar to I Would Qty, but set as a percent of the order quantity. Note: The field represents the number as a percent and should not be submitted as a decimal: a value of 70 equals 70%. |
| 16 | IWouldQtyVariancePct Tag9225 | Float_t | FALSE | TRUE | UserParameters | Randomizes the I Would Qty and I Would Qty % thresholds by a specified percent in each direction. Note: This field represents the number as a percent and should not be submitted as a decimal. For example, a value of 10 equals 10%. For example, if I Would Qty equals 100 and I Would Qty Variance % equals 20, the I Would Qty behavior will be triggered based on available size being between 80-120, depending on randomized value selected within the variance range. |
| 17 | MaxSpreadCrossTicks Tag9221 | Int_t | FALSE | TRUE | UserParameters | If greater than 0, an order will not cut or cross a bid-ask spread that is more than the specified amount wide. |
| 18 | Start TimeTag 168 | UTCTimstamp_t | FALSE | TRUE | UserParameters | If not set, defaults to Now |
| 19 | End TimeTag 126 | UTCTimstamp_t | FALSE | TRUE | UserParameters | End Time and Duration are mutually exclusive and only one should be set; if neither value is set the parent order will default to the market close time of the Instrument. The duration is interpreted as the number of minutes the parent order should be active from Start Time. |
| Duration Tag9202 | Int_t | FALSE | TRUE | UserParameters | ||
| 20 | EndTimeOverride Tag9203 | Int_t | FALSE | TRUE | UserParameters | Overrides End Time, Duration, or the default with one of several product hours related values. Available options are: 0: None (Default) 1: Last Session Close 2: Next Session Close 3: Settlement Note: If the current time is in the final continuous trading session of the day Next Session Close and Last Session Close reference the same time. |
| 21 | IfTouchedPrice Tag9190 | Price_t | FALSE | TRUE | UserParameters | Price at which parent order is triggered If Touched |
| 22 | PostTriggerDuration Tag9191 | Int_t | FALSE | TRUE | UserParameters | If utilizing OrderType Stop or Stop Limit, or if utilizing IfTouchedPrice, PostTriggerDuration should be utilized in lieu of End Time or Duration. Defines the number of minutes from the point a parent order is triggered to begin working the order should be active. |