Advanced concepts

Description

Flip for Sell Order functionality Order Stack Logic with Flip for Sell functionality Virtualization Order of discrete event message propagation Formula Editor Linking Excel Data to the Algo Dashboard Leave orders on cancel or pause Order Ticket Algos (OTA) Synthetic Order Algos (SOA) Export block output values Algo sharing Displaying Accumulated or Unaccumulated LTQ Advanced Exit Block Functionality Estimated Position In Queue (EPIQ) Clip Size Reload Functionality Time and Timers in TT ADL ADL and TT Mobile Recovery And Server Maintenance

Task

Exporting block outputs Managing shared algos Handling External Events Linking Excel Data to the Algo Dashboard Correctly Sequencing Discrete Events Submit Orders Between Specific Start/Stop Times Submit Iceberg with Random Quantity and Delay Creating Uptick and Downtick Counters Time Series Bars for OHLC and VWAP Values Creating OHLC and VWAP Time Bars Stacked Q Holder Example Smartberg Algo Creating a Scale Order Algo Creating a UTC Time Trigger and Time Counter Creating a TT Time Sliced Order Creating a With A Tick Algo Submitting With A Tick Orders Creating a Profit or Scratch Algo Tracking Recent Volume Summarize Volume Testing OMA Logic

Case Studies

Automating a Fixed Income Futures Hedge Order Generating Position in Queue During Pre-open

Creating OHLC and VWAP Time Bars

How to create Open, High, Low, Close, VWAP logic

In the below screen shots you will see Open, High, Low, Close (OHLC) is simple to create using the Time and Sales Block. Then using the extracted Trade Price value, you use this to create the various needed Value Calculations.

Please note:

The Value Bucket Blocks are simply set for LAST with the internal "mode" selection. The internal "storeKey" formula is referencing TradeCounter block output. The "storeVal" is referencing TradePrc block output.
The Min and Max for the TradePrc block output will give you the HIGH and LOW values.
Volume is from the Value Accumulator block to give you the VWAP value for each designated Time Bar created.

Time Bars

This example leverages the Generator Block set to a User Defined Variable setting for time frame. We have it set for 60 seconds or 1 minute Time Bar creations. You also see below that there is 2 sets of OHLC and VWAP value outputs. This is to show you the current Time Bar and the previous one. This again is strictly for showing an example of one way to build this kind of logic.

Creating OHLC and VWAP Time Bars

How to create Open, High, Low, Close, VWAP logic

Time Bars

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Time Series Bars for OHLC and VWAP Values

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Stacked Q Holder Example