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

Correctly Sequencing Discrete Events

Although it is possible to connect more than one edge to the discrete output port of a given block, it is not advisable. For example, consider the following ADL algo.

Upon the first fill, if the path to the MsgInfoExtractor0 block is executed first followed by the path to the MsgInfoExtractor1 block, the output of the ValueExtractor0 block will equal the value of the output of the MsgInfoExtractor0 block since the value of the MsgInfoExtractor1 block will be zero.

However, upon the first fill, if the path to the MsgInfoExtractor1 block is executed first followed by the path to the MsgInfoExtractor0 block, the output of the ValueExtractor0 block will equal the value of the output of the MsgInfoExtractor0 block plus the value of the output of the MsgInfoExtractor1 block. The actual path that is chosen first by the Algo Server execution logic is not always deterministic.

To force a deterministic path of execution, simply insert a Sequence block immediately downstream of the discrete output port and choose the sequence that makes sense for your algo. For example, consider this modified algo:

Notice now that the path to the MsgInfoExtractor1 block will always be executed first followed by the path to the MsgInfoExtractor0 block. As such, upon the first fill, the output of the ValueExtractor0 block will equal the value of the output of the MsgInfoExtractor0 block plus the value of the output of the MsgInfoExtractor1 block, which is what was intended.

Correctly Sequencing Discrete Events

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Linking Excel Data to the Algo Dashboard

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Submit Orders Between Specific Start/Stop Times