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 a TT Time Sliced Order

Creating a Basic TT Time Sliced Order

The basis of this algo is to submit a BUY Order from the Discrete Order Block at the Bid Price for an order qty of 10 ( Time Sliced Qty) up to a TOTAL of 100 (TOTAL QTY). These orders are to be placed every 5 seconds (Time Sliced Period).

This example leverages several user-defined variable to set the Instrument, Time Sliced Qty, Total Qty, and Time Sliced Period.

In addition, the Time Sliced Generator Block uses the Conditional output from comparing the “working Order Qty” to the Total Order QTY. This comparison gives us the “Total QTY Condition” input for the Enable / Disable condition (i.e., TRUE or FALSE). In this Time Sliced Generator Block, you also have the User Defined Variable for your Time Sliced period.

This includes a few EXPORT Value places for users to monitor internal algo values while the algo is running.

The individual child orders are virtualized since they could possibly have all different BID Prices if the market is moving quickly. Plus, inside that Virtualized Group Block (Order ADDS) is where you could put custom Child Order Management logic for the price, qty, or delete conditions.

From the FILLS or even the Working Order QTY accumulator blocks, you can carry on the downstream Hedge Logic part of your algo.

Creating a TT Time Sliced Order

Creating a Basic TT Time Sliced Order

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Creating a UTC Time Trigger and Time Counter

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Creating a With A Tick Algo