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 Uptick and Downtick Counters

This is a possible way to use ADL to take a specific Instrument and pull out the Bid Price for that instrument.... and then create a counter that uses a User Defined Uptick/Downtick variable and monitors the market data. Then when the User Defined number of Uptick or Downticks in the market is reached.... this then outputs a TRUE boolean value which can then be used as a trigger condition within an algos logic.

Note: The 2 different State Blocks #1 and #2 both use the same internal formulas as shown in the screen shots. But make sure to change the reference VE (Value Extractor block) to either VE block Bid Price 1 or VE block Bid Price 2 in order to make sure you are referencing the correct values. State Blocks #2 should reference VE block Bid Price 2 , and State Block #1 should reference VE block Bid Price 1.

Below you will see 2 screen shots of logic. They are very similar in construction, but they differ with the internal State Block conditional logic in order to perform UPTICK logic or DOWNTICK Logic Internal conditional logic for State Blocks #1 and #2:

Uptick Counter

State Block 1.......Condition 1: Bid Price > VE Bid Prc 1 Condition 2: Bid Price < VE Bid Prc 1

State Block 2.......Condition 1: Bid Price > VE Bid Prc 2 Condition 2: Bid Price < VE Bid Prc 2

Downtick Counter

State Block 1.......Condition 1: Bid Price < VE Bid Prc 1 Condition 2: Bid Price > VE Bid Prc 1

State Block 2.......Condition 1: Bid Price < VE Bid Prc 2 Condition 2: Bid Price > VE Bid Prc 2

Creating Uptick and Downtick Counters

Uptick Counter

Downtick Counter

Previous:

Submit Iceberg with Random Quantity and Delay

Next:

Time Series Bars for OHLC and VWAP Values