Building your first algo

Building your first algo

Introduction

Welcome to the Building Your First Algo series. This series is designed to teach you the basics of ADL by demonstrating the construction of a basic Scalper algo.

Over the course of this series you will create a Scalper algo designed to:

  1. Submit an order to enter into a position.
  2. Capture the fill price and fill quantity of your entry orders to calculate your average open price.
  3. Submit an exit order a number of ticks above your average open price.

This series will also teach you how to use ADL and TT to test your algo logic in a simulated market.

The Building the entry logic section will demonstrate how to create the entry order and will cover:

  • The different areas of the ADL interface.
  • Adding blocks and setting their properties.
  • Connecting block ports using edges.

The Testing the entry logic section will cover testing the algo logic so far. You will:

  • Use the titlebar’s Algo Controls to test and reset the algo.
  • View the running algo simulation in both ADL and TT.
  • Test the algos with different user inputs.

The Capturing fills data section will show how to access information about your fills. This section will cover:

  • The difference between continuous and discrete messages.
  • ADL’s formula editor.
  • Using math blocks to perform calculations.

The Creating the exit logic section will define the exit order. You will:

  • Use Jump blocks to more clearly see the algo.
  • Test the completed algo in ADL and TT.