Building your first algo
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:
- Submit an order to enter into a position.
- Capture the fill price and fill quantity of your entry orders to calculate your average open price.
- 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.