Branch block The Branch block routes messages to different parts of an algorithm based on the Boolean formula in the Branch block when triggered by an incoming discrete event message. If the formula evaluates to TRUE, the block routes the discrete event message to its yes output port; otherwise, it sends the message through its […]
Demultiplexer block The Demultiplexer block takes in a discrete event message from the Single Order Container and evaluates whether the message is a fill, change or a delete confirmation. After the evaluation, the block directs the message, unchanged, through the appropriate output (e.g., for fill confirmations, the original message is output as the message through […]
ADL provides a series of discrete blocks that allow you to perform actions when discrete events occur. Each block can access information contained in the discrete message input. Discrete blocks include: MsgInfoExtractor Value Accumulator Value Injector Value Extractor Value bucket Generator State Branch Funnel Discrete Min/Max Sequence Demultiplexer Moving Average
Discrete Min/Max block The Discrete Min and Discrete Max blocks output the minimum and maximum values, respectively, of their internal numeric collections. Each time one of the blocks receives a discrete event message, it adds a user-specified numeric value to its internal collection of values and then outputs either the minimum or maximum values in […]
Funnel block The Funnel block accepts multiple discrete event message input ports (in1, in2, in3) and simply passes them through, one-at-a-time, through the output port. The Funnel block allows you to connect outputs from multiple blocks into blocks that normally can connect to only one input discrete event message. Example: The Funnel block lets the […]
Generator block The Generator block produces an empty discrete event message at the launch of the algorithm. As the message is empty, it contains no market information; however, an empty discrete message can be used to trigger other blocks that use discrete messages as inputs, such as a Pause block. The Generator block can be […]
Moving Average block The Moving Average block maintains an internal collection of numeric values (such as LTP), as defined by its internal formula, and outputs the average of the most recent user-specified number of values (#bars). Every time the block receives a message on its Intervals port, it performs the following actions: Updates its internal […]
MsgInfoExtractor block The MsgInfoExtractor block extracts user-specified fields contained within a received discrete message. It is commonly used to access details about the event that generated the message. When a new discrete event message triggers the MsgInfoExtractor block, the block will use the subsequent message to update the values of the specified fields. The MsgInfoExtractor […]
Sequence block The Sequence block allows you to determine the precise order of propagation of the discrete event message, as follows: A discrete event message enters the Sequence block. The Sequence block channels the original message , unchanged, through the #1 port. It waits until the message is processed completely downstream. Afterwards, it generates and […]
The State block receives an input discrete event message and routes the unchanged message to one of its output ports based on its internal formulas. For each output, you define a formula that evaluates to a Boolean result. When triggered by an incoming discrete event message, the State block begins evaluating its formulas until one […]
Value Accumulator block The Value Accumulator block accumulates a user-specified numeric value when it is triggered by a discrete event message. After calculating the accumulated value, the block outputs both the accumulated value and the original input discrete event message. You can also attach another discrete event message to the reset input port to reset […]
The Value Bucket Block can be used to store multiple pairs of numeric values which can be retrieved as needed. Each pair consists of a KEY which the user can use to locate a specific pair, and a VALUE which is the actual numeric value of interest to the user. When triggered by an input […]
Value Extractor block The Value Extractor block receives a discrete message, extracts specified fields, and can access data from elsewhere in your algo to perform logic and calculations. The Value Extractor block can then output fields extracted from the discrete message, data from elsewhere in your algo, or specified numeric or Boolean values. The Value […]
The Value Injector block receives a discrete event message and either adds new message fields or overwrites one or more of the existing message fields and sends the modified discrete message through its output port. The Value Injector block operates in the following manner: A discrete event message enters the Value Injector block. The Value […]