TT Prowler Premium Order Type behaves as an enhanced Iceberg order type that allows the user to customize values such as the minimum and maximum amounts to show in the market.
The TT Prowler order type is a liquidity seeking strategy that aims to reduce market impact by avoiding displaying the full order size or by selectively crossing the spread. Combines features of Random Iceberg, PEG, and Sniper type algorithms.
For more information, refer to the TT Prowler Order section of the Trade help.
| Number | NameFIX Tag | Type | Required | Updatable | FieldLocation | Description |
| (constructor variable) | Instrument | TRUE | FALSE | OrderProfile | Instrument for synthetic parent order | |
| 1 | OrderQtyTag 38 | Quantity | TRUE | TRUE | OrderProfile | Order quantity for synthetic parent order |
| 2 | LimitPriceTag 44 | Price | TRUE | TRUE | OrderProfile | Limit price to be used for synthetic parent order |
| 3 | OrderSideTag 54 | tt_net_sdk.OrderSide | TRUE | FALSE | OrderProfile | Side for synthetic parent order |
| 4 | AccountTag 1 | Account | TRUE | FALSE | OrderProfile | Account for synthetic parent order |
| 5 | strategyIdentifierTag Tag9100 | String_t | TRUE | FALSE | UserParameters | Set to “PROWLER” |
| ParentVendorAlgoType | String_t | FALSE | FALSE | UserParameters | ||
| ParentVendorAlgoID | String_t | FALSE | FALSE | UserParameters | ||
| 6 | TIFTag 59 | tt_net_sdk.TimeInForce | TRUE | FALSE | UserParameters | Only supports Day orders |
| 7 | OrderTypeTag 40 | tt_net_sdk.OrderType | TRUE | TRUE | OrderProfile | Order Type for synthetic parent order. |
| 8 | StopPxTag 99 | Price | FALSE | TRUE | OrderProfile | Synthetic parent order stop price |
| 9 | Max Show Tag9210 | Qty_t | TRUE | TRUE | UserParameters | Maximum open display size per price level for TT Prowler orders. |
| 10 | Min Show Tag9211 | Qty_t | FALSE | TRUE | UserParameters | Minimum open display size per price level for TT Prowler orders. If Min Show remains blank or set equal to 0, the order always displays the amount of order quantity set by Max Show |
| 11 | PassivePriceLevel Tag9212 | Int_t | FALSE | TRUE | UserParameters | Allows optimal behavior to peg orders to passive price levels in the order book. If set to No Pegging, child orders are sent at the full limit price. For other settings, the order will rest passively priced child orders even if the limit price is marketable.0: No Pegging – Send at full limit price 1: Primary Peg – Peg to the top quote. 2: Second Level Peg – Peg to second book level. 3: Third Level Peg – Peg to third book level. 4: Primary Plus 1 – Primary (passive) quote price, but improve the quote at 1 tick increments on the first posted order. 5: Primary Plus 2 – Primary (passive) quote price, but improve the quote at 2 tick increments on the first posted order. 6: Primary Plus 3 – Primary (passive) quote price, but improve the quote at 3 tick increments on the first posted order.Note: Required when Num Post Levels is changed from the default value. |
| 12 | Num Post Levels Tag9213 | Int_t | FALSE | TRUE | UserParameters | Specifies the number of price levels at which to post child orders when pegging. When Passive Price Levels is set, additional resting orders may be set at subsequent price levels in order to hold queue priority. |
| 13 | Average Delay Tag9214 | Float_t | FALSE | TRUE | UserParameters | Sets a random delay, in seconds, between sending new orders or replacing existing child orders. |
| 14 | I Would Qty Tag9215 | Qty_t | FALSE | TRUE | UserParameters | When set to any value greater than 0, I Would Qty setting equals the minimum top of book quantity required before the order will cross the spread. |
| 15 | I Would Qty Pct Tag9216 | Float_t | FALSE | TRUE | UserParameters | Similar to I Would Qty, but set as a percent of the order quantity. Note : The field represents the number as a percent and should not be submitted as a decimal: a value of 70 equals 70%. |
| 16 | Brisk Limit Mode Tag9115 | Int_t | FALSE | TRUE | UserParameters | Specifies whether the order should get more aggressive when opposite side quote price is at the limit price.This setting can be used to manage fill rate risk, increasing the expected fill rate if the market is nearing the limit price, at the cost of higher expected slippage on executed quantity.Possible values include:0: Default (Off) 1: Aggressive More At Limit – When the opposite side quote price is equal to the limit price, the order will monitor liquidity conditions tick by tick and send extra IOC (Immediate or Cancel) orders to opportunistically take additional liquidity before the market runs away. |
| 17 | WithATickQty Tag9217 | Qty_t | FALSE | TRUE | UserParameters | Sets the size threshold to initiate aggressing orders to cross the spread and take liquidity when the opposing quote size falls to or below the set value. The order will cross the spread when aggressive quote size falls to or below the value set by With A Tick Qty. |
| 18 | WithATickQtyPct Tag9218 | Int_t | FALSE | TRUE | UserParameters | Similar to With A Tick Qty, but expressed as a percent of the order quantity. Note : The field represents the number as a percent and should not be submitted as a decimal: a value of 70 equals 70%. |
| 19 | IWouldQtyVariancePct Tag9225 | Float_t | FALSE | TRUE | UserParameters | Randomizes the I Would Qty and I Would Qty % thresholds by a specified percent in each direction. Note This field represents the number as a percent and should not be submitted as a decimal. For example, a value of 10 equals 10%. For example, if I Would Qty equals 100 and I Would Qty Variance % equals 20, the I Would Qty behavior will be triggered based on available size being between 80-120, depending on randomized value selected within the variance range. |
| 20 | CleanupPct Tag9219 | Float_t | FALSE | TRUE | UserParameters | Specifies maximum percent of parent order quantity to cross the market with if a parent order is not yet complete near the end time. |
| 21 | PostTicksApart Tag9220 | Int_t | FALSE | TRUE | UserParameters | Specifies how many minimum price increments apart to space passive orders resting across Num Post Levels. |
| 22 | MaxSpreadCrossTicks Tag9221 | Int_t | FALSE | TRUE | UserParameters | If greater than 0, an order will not cut or cross a bid-ask spread that is more than the specified amount wide. |
| 23 | TacticalPeg Tag9222 | Boolean_t | FALSE | TRUE | UserParameters | If enabled with Passive Price Level not set to No Pegging (0), avoids posting a passive order at the top of book price level if the order book dynamics are unfavorable. |
| 24 | Start TimeTag 168 | UTCTimstamp_t | FALSE | TRUE | UserParameters | If not set, defaults to Now |
| 25 | End TimeTag 126 | UTCTimstamp_t | FALSE | TRUE | UserParameters | End Time and Duration are mutually exclusive and only one should be set; if neither value is set the parent order will default to the market close time of the Instrument. The duration is interpreted as the number of minutes the parent order should be active from Start Time. |
| Duration Tag9202 | Int_t | FALSE | TRUE | UserParameters | ||
| 26 | EndTimeOverride Tag9203 | Int_t | FALSE | TRUE | UserParameters | Overrides End Time, Duration, or the default with one of several product hours related values. Available options are: 0: None (Default) 1: Last Session Close 2: Next Session Close 3: Settlement Note: If the current time is in the final continuous trading session of the day Next Session Close and Last Session Close reference the same time. |
| 27 | IfTouchedPrice Tag9190 | Price_t | FALSE | TRUE | UserParameters | Price at which parent order is triggered If Touched |
| 28 | PostTriggerDuration Tag9191 | Int_t | FALSE | TRUE | UserParameters | If utilizing OrderType Stop or Stop Limit, or if utilizing IfTouchedPrice, PostTriggerDuration should be utilized in lieu of End Time or Duration. Defines the number of minutes from the point a parent order is triggered to begin working the order should be active. |