The TT Splicer Premium Order Type allows a user to define a synthetic spread and execute according to a selected Sub-strategy (TT Brisk, TT Close, TT TWAP+, TT VWAP+). The Brisk, Close, and VWAP+ sub-strategies utilize a weighted volume forecast based on the leg composition to form the baseline of the coordinated execution schedule.
For more information, refer to the TT Splicer section of the Trade help.
| Number | NameFIX Tag | Type | Required | Updatable | FieldLocation | Description |
| (constructor variable) | Instrument | TRUE | FALSE | OrderProfile | Instrument for synthetic partent order | |
| 1 | OrderQtyTag 38 | Quantity | TRUE | FALSE | OrderProfile | Order quantity for synthetic parent order |
| 2 | LimitPriceTag 44 | Price | TRUE | FALSE | 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 “SPLICER” |
| 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 | FALSE | OrderProfile | Order Type for synthetic parent order. |
| 8 | StopPxTag 99 | Price | FALSE | FALSE | OrderProfile | Synthetic parent order stop price |
| 9 | Aggression Tag9111 | Enum | FALSE | FALSE | UserParameters | Influences how strongly to tilt order trajectory (TT Close, TT Brisk), how tightly to track max participation (TT POV, TT Scale POV), or how tightly to follow an order schedule (TT TWAP+, TT VWAP+). For TT POV orders, this means: Setting to 0 provides the maximum fluctuation from the order’s setting. Setting to 10 equals following the Maximum Participation setting as closely as possible. Valid enums 0-10 |
| 10 | I Would Price Tag9106 | Price_t | FALSE | FALSE | UserParameters | Price at which you would like to aggressively attempt to fill your order, regardless of the algorithm logic. Order aggressively tries to fill if the instrument reaches this price, irrespective of volume based tracking objectives. Should be lower than limit and arrival time ask prices for BUY orders, higher than limit and arrival time bid prices for SELL orders. |
| 11 | SubStrategy Tag9200 | String_t | TRUE | FALSE | UserParameters | Sets the underlying Premium Order Type behavior managing execution of the TT Splicer instrument. |
| 12 | LegRiskAversion Tag9991 | Enum | FALSE | FALSE | UserParameters | Influences how long the algorithm will leave the parent order partially hedged after a new fill on one of the legs. Valid enums 0-10 |
| 13 | HedgeDiscretionTicks Tag9992 | Int_t | FALSE | FALSE | UserParameters | Non-negative integer to give hedge orders allowance beyond inferred limit price in order to complete a hedge leg order. |
| 14 | Start TimeTag 168 | UTCTimstamp_t | FALSE | FALSE | UserParameters | If not set, defaults to Now |
| 15 | End TimeTag 126 | UTCTimstamp_t | FALSE | FALSE | 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 | FALSE | UserParameters | ||
| 16 | IfTouchedPrice Tag9190 | Price_t | FALSE | FALSE | UserParameters | Price at which parent order is triggered If Touched |
| 17 | PostTriggerDuration Tag9191 | Int_t | FALSE | FALSE | 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. |