Working with Algos

Aggregator strategy definitions are treated as instruments. Before you can launch your Aggregator strategy, you first need to fetch its definition as detailed in Working with Instruments. Specifically, you follow the same steps as you would to fetch an exchange native instrument, except you:

Once you have the instrument corresponding to your Aggregator strategy definition, you can subscribe for market data and route orders for these instruments by following the same steps as you would for an exchange native instrument.

Synthetic spread definitions are treated as instruments. Before you can launch your synthetic spread, you first need to fetch its definition as detailed in Working with Instruments. Specifically, you follow the same steps as you would to fetch an exchange native instrument, except you:

Fetching Autospreader Spread Definitions

The following code snippet demonstrates how to fetch the list of all Autospreader spread definitions.

Once you have the instrument corresponding to your spread definition, you can subscribe for market data and route orders for these instruments by following the same steps as you would for an exchange native instrument.

Note: As Autospreader orders are filled, you will receive fill messages for each leg order as well as fill messages for the parent order. These parent fill messages will have an ExecType of ‘Trade’ and an OrdStatus of ‘PartiallyFilled’. When the Autospreader order is fully filled, you will receive a deletion event with an ExecType of ‘Canceled’ and an OrdStatus of ‘Filled’. It is done in this manner to account for possible overfill scenarios when quoting more than one leg.

Creating Autospreader Spread Definitions

You can also create new Autospreader spread definitions from scratch as follows.

Once you have created the Autospreader spread definition, you can manipulate it as demonstrated in the code snippets below.

There are methods to get/set the leg accounts. # To set the leg account by using the Account Object, use SetLegAccount(index, Account object)

Assigning Rules to a Spread

Retrieve a list of available spread rules using AutospreaderManager.GetSpreadRules(). A rule can be located in this global collection of available rules and assigned to a spread. Then the rule can be configured on a leg by leg basis.

Use the following sample code as a guide.

Setting the Account on Different Legs of the Spread

There are three (3) methods to get/set the account on the different legs of the spread:

Note: When setting the value for index, remember that the value begins with 0. So to set the account on the first leg, set index equal to 0, the second leg, index equals 1 and so on.

TT provides the following strategy engines:

Autospreader

Autospreader^® is a server-class product that executes user-defined synthetic spreads. Each co-location facility contains a pool of common (“gen-pop”) Autospreader servers. The instrument that you specify in the first leg of your spread definition will determine the co-location facility in which it will be executed. For example, if you specify a CME instrument in the first leg, your spread will be executed on an Autospreader server in the Aurora co-location facility. You can also purchase one or more dedicated Autospreader servers in the co-location facilities of your choice.

Aggregator

Aggregator is a server-class product that executes Aggregator strategies. There are a pool of common (“gen-pop”) Aggregator servers in each co-location facility. The instrument that you specify in the first leg of your Aggregator strategy definition will determine the co-location facility in which it will be executed. For example, if you specify a CME instrument in the first leg, your strategy will be executed on an Aggregator server in the Aurora co-location facility. You can also purchase one or more dedicated Aggregator servers in the co-location facilities of your choice.

Algo Server

Algo Server is a server-class product that executes TT Order Types and ADL algos. There are a pool of common (“gen-pop”) Algo Servers in each co-location facility. A given TT Order Type will be executed in the co-location facility closest to the exchange corresponding to the user-specified instrument. When launching an ADL algo, you choose the co-location facility in which it will be executed. You can also purchase one or more dedicated Algo Servers in the co-location facilities of your choice.TT also provides support for routing algos associated with third-party algo providers as detailed here. Support for this functionality is also supported via TT .NET SDK.