Algo Server

Before you can launch a TT Order Type or ADL algo, you must first fetch its full definition. Once you have its full definition, you can create an OrderProfile instance, set values for each of its parameters, and then call the AlgoTradeSubscription.SendOrder() method to begin its execution.

Launching an algo requires that you first fetch its full definition. You can fetch a partial definition of all of your algos as well as any that have been shared with you using the AlgoCatalog class. You can then fetch an individual algo’s full definition using the AlgoLookup class.

Steps for fetching a list of algo definitions

To fetch a partial definition of all of your algos as well as any that have been shared with you, you:

Instantiating the AlgoCatalog class

The AlgoCatalog class provides the following constructor.

The following code snippet illustrates how to instantiate this class.

Synchronous fetch

Once an AlgoCatalog object has been created, you can simply call the Get() method to perform a synchronous lookup of the algos as shown below. Note that although this is normally fairly quick, your execution thread will be blocked until this action is complete.

Asynchronous fetch

If you prefer not to be blocked, you can register a callback function to be called once the fetching has been completed as shown below.

After the GetAsync() method of the ProductCatalog instance is called, TT .NET SDK performs the lookup. Whether any algos were found or not, the specified event handler method is called. The following code snippet illustrates the structure of this event handler.

Cleaning up

When you shut down your application, you should detach all event handlers and call the Dispose() method for each instance of the AlgoCatalog class as follows:

About the AlgoInfo struct

The AlgoInfo struct provides the basic data as it relates to a given algo. Its members include:

Steps for fetching a full algo definition

To fetch the full definition of a single algo, you:

Instantiating the AlgoLookup class

The AlgoLookup class provides the following constructor.

When instantiating the AlgoLookup class, you must pass the name of the algo. For ADL, it is the name that you gave the algo. For TT Order Types, the names are as follows (including capitalization and spaces).

So, for example:

Synchronous fetch

Once an AlgoLookup object has been created, you can simply call the Get() method to perform a synchronous lookup of the algo definition as shown below. Note that although this is normally fairly quick, your execution thread will be blocked until this action is complete.

Asynchronous fetch

If you prefer not to be blocked, you can register a callback function to be called once the fetching has been completed as shown below.

After the GetAsync() method of the InstrumentLookup instance is called, TT .NET SDK performs a lookup for the algo definition based on the inputs that it was given. Whether the algo is found or not, the specified event handler method is called. The following code snippet illustrates the structure of this event handler.

Cleaning up

When you shut down your application, you should detach all event handlers and call the Dispose() method for each instance of the AlgoLookup class as follows:

About the Algo class

The Algo class provides the full definition of a given algo. Its members include:

The AlgoParameters class provides all of the details about a parameter. Its members include:

If the FieldLocation is equal to “OrderProfile”, then the parameter is set on the OrderProfile instance directly via the property indicated by its Name. If the FieldLocation is equal to “UserParameters”, then the parameter is set as part of the UserParameters property of the OrderProfile instance.

Before you can launch an algo, you must first create an instance of the AlgoTradeSubscription class. Like the [instrtradesub class, the AlgoTradeSubscription class is derived from the TradeSubscription class. The InstrumentTradeSubscription class filters on a given exchange native instrument whereas the AlgoTradeSubscription class filters on a specific algo. The AlgoTradeSubscription class is created as follows.

After the OrderBookDownload event has fired, you can create an OrderProfile instance by calling the GetOrderProfile() method of the Algo instance, fill in the algo’s parameters and launch an instance of an algo.

Note the new event named ExportValuesUpdated. This optional event is specifically used to receive updates for ADL algos that have exported values.

The following code snippet shows the structure for this event handler.

Note: Exported variable updates are coalesced at 250ms.

Construct an OrderProfile

Algos are treated in the same way as exchange native orders in TT. As such, to launch an algo, you need to create an OrderProfile instance. An algo’s OrderProfile instance must be created from the AlgoLookup instance by calling the Algo.GetOrderProfile() method. This method has two overloads.

Set the algo parameters

If your algo has a parameter with “Name” = “Instrument” and “FieldLocation” = “OrderProfile”, then you must use the second of these. All TT Algos have such a parameter as do ADL algos that have declared one of its required instrument inputs as an Order Instrument. Otherwise, you use the first of these.

You then set the rest of the parameters in the OrderProfile. Some of the parameters are set using specific OrderProfile properties and some are set in the UserParameters collection as shown below. Specifically, if the “FieldLocation” of a parameter is equal to “OrderProfile”, then the parameter is set on the OrderProfile instance directly via the property indicated by its “Name”. If the “FieldLocation” is equal to “UserParameters”, then the parameter is set as part of the UserParameters property of the OrderProfile instance.

For example, the following are the parameters of the TT Stop algo.

Set the User Disconnect Action

When your application launches an ADL algo, TT monitors the connection from your application to the TT ecosystem. If TT detects that your application has disconnected, you can specify the action to be taken on your algo. This can be done by specifying a single action for all algos when you initialize the API as follows.

You can also specify this behavior on a per algo basis by setting the UserDisconnectAction property of the OrderProfile instance.

Set the co-location facility

TT has a pool of Algo Servers in each major data center. You must specify in which data center that you want your algo to execute as follows.

Launch the algo

Once your OrderProfile is ready, you can launch an algo by calling the SendOrder() method of the AlgoTradeSubscription instance. The following code snippet demonstrates the launching of the TT Stop algo.

Pause and resume ADL algos

ADL algos can be paused and then resumed. To accomplish this through the API, you simply set the OrderAction to the appropriate value as follows.