ADL

Implemented a P&L block to allow ADL designers to set P&L limits on a per algo instance basis.

Charts

TT has added Price Distribution Charts. These popular charts display the distribution of prices over time as a bell curve. Information such as Initial Balance Range, opening price, current price marker, Time Price Area (TPA letters), value area, and the Tick Volume Distribution are displayed for additional analysis.

FIX Services

Added a TTUS configuration to the FIX Order Routing session type to control whether unsolicited order / fill messages will be forwarded to the FIX client. By default, unsolicited messages are disabled (no change to current FIX behavior).

FIX Services

The FIX Order Routing service now supports an option for 'Cancel on Disconnect' on New Order Single (35=D) messages. FIX tag 18 now allows the enum: 'o' = "Cancel on connection loss".

This is an opt-in feature and must be set per order. The feature is enabled by setting "18=2 o" on each new order where cancel on disconnect is desired. When a FIX client logs out or otherwise drops the TCP connection then the TT FIX server will make a one-time attempt to cancel the orders originated over that connection with 18='o' that are still alive, leaving other orders still working.

TT will reject orders with 18=o when TIF is set to GTC or GTDate.

NOTE: TT is *not* able to cancel orders when the disconnect is the result of a TT FIX server crash. In that case, FIX users *must* cancel orders manually using the TT trading GUI or at the exchange.

FIX Services

CME, Eurex and ICE markets support RIC Codes for Futures, Spreads and Options when FIX tag < 22 >, IDSource, is set to '5'. RIC codes are supported on order (35=D, F or G), execution report (35=8) and security definition (35=d) messages.

ADL

Redesigned the architecture of the Algo Server to provide substantial performance improvements.

FIX Services

Allow daily FIX session resets for FIX Order Routing and Drop Copy (OUT) session types. If no reset time is entered, the FIX Session resets at 22:00 UTC Saturday by default.

Fills

The Fills widget can now be configured to roll up individual fill records by order ID. In the drop-down menu, select “By Order” to view a summary of fills for each order. Each summary row can be expanded to see all of the partial fills for each order. Note that synthetic parent orders, such as TT Iceberg orders, Autospreader orders, and TT Time Sliced orders, may consist of multiple child orders, each of which have different order IDs. The Fills widget will only summarize fills at the child order level in this case.

MD Trader

MD Trader now has scroll arrows to quickly adjust the price ladder up or down with the mouse. On mouse hover over the top (or bottom) price cell, an arrow button displays that when clicked moves the price ladder one price level. Holding down the left mouse button scrolls the ladder continuously.

Market Data

TT can now be configured to filter out implied prices and display only direct prices in Market Grid, MD Trader and Spread Matrix.

Market Data

Fixed an issue where RTD formulas sometimes did not all refresh upon initially opening the Excel spreadsheet.