Market-making algos

TT offers a suite of algos that provide automated order entry strategies to quote a market based on a set of input parameters. Users are able to customize the quoting behavior, specify an action taken after a fill occurs, and control the risk parameters per instance. The strategies can be run from either Autotrader or Algo Dashboard. The values can be supplied manually by the user, linked from Excel, or loaded using order templates.

TT provides the following market-making algos:

• Direct Entry: Submits the quoting orders based on the direct price supplied in the Bid Prc and Ask Prc inputs. The working orders will automatically reprice based on any changes to the supplied bid/ask price values.
• Single Theo: Submits the quoting orders a user-defined number of ticks (Bid Offset and Ask Offset) from a single theoretical price (Theo Price). The working orders will automatically reprice based on any changes to the supplied theoretical value or offsets.
• Bid/Ask Theo: Submits the quoting orders a user-defined number of ticks (Bid Offset and Ask Offset) from theoretical bid/ask price (Theo Bid and Theo Ask). The working orders will automatically reprice based on any changes to the supplied theoretical values or offsets.
• Market Base: Submits the quoting orders a user-defined number of ticks (Bid Offset and Ask Offset) from the current inside market of the quoted instrument. The working orders will automatically reprice based on the movement of the market or changes to the offsets.
• Reference Market: Submits the quoting orders a user-defined number of ticks (Bid Offset and Ask Offset) from the current inside market of the reference instrument (Ref Instrument). The working orders will automatically reprice based on the movement of the reference market or changes to the offsets.

How the algos work

The algo parameters allow you to customize the quoting behavior, specify an action taken after a fill occurs, and control the risk parameters per instance.

The quoting orders are submitted based on the base price and quantity inputs and may be adjusted depending on the If Quote Outside Join Mkt, If Quote Inside Join Mkt, and Don’t Cross Market settings. The strategy will automatically reprice quoting orders upon updates to the base price inputs. You can control the frequency of order updates with the Quote Throttle parameter. When a fill is received, the algo can automatically submit cover orders a specified number of ticks (Cover Offset) away from the fill price.

Based on the Manual Requote setting, the algo will automatically requote after the Fill Throttle has passed or suspend quoting on the side of the market that received the fill until the Requote button is clicked. The quote order will either be reduced or canceled based on the open position per instance versus the Max Pos allowed. The algo also gives you the option to reset the open position, if needed.

Notes:

• The user must enter a max position value for the algo to run; otherwise the strategy will pause.
• If the Enable Cover Orders parameter is enabled after starting the strategy, it will only consider fills achieved after that point.
• If no fill throttle is entered, the algo will consider the quote throttle prior to requoting.

Warnings:

• At this time TT recommends that you do not attempt to resume the algo from a paused state. Doing so will result in the momentary use of stale prices which can result in an unintentional fill.
• Any manual intervention with the orders managed by the algo will cause the strategy to stop managing those orders. The algo will no longer work an order on that side of the market.

Viewing and Editing an Algo

TT's Market Making Algos are shared globally by TT. This allows you to use TT's Algo Design Lab (ADL) to view and edit any Market Making Algo's logic.

To view and edit an algo, open the ADL Canvas and select File, then Open from the toolbar at the top of the canvas. ADL displays a list of all available Shared Algos.

Once opened, you can save a copy and update this version of the algo with your own logic. Viewing the Market Making Algos can serve as a starting point for understanding the logic's intentions and a great way to learn how to build algos in ADL.

Algo parameters