TT Premium Order Types

TT Premium Order Types

TT Brisk order

Overview

The TT Brisk Premium Order Type attempts to fill the order closer to when the order enters the market based on the order's Start Time. TT Brisk orders use the current day's trades and market data to minimize risk-adjusted slippage relative to the order's arrival price by creating a front-weighted trajectory vs forecast volume profile.

Note At this time, TT Premium Order Types are not available in the Prod-SIM environment.

Prerequisites

Enabling User's Access

Prior to using any TT Premium Order Type, your administrator must enable access by updating the settings at the user level in the User Account Permissions settings or at the account level using the Account Restrictions settings in Setup.

Setting the Order Cross Prevention Rules

TT strongly recommends that accounts both enabled for the TT Premium Order Types and using account-level Order Cross Prevention, should utilize the Cancel Resting (wait for ACK) option to avoid parent orders from being cancelled.

Using the Reject New option may cause parent orders to be cancelled due to excessive rejects preventing the order from progressing.

The Cancel Resting (wait for ACK) option may have child orders receive unsolicited cancels if interacting with Order Cross Prevention, and this will result in new orders being issued in place of those which were cancelled. The unsolicited cancellations will not result in a cancellation of the parent order.

For more information on Order Cross Prevention Rules, refer to the Order Cross Prevention section of the Setup help.

Note Firms may consult with their TT Onboarding representative with any questions regarding how these settings may impact their overall account structure.

TT Brisk order parameters

Order Details parameters

Note Some of the parameters listed below are optional and provided so you can enhance and customize the execution of your orders in the market.

Parameter Name Required/Optional Description Default Value
Order Type Required Sets the order type for the parent order. Possible values include: Market
Stop Price Conditional

The desired stop order's price level.

Note: Required when Order Type is set to either Stop Market or Stop Limit.

0
Participation Rate Optional

Gives the trader the option to set the maximum participation rate with respect to total eligible market activity.

Null
Aggression Optional

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 Brisk orders, this means:

  • Lower aggression (e.g. 0) trades close to a normal VWAP curve.
  • Mid/Default aggression (e.g. 5) trades faster upfront than VWAP based upon product-specific optimizations to balance the risk of market impact vs price drift.
  • High aggression (e.g. 10) trades most quickly with respect to a standard VWAP, expressing greater preference for minimizing price drift.
5
Tilt Mode Optional

Determines the methodology used to tilt away from the a normal Volume-Weighted Average Price (VWAP)-based schedule for TT Brisk and TT Close algos.

  • Model Driven: Uses the instrument's liquidity and volatility profile to determine the strength of the tilt.

    This setting results in the tilt, compared to a normal VWAP schedule, being more pronounced with higher Aggression setting, higher instrument liquidity, higher instrument volatility, and longer order duration.

  • Simple: The strength of the tilt is determined by the Aggression level and applied as a simple, linear shift vs a VWAP+ order trajectory. Higher Aggression levels will result in the order being shifted further away from VWAP+.
Model Driven
Tracking Optional

Allows trader to select between trend following and reversionary behavior.

Supported values include:

  • AP-Revert-Low
  • AP-Revert-Med
  • AP-Revert-High
  • AP-Trend-Low
  • AP-Trend-Med
  • AP-Trend-High
Null
Brisk Limit Mode Optional

Specifies whether the order should get more aggressive when opposite side quote price is at the limit price.

This setting can be used to manage fill rate risk, increasing the expected fill rate if the market is nearing the limit price, at the cost of higher expected slippage on executed quantity.

Possible values include:

  • Default (Off)
  • Aggressive More At Limit: When the opposite side quote price is equal to the limit price, the order will monitor liquidity conditions tick by tick and send extra IOC (Immediate or Cancel) orders to opportunistically take additional liquidity before the market runs away.
  • Faster Near Limit (Mild, Medium, Strong): In addition to the above behavior, the order will dynamically strengthen the tilt and trade faster as the market price approaches the limit price.
Null
I Would Price Optional

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.

Null
I Would Qty Optional

When set to any value greater than 0, I Would Qty setting equals the minimum top of book quantity required before the order will cross the spread.

When used, the I Would Qty parameter behaviors may cause an order to finish materially sooner than base TT Premium Order Type logic would normally determine.

Null
I Would Qty % Optional

Similar to I Would Qty, but set as a percent of the order quantity.

Note The field represents the number as a percent and should not be submitted as a decimal: a value of 70 equals 70%.

Null
I Would Qty Var Pct Optional

Randomizes the I Would Qty and I Would Qty % thresholds by a specified percent in each direction.

Note This field represents the number as a percent and should not be submitted as a decimal. For example, a value of 10 equals 10%.

For example, if I Would Qty equals 100 and I Would Qty Variance % equals 20, the I Would Qty behavior will be triggered based on available size being between 80-120, depending on randomized value selected within the variance range.

Max Spread Cross Ticks Optional

If greater than 0, an order will not cut or cross a bid-ask spread that is more than the specified amount wide.

Note This constraint takes precedence over I Would, With A Tick, Brisk Limit, and Cleanup % behaviors.

Precondition Details parameters

Parameter Name Required/Optional Description Default Value
Start Time Required

Sets the date and time to start executing the synthetic order. Available settings include:

  • Now to start the synthetic order immediately
  • Time to display a date/time picker so you can indicate when to start the synthetic order.
Now
End Time Required

Sets the date and time to stop executing the logic of the synthetic order. Used as an alternative to setting Duration

If Touched Price Optional

Enables the inverse of Stop Price functionality: if present, a Buy/Sell order activates once the contra price is less/greater than or equal to If Touched Price. Can be used in combination with Stop and Stop Limit orders for One-Cancels-Other (OCO) type behavior, where an order activates when the market reaches either a profit taking or stop loss price.

Post Trigger Dur Optional

The Post Trigger Duration in minutes. If set greater than 0, will adjust EndTime once market reaches Stop Price or Trigger Price to earlier of EndTime or current time plus PostTrigger Duration minutes.