The <TargetStrategy> component block provides an alternative to using the StrategyParametersGrp repeating group to specify TT Premium Order types in the following messages:
Notes:
The following sections show the supported TT Premium Order types use the tags within the TargetStrategy component block. For each TT Premium Order type, the required and optional tags are listed. Other tags are unused by the selected TT Premium Order type and are ignored if provided.
TT Brisk orders support the following required and optional parameters; others are ignored.
Required | Optional |
16848 (TargetStrategyType)
Source of the algo Possible values include:
Currently, TT supports only 1 (TT Order type). 40 (OrdType)
Sets the order type for the parent order. Possible values for TT Premium Order /Types include:
99 (StopPx)
Trigger price for a stop order. Only required when Tag 40 (OrdType) is:
168 (EffectiveTime)
Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. 126 (ExpireTime)
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). |
9111 (Aggression)
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+). 9112 (TiltMode)
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. Possible values include:
9145 (Tracking)
Allows trader to select between trend following and reversionary behavior. Supported values include:
9115 (BriskLimitMode)
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:
9106 (IWouldPrice)
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. 9190 (TriggerPrice)
Enables the flip side of Stop Price functionality: if present, a Buy/Sell order activates once the Last Traded Price is less/greater than or equal to Trigger 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. 9191 (PostTriggerDuration)
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. |
TT Close orders support the following required and optional parameters; others are ignored.
Required | Optional |
16848 (TargetStrategyType)
Source of the algo Possible values include:
Currently, TT supports only 1 (TT Order type). 40 (OrdType)
Sets the order type for the parent order. Possible values for TT Premium Order /Types include:
99 (StopPx)
Trigger price for a stop order. Only required when Tag 40 (OrdType) is:
168 (EffectiveTime)
Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. 126 (ExpireTime)
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). |
9111 (Aggression)
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+). 9112 (TiltMode)
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. Possible values include:
9106 (IWouldPrice)
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. 9190 (TriggerPrice)
Enables the flip side of Stop Price functionality: if present, a Buy/Sell order activates once the Last Traded Price is less/greater than or equal to Trigger 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. 9191 (PostTriggerDuration)
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. |
TT POV orders support the following required and optional parameters; others are ignored.
Required | Optional |
16848 (TargetStrategyType)
Source of the algo Possible values include:
Currently, TT supports only 1 (TT Order type). 40 (OrdType)
Sets the order type for the parent order. Possible values for TT Premium Order /Types include:
99 (StopPx)
Trigger price for a stop order. Only required when Tag 40 (OrdType) is:
168 (EffectiveTime)
Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. 126 (ExpireTime)
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). |
9111 (Aggression)
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+). 9117 (BlockLimit)
When calculating participation limits, all trades above this limit will be ignored. Supports values 5-1,000,000. 9106 (IWouldPrice)
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. 9190 (TriggerPrice)
Enables the flip side of Stop Price functionality: if present, a Buy/Sell order activates once the Last Traded Price is less/greater than or equal to Trigger 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. 9191 (PostTriggerDuration)
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. |
TT Prowler orders support the following required and optional parameters; others are ignored.
Required | Optional |
16848 (TargetStrategyType)
Source of the algo Possible values include:
Currently, TT supports only 1 (TT Order type). 168 (EffectiveTime)
Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. 126 (ExpireTime)
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). |
9211 (MinShow)
Minimum open display size per price level for TT Prowler orders. If Min Show remains blank or set equal to 0, the order always displays the amount of order quantity set by Max Show. 9212 (PassivePriceLevel)
Allows optimal behavior to peg orders to passive price levels in the order book. If set to No Pegging, child orders are sent at the full limit price. For other settings, the order will rest passively priced child orders even if the limit price is marketable.
Note: Required when Num Post Levels is changed from the default value. 9213 (NumPostLevels)
Specifies the number of price levels at which to post child orders when pegging. When Passive Price Levels is set, additional resting orders may be set at subsequent price levels in order to hold queue priority. 9214 (AverageDelay)
Sets a random delay, in seconds, between sending new orders or replacing existing child orders. 9215 (IWouldQty)
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. 9216 (IWouldQtyPct)
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%. 9217 (WithATickQty)
Sets the size threshold to initiate aggressing orders to cross the spread and take liquidity when the opposing quote size falls to or below the set value. The order will cross the spread when aggressive quote size falls to or below the value set by With A Tick Qty. 9218 (WithATickQtyPct)
Similar to With A Tick Qty, but expressed 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%. 9115 (BriskLimitMode)
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:
9190 (TriggerPrice)
Enables the flip side of Stop Price functionality: if present, a Buy/Sell order activates once the Last Traded Price is less/greater than or equal to Trigger 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. 9191 (PostTriggerDuration)
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. |
TT Scale POV orders support the following required and optional parameters; others are ignored.
Required | Optional |
16848 (TargetStrategyType)
Source of the algo Possible values include:
Currently, TT supports only 1 (TT Order type). 168 (EffectiveTime)
Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. 126 (ExpireTime)
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 9211 (MinShow)
Minimum open display size per price level for TT Prowler orders. If Min Show remains blank or set equal to 0, the order always displays the amount of order quantity set by Max Show. |
9111 (Aggression)
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+). 9145 (Tracking)
Allows trader to select between trend following and reversionary behavior. Supported values include:
9117 (BlockLimit)
When calculating participation limits, all trades above this limit will be ignored. Supports values 5-1,000,000. 9106 (IWouldPrice)
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. 9190 (TriggerPrice)
Enables the flip side of Stop Price functionality: if present, a Buy/Sell order activates once the Last Traded Price is less/greater than or equal to Trigger 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. 9191 (PostTriggerDuration)
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. |
TT TWAP+ orders support the following required and optional parameters; others are ignored.
Required | Optional |
16848 (TargetStrategyType)
Source of the algo Possible values include:
Currently, TT supports only 1 (TT Order type). 40 (OrdType)
Sets the order type for the parent order. Possible values for TT Premium Order /Types include:
99 (StopPx)
Trigger price for a stop order. Only required when Tag 40 (OrdType) is:
168 (EffectiveTime)
Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. 126 (ExpireTime)
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 9211 (MinShow)
Minimum open display size per price level for TT Prowler orders. If Min Show remains blank or set equal to 0, the order always displays the amount of order quantity set by Max Show. |
9111 (Aggression)
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+). 9106 (IWouldPrice)
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. 9190 (TriggerPrice)
Enables the flip side of Stop Price functionality: if present, a Buy/Sell order activates once the Last Traded Price is less/greater than or equal to Trigger 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. 9191 (PostTriggerDuration)
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. |
TT VWAP+ orders support the following required and optional parameters; others are ignored.
Required | Optional |
16848 (TargetStrategyType)
Source of the algo Possible values include:
Currently, TT supports only 1 (TT Order type). 40 (OrdType)
Sets the order type for the parent order. Possible values for TT Premium Order /Types include:
99 (StopPx)
Trigger price for a stop order. Only required when Tag 40 (OrdType) is:
168 (EffectiveTime)
Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. 126 (ExpireTime)
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 9211 (MinShow)
Minimum open display size per price level for TT Prowler orders. If Min Show remains blank or set equal to 0, the order always displays the amount of order quantity set by Max Show. |
9111 (Aggression)
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+). 9106 (IWouldPrice)
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. 9190 (TriggerPrice)
Enables the flip side of Stop Price functionality: if present, a Buy/Sell order activates once the Last Traded Price is less/greater than or equal to Trigger 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. 9191 (PostTriggerDuration)
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. |
Tag # | Field Name | Req'd | Data type | Comments |
---|---|---|---|---|
16847 | TargetStrategyName | Y | String |
Name of the TT order type For TT order types, possible values include:
For custom algos, the name must match the one specified by the algo creator. |
16848 | TargetStrategyType | Y | String |
Source of the algo Possible values include:
|
40 | OrdType | C | char |
Sets the order type for the parent order. Possible values for TT Premium Order /Types include:
|
99 | StopPx | C | Price |
Trigger price for a stop order. Only required when Tag 40 (OrdType) equals:
|
9103 | MaxParticipation | C | Float |
Maximum Participation with relation to the eligible volume. |
9106 | IWouldPrice | N | Float |
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. |
126 | ExpireTime | N | UTC_Timestamp |
Time to stop working the order. |
168 | EffectiveTime | N | INT |
Time to start working the order. Note: Omit to start working the order when submitted. |
9111 | Aggression | N | INT |
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+). |
9112 | TiltMode | N | INT |
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. Possible values include:
|
9115 | BriskLimitMode | N | INT |
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:
|
9117 | BlockLimit | N | INT |
When calculating participation limits, all trades above this limit will be ignored. Supports values 5-1,000,000. |
9145 | Tracking | N | INT |
Allows trader to select between trend following and reversionary behavior. Supported values include:
|
9147 | MinParticipation | N | FLOAT |
Minimum participation with relation to the eligible volume. |
9190 | TriggerPrice | N | Float |
Enables the flip side of Stop Price functionality: if present, a Buy/Sell order activates once the Last Traded Price is less/greater than or equal to Trigger 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. |
9191 | PostTriggerDuration | N | INT |
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. |
9202 | DurationRCM | N | INT |
Order duration from Start Time that sets the time allotted, in minutes, for an order to work in the market. This may be specified as an alternative to setting a value for EndTime. The behavior of the Duration parameter is dependent on the TT Premium Order Type. |
9210 | MaxShowRCM | Y | INT |
Maximum open display size per price level for TT Prowler orders. |
9211 | MinShow | Y | INT |
Minimum open display size per price level for TT Prowler orders. If Min Show remains blank or set equal to 0, the order always displays the amount of order quantity set by Max Show. |
9212 | PassivePriceLevel | N | INT |
Allows optimal behavior to peg orders to passive price levels in the order book. If set to No Pegging, child orders are sent at the full limit price. For other settings, the order will rest passively priced child orders even if the limit price is marketable.
Note: Required when Num Post Levels is changed from the default value. |
9213 | NumPostLevels | N | INT |
Specifies the number of price levels at which to post child orders when pegging. When Passive Price Levels is set, additional resting orders may be set at subsequent price levels in order to hold queue priority. |
9214 | AverageDelay | N | FLOAT |
Sets a random delay, in seconds, between sending new orders or replacing existing child orders. |
9215 | IWouldQty | N | INT |
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. |
9216 | IWouldQtyPct | N | FLOAT |
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%. |
9217 | WithATickQty | N | INT |
Sets the size threshold to initiate aggressing orders to cross the spread and take liquidity when the opposing quote size falls to or below the set value. The order will cross the spread when aggressive quote size falls to or below the value set by With A Tick Qty. |
9218 | WithATickQtyPct | N | FLOAT |
Similar to With A Tick Qty, but expressed 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%. |