Launching an algo

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.

OrderProfile GetOrderProfile();
OrderProfile GetOrderProfile(Instrument);

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.

Name	Type	Required	Updatable	FieldLocation	Algo-Specific Enum
OrderInstrumentID	Instrument	true	true	OrderProfile
OrderQty	Quantity	true	false	OrderProfile
OrderSide	Enum	true	false	OrderProfile	tt_net_sdk.OrderSide
OrderAccount	String	true	false	OrderProfile
TriggerPrice	Price	false	true	OrderProfile
OrderType	Enum	true	false	OrderProfile	tt_net_sdk.OrderType
LimitPrice	Price	true	true	OrderProfile
ChildTIF	Int_t	true	false	UserParameters
ParentTIF	Int_t	true	false	UserParameters	tt_net_sdk.tt_stop.ParentTIF
TriggerPriceType	Int_t	true	false	UserParameters	tt_net_sdk.tt_stop.TriggerPriceType
IsTrlTrg	Boolean_t	false	false	UserParameters
TriggerTicksAway	Int_t	false	true	UserParameters
TriggerQtyType	Int_t	false	false	UserParameters	tt_net_sdk.tt_stop.TriggerQtyType
TriggerQtyCompare	Int_t	false	false	UserParameters	tt_net_sdk.tt_stop.TriggerQtyCompare
TriggerQty	Qty_t	false	true	UserParameters
SecondConditionIsOn	Boolean_t	false	false	UserParameters
SecondTriggerPriceType	Int_t	true	false	UserParameters	tt_net_sdk.tt_stop.SecondTriggerPriceType
SecondTriggerTicksAway	Int_t	false	true	UserParameters
SecondTriggerQtyType	Int_t	false	false	UserParameters	tt_net_sdk.tt_stop.SecondTriggerQtyType
SecondTriggerQtyCompare	Int_t	false	false	UserParameters	tt_net_sdk.tt_stop.SecondTriggerQtyCompare
SecondTriggerQty	Qty_t	false	true	UserParameters
TriggerLTPReset	Boolean_t	false	false	UserParameters
Payup	Int_t	false	true	UserParameters
LimitPriceType	Int_t	false	false	UserParameters	tt_net_sdk.tt_stop.LimitPriceType
WithATickType	Int_t	false	false	UserParameters	tt_net_sdk.tt_stop.WithATickType
WithATick	Qty_t	false	true	UserParameters
STime	UTCTimestamp_t	false	true	UserParameters
ETime	UTCTimestamp_t	false	true	UserParameters
ETimeAct	Int_t	false	false	UserParameters	tt_net_sdk.tt_stop.ETimeAct
NoImplies	Boolean_t	false	false	UserParameters
AutoResubExpiredGTD	Boolean_t	false	false	UserParameters
WaitingOption	Int_t	true	false	UserParameters	tt_net_sdk.tt_stop.WaitingOption

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.

string appSecretKey = "Your App Key";
tt_net_sdk.ServiceEnvironment environment = tt_net_sdk.ServiceEnvironment.UatCert;
tt_net_sdk.TTAPIOptions apiConfig = new tt_net_sdk.TTAPIOptions(
			environment,
			appSecretKey,
			5000);
apiConfig.UserDisconnectAction = UserDisconnectAction.Cancel;

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

// Assume that the name of your OrderProfile object is ‘op’
op.UserDisconnectAction = UserDisconnectAction.Pause;

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.

// Assume that the name of your OrderProfile object is ‘op’
op.CoLocation = MarketId.CME;

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.

private InstrumentLookup m_instrLookupRequest = null;
private Instrument m_inst = null;

private void m_ats_OrderBookDownload(object sender, OrderBookDownloadEventArgs e)
{
	m_instrLookupRequest = new InstrumentLookup(
	   tt_net_sdk.Dispatcher.Current,
	   MarketId.CME, 
	   ProductType.Future,
	   "ES", 
	   "ES Dec19");

	ProductDataEvent ev = m_instrLookupRequest.Get();
	if (ev == ProductDataEvent.Found)
	{
		// Instrument was found
		m_inst = m_instrLookupRequest.Instrument;

		OrderProfile op = m_alookup.Algo.GetOrderProfile(m_inst);

		Dictionary<string, object> userparams = new Dictionary<string, object>
		{
			{"TriggerPriceType", tt_net_sdk.tt_stop.TriggerPriceType.Ltp },
			{"ChildTIF" ,        tt_net_sdk.TimeInForce.Day  },
			{"ParentTIF" ,       tt_net_sdk.tt_stop.ParentTIF.Day },
		};

		op.UserParameters = userparams;

		op.AccountName = "ATRcert";
		op.Side = OrderSide.Buy;
		op.OrderType = OrderType.Limit;
		op.OrderQuantity = Quantity.FromDecimal(m_inst, 10);
		op.TriggerPrice = Price.FromString(m_inst, "2887.00");
		op.LimitPrice = Price.FromString(m_inst, "2887.50");

		if (!m_ats.SendOrder(op))
		{
			Console.WriteLine("Launch algo Failed.");
		}
		else
		{
			Console.WriteLine("Launched new algo: " + " SOK=" + op.SiteOrderKey);
		}
	}
	else
	{
		// Instrument was not found
		Console.WriteLine("Cannot find instrument: {0}", ev.ToString());
		return;
	}
}

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.

OrderProfile op  = new OrderProfile(e.Fields.Instrument);
op.Action = OrderAction.Pause;

OrderProfile op  = new OrderProfile(e.Fields.Instrument);
op.Action = OrderAction.Resume;