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TT Close

The TT Close Premium Order Type attempts to fill the order close to a targeted price at a desired end time. A common use case would be attempting to fill the order near to either the close price or the settlement price.

For more information, refer to the TT Close Order section of the Trade help.

TT Close

Number

Name

FIX Tag

Type
Required
Updatable
FieldLocation Description
(constructor variable) Instrument TRUE FALSE OrderProfile Instrument for synthetic parent order
1

OrderQty

Tag 38

Quantity TRUE TRUE OrderProfile Order quantity for synthetic parent order
2

LimitPrice

Tag 44

Price TRUE TRUE OrderProfile Limit price to be used for synthetic parent order
3

OrderSide

Tag 54

tt_net_sdk.OrderSide

TRUE FALSE OrderProfile Side for synthetic parent order
4

Account

Tag 1

Account TRUE FALSE OrderProfile Account for synthetic parent order
5 strategyIdentifierTag
Tag9100
String_t TRUE FALSE UserParameters Set to "CLOSE"
ParentVendorAlgoType String_t FALSE FALSE UserParameters
ParentVendorAlgoID String_t FALSE FALSE UserParameters
6

TIF

Tag 59

tt_net_sdk.TimeInForce

TRUE FALSE UserParameters Only supports Day orders
7

OrderType

Tag 40

tt_net_sdk.OrderType

TRUE TRUE OrderProfile Order Type for synthetic parent order.
8

StopPx

Tag 99

Price FALSE TRUE OrderProfile Synthetic parent order stop price
9 Participation Rate
Tag9103
Float_t FALSE TRUE UserParameters If provided, sets an optional cap on the parent orders participation rate during the life of the order
10 Aggression
Tag9111
Int_t FALSE TRUE UserParameters
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 Close orders, this means:

Lower aggression (e.g. 0) trades close to a normal VWAP curve.
Mid/Default aggression (e.g.5) trades more passively upfront than VWAP based upon product-specific optimizations to balance the risk of market impact vs end-price drift by reserving more quantity for the end of the order.
High aggression (e.g. 10) trades most passively with respect to a standard VWAP, expressing greater preference for minimizing end-price drift by executing with most tilt towards the end time.

Valid enums 0-10
11 Tilt Mode
Tag9112
Int_t FALSE TRUE UserParameters 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.

1: - 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.

2: 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+.
12 DynamicDuration
Tag9302
Boolean_t FALSE TRUE UserParameters Allows the algo to target a shorter trading horizon respective to its End Time. If selected, orders submitted may not begin placing child orders until nearer to the End Time. If not selected, parent orders will seek to utilize the full trading window as defined by the Start and End Times.
13 I Would Price
Tag9106
Price_t FALSE TRUE UserParameters 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.
14 IWouldQty
Tag9215
Int_t FALSE TRUE UserParameters 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.
15 IWouldQtyPct
Tag9216
Float_t FALSE TRUE UserParameters 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%.
16 IWouldQtyVariancePct
Tag9225
Float_t FALSE TRUE UserParameters 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.
17 MaxSpreadCrossTicks
Tag9221
Int_t FALSE TRUE UserParameters If greater than 0, an order will not cut or cross a bid-ask spread that is more than the specified amount wide.
18

Start Time

Tag 168

UTCTimstamp_t FALSE TRUE UserParameters If not set, defaults to Now
19

End Time

Tag 126

UTCTimstamp_t FALSE TRUE UserParameters End Time and Duration are mutually exclusive and only one should be set; if neither value is set the parent order will default to the market close time of the Instrument.

The duration is interpreted as the number of minutes the parent order should be active from Start Time.
Duration
Tag9202
Int_t FALSE TRUE UserParameters
20 EndTimeOverride
Tag9203
Int_t FALSE TRUE UserParameters Overrides End Time, Duration, or the default with one of several product hours related values. Available options are:

0: None (Default)
1: Last Session Close
2: Next Session Close
3: Settlement

Note: If the current time is in the final continuous trading session of the day Next Session Close and Last Session Close reference the same time.
21 IfTouchedPrice
Tag9190
Price_t FALSE TRUE UserParameters Price at which parent order is triggered If Touched
22 PostTriggerDuration
Tag9191
Int_t FALSE TRUE UserParameters If utilizing OrderType Stop or Stop Limit, or if utilizing IfTouchedPrice, PostTriggerDuration should be utilized in lieu of End Time or Duration. Defines the number of minutes from the point a parent order is triggered to begin working the order should be active.
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