As an administrator you can configure price drift checks for submitting TT Iceberg and TT Time Sliced child orders. The configured price drift settings constrain order entry by either the number of ticks or a percentage price move over a specified time interval.
Note: Price drift checks are only applied to child orders of TT Iceberg and TT Time Sliced parent orders submitted for single instruments.
The price drift checks are configured as part of the account position limits settings for outrights (single or all contracts), spreads/strategies, and inter-product spreads. The checks are applied to an order based on the price of the previous order within a one or three minute rolling time interval (1 min interval and 3 min interval settings), or based on the price of the initial order (Lifetime interval setting).
In the following example, Ticks are set to "3" for a 1 min interval for trading CME ES Sep 19 contracts using account "ABCDEF", and a user submits submits a 100 lot TT Time Sliced order configured to disclose one 10 lot order every 30 seconds with a relative price using this account.
Based on the price drift check, the price of the newly submitted order is checked against the price of the earliest order submitted within the last minute:
If the difference between the price of the earliest submitted order and the new order price is outside the "3" tick range, the new order will be rejected and the TT Time Sliced parent order will fail.