Algo Strategy Engine

7.17.40.23 (win64)

Released: Jul 15, 2014 File Size: 0
Package Contents:
No notes available.

Important Notes

  • Algo SE 7.17.40 includes enhancements necessary to comply with Eurex Algo Labeling Requirements.
  • The Stopwatch Block has been re-designed for greater flexibility and efficiency. If a strategy contains a previous version of the Stopwatch Block, you must replace it with a newer version of the block provided in X_TRADER® 7.17 (or higher). Please refer to Updating the ADL Stopwatch Block for important details.
  • Algo SE 7.17 has been enhanced to support the ability to select Broker (in MultiBroker mode), Customer Default, and Order Gateway for each Instrument Block present in an algo. If you log into multiple flavors of a Gateway, you will need to specify the Gateway of your choice for some Instrument Blocks on your algo templates and re-save them.
  • Why Should I Upgrade?


    New enhancements present in Algo Strategy Engine (Algo SE) 7.17.40 include:

  • TT Analytics Block: This block will allow users to incorporate technical studies available in X_STUDY® and leverage historical data stored on an FMDS.
  • New Custom Pricing Model: Algo SE 7.17.40 will support running Autospreaders that utilize Custom Pricing Model for trading in yield.
  • System Requirements


    New enhancements present in Algo Strategy Engine (Algo SE) 7.17.40 include:

  • TT Analytics Block: This block will allow users to incorporate technical studies available in X_STUDY® and leverage historical data stored on an FMDS.
  • New Custom Pricing Model: Algo SE 7.17.40 will support running Autospreaders that utilize Custom Pricing Model for trading in yield.
  • Installation Notes


    TT requires all customer sites to complete a pre-installation impact analysis and network optimization before Algo SE is installed. TT Technical Account Managers (TAMs) will be responsible for installing and configuring Algo SE, as it will not be available for download on the Customer Portal.

    Configuration Changes
    Dynamic connections are enabled by default. Before upgrading, please contact your TT Technical Account Managers for assistance in assessing your environment.

    Enhancements

    1. Installation
      1. Added support for Custom Pricing Model for Autospreaders configured to trade in yield. Applicable only when using Algo SE to launch Autospreaders - not ADL algos. (Ref 228269)

    Fixes

    1. Algo Engine and Proxy
      1. Fixed an issue where persisted and shared algos will lose their shared status, following a server restart. (Ref 228956)

    2. Autospreader
      1. Fixed an issue where Algo SE can crash when an Autospreader® order that is driven by an Algo instance fails to submit its quoting orders to due to risk rejects. In this scenario, Algo SE will crash at the market close when the Algo instance attempts to delete the Autospreader® order in question. (Ref 228777)

    Known Issues

    1. General
      1. Due to timing issues, an algo can occasionally pause unexpectedly when the "Avoid orders that cross" option is enabled with the "Cancel resting" option. For example, suppose that an Algo X attempts to place a child order that crosses another child order of Algo Y. The AOTC check will be triggered, and a delete request will be issued for the resting child order of Algo Y. At this exact moment, if Algo Y happens to submit another delete request for its child order, that delete request will be considered redundant and rejected. As a result, Algo Y will pause. (Ref 201237)

      1. If the algo is using a MEFF contract, please note the following: When the MEFF contract closes, there is a brief transitional time (about 5-10 minutes) between the close and the closing auction where state of the contract is unknown. During this transitional time between the two states, MEFF will delete all child orders but the algo will continue running. The deletes for the child orders will be regarded as an external modification, and the respective Order Blocks will become dormant. Once the market state finally changes to closing auction, the algo will be paused. (Ref 224751)

    2. ADL
      1. In MultiBroker mode, when running an algorithm from the ADL Designer Canvas in TT SIM mode, Broker selection may be incorrect. Note that the Broker is determined by using the "Customer" drop-down menu located at the upper portion of the ADL Designer Canvas. (Ref 211612)