Algo Strategy Engine

7.17.1.38 (win64)

Released: Sep 20, 2013 File Size: 0
Package Contents:
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Important Notes


TT Algo Strategy Engine (Algo SE) 7.17.1 is the first Algo SE 7.17 release for use in either MultiBroker or non-MultiBroker environments.

The Stopwatch Block has been re-designed for greater flexibility and efficiency. If a strategy contains a previous version of the Stopwatch Block, TT strongly recommends replacing it with a newer version of the block provided in X_TRADER® 7.17 (or higher).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?


The TT Algo Strategy Engine (Algo SE) 7.17.1 includes critical fixes for issues found in the field, along with significant enhancements to existing functionality. It also contains Autospreader® SE 7.17.1. Please refer to Autospreader® SE 7.17.1 Release Notes for more details.

Highlights of the new functionality in Algo SE 7.17.1 include:

  • MultiBroker Support
  • Enhanced Stopwatch Block
  • Enhanced Autospreader® SE Order Block (for Autospreader® Sniper order support)
  • Enhanced/simplified Algo Definition sharing
  • Order routing selection for each Instrument Block in an algo
  • System Requirements


    The TT Algo Strategy Engine (Algo SE) 7.17.1 includes critical fixes for issues found in the field, along with significant enhancements to existing functionality. It also contains Autospreader® SE 7.17.1. Please refer to Autospreader® SE 7.17.1 Release Notes for more details.

    Highlights of the new functionality in Algo SE 7.17.1 include:

  • MultiBroker Support
  • Enhanced Stopwatch Block
  • Enhanced Autospreader® SE Order Block (for Autospreader® Sniper order support)
  • Enhanced/simplified Algo Definition sharing
  • Order routing selection for each Instrument Block in an algo
  • 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. ADL
      1. Added the following to support MultiBroker functionality related to ADL: (1) Market-based Instrument Explorer (no longer TT gateway flavor based); (2) Broker selection on the Algo Dashboard and the Algo Variable Dialogue to allow an algo to route orders to multiple Brokers (note: child orders for an Algo Definition owned and deployed by a broker will be automatically routed through that broker). (Ref 193092)

      2. The Stopwatch Block has been enhanced for greater flexibility and efficiency, and it will operate in the following manner:
        1. When the block receives a discrete event message, it will evaluate the "Stop Time" formula (depicted in its internal green canvas) to get the stop time in milliseconds.
        2. After the specified stop time, the block will output a discrete event message.
        3. The block must be reset with a new incoming discrete event message if repetition is needed.
        NOTE: If a strategy contains a previous version of the Stopwatch Block, TT strongly recommends replacing it with a newer version of the block provided in X_TRADER® 7.17 (or higher). (Ref 205330)

      3. Added the discrete outputs "Sniper Leg Add OK" and "Sniper Leg Fills" to the Autospreader® SE Order Block to support the Autospreader® Sniper order type. (Ref 210457)

      4. Enhanced Stopwatch Block to better support backward compatibility. (Ref 219946)

    2. Algo Engine and Proxy
      1. Added the ability to select one or more individual users from an auto-generated list when sharing an Algo Definition. (Ref 210980)

    3. Algo Variable Pane
      1. Added the Routing Configuration dialog box to support Customer Default and Order Gateway selection for each Instrument Block within an algo. Broker selection per Instrument Block is also supported when running in the MultiBroker environment. 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. (Ref 204711)

    Fixes

    1. General
      1. Fixed an issue where an algo will throw an unhandled exception when an Alert Block attempts to extract an instrument value from an incoming discrete event message that does not contain any instrument values. (Ref 196375)

      2. Fixed an issue where an Alert Block will fail to generate an alert at the start of an algo if the block's true/false input is true to begin with. (Ref 197837)

      3. Fixed an issue where an Alert Block may occassionally fail to generate the intended alerts. (Ref 202310)

      4. Fixed an issue where a parameter update is incorrectly ignored if the algo in question is in a paused state. (Ref 205584)

      5. Fixed an issue where Avoid-Orders-That-Cross check is incorrectly triggered when an in-flight Stop Order crosses an in-flight Limit Order. (Ref 205626)

    2. Algo Engine and Proxy
      1. Fixed an issue where an algo instance may occasionally get stuck in the "deleting" state. (Ref 204149)

    Known Issues

    1. General
      1. Due to timing issues, an algo can occassionally 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)

    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)