Algo Strategy Engine

7.17.2.21 (win64)

Released: Nov 01, 2013 File Size: 0
Package Contents:
No notes available.

Important Notes


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 If a strategy contains a previous version of the Stopwatch Block, TT strongly recommends replacing it with a newer version of the block provided in X_TRADER® 7.17 (or higher).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) 7.17.2 includes enhancements listed below as well as critical fixes for issues found in the field. It also contains Autospreader® SE 7.17.2. Please refer to Autospreader® SE 7.17.2 Release Notes for more details.

Major enhancements that are present in Algo SE 7.17.2 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) 7.17.2 includes enhancements listed below as well as critical fixes for issues found in the field. It also contains Autospreader® SE 7.17.2. Please refer to Autospreader® SE 7.17.2 Release Notes for more details.

    Major enhancements that are present in Algo SE 7.17.2 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

    Fixes

    1. Autospreader
      1. Fixed an issue where Autospreader® did not delete the working spread order when one of the legs of the spread was in a closed state. (Ref 222878)

      2. Fixed an issue where a non-working Autospreader® order does not get removed and continues to display in X_TRADER® as a stale order. (Ref 223000)

      3. Fixed a rare issue where an incorrect price was used when sending a hedge order for a multi-leg spread. (Ref 223417, 222549)

      4. Fixed an issue where Implied prices and depth were not used for quoting and hedge calculations on Autospreader® SE. (Ref 223739, 223876)

      5. Fixed an issue that can cause a hedge order to be submitted at an incorrect price level when spread is Based on Net Change. (Ref 223942)

      6. Fixed a rare issue where a delete for an Autospreader® order is not processed correctly and Autospreader® attempts to delete a non-existing leg order. (Ref 224054)

    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)