Algo Strategy Engine

7.17.50.38 (win64)

Released: Feb 04, 2015 File Size: 0
Package Contents:
No notes available.

Important Notes

  • This release introduces the Aggregator, providing for the presentation and trading of like contracts on one trading interface, MD Trader. This initial release supports aggregation of cash fixed income products and futures contracts with the same tick size. As with any nascent product, there are Known Issues that will addressed in the coming releases. Please make sure to review the Known Issues section before using the Aggregator. It is also strongly recommended that you use the Aggregator in TT SIM 7.17.50 before live usage. Some features of the Aggregator include:
    • Aggregator MD Trader: Aggregator MD Trader® aggregates the markets of multiple instruments into a single market. Additional columns can be exposed on the Aggregator MD Trader® to show the separate markets of each individual leg.
    • Smart order routing: The Aggregator will allocate the user's desired quantity across the leg instruments to achieve the optimal price, using the user-specified configurations.
    • Re-balance: Once the orders have been allocated across the leg instruments, the Aggregator will continuously monitor all leg markets for liquidity that is immediately available for taking. On detection, the Aggregator will re-allocate resting orders to consume the liquidity, using the user-specified configurations.
    • Autospreader with an Aggregator leg: Configure an Autospreader® that has one or more legs set to use an Aggregator. The Autospreader® logic will treat the Aggregator leg as if it were a regular outright leg.
  • This release 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 If a strategy contains a previous version of the Stopwatch Block, you must replace it with a newer version of the block provided in X_TRADER® 7.17 (or higher).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.
  • This release 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?

    This version of Algo Strategy Engine (Algo SE) include critical fixes for issues discovered in the field - please see the Fixes section below for details. Enhancements present in this version of Algo Strategy Engine (Algo SE) include:

  • Aggregator: Aggregation has been added to X_TRADER® providing for the presentation and trading of like contracts on one trading interface, MD Trader. This initial release supports aggregation of cash fixed income products and futures contracts with the same tick size.
  • TT Analytics Block: This block allows users to incorporate technical studies available in X_STUDY® and leverage historical data stored on an FMDS.
  • New Custom Pricing Model: Algo SE supports running Autospreaders that utilize Custom Pricing Model for trading in yield.
  • System Requirements

    This version of Algo Strategy Engine (Algo SE) include critical fixes for issues discovered in the field - please see the Fixes section below for details. Enhancements present in this version of Algo Strategy Engine (Algo SE) include:

  • Aggregator: Aggregation has been added to X_TRADER® providing for the presentation and trading of like contracts on one trading interface, MD Trader. This initial release supports aggregation of cash fixed income products and futures contracts with the same tick size.
  • TT Analytics Block: This block allows users to incorporate technical studies available in X_STUDY® and leverage historical data stored on an FMDS.
  • New Custom Pricing Model: Algo SE supports 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. Aggregator
      1. Aggregation has been added to X_TRADER® providing for the presentation and trading of like contracts on one trading interface, MD Trader®. This initial release supports aggregation of cash fixed income products and futures contracts with the same tick size. (Ref 229545)

    2. Algo Engine and Proxy
      1. The TT Analytics Block Edit Form has been enhanced so that the Previous Property Indicator hard-codes Update Frequency field to "OnBarComplete." (Ref 228889)

      2. AlgoSE has been enhanced to handle change-reject-due-to-fill scenarios for orders pertaining to the Eris Gateway. (Ref 230045)

      3. Enhanced Order Blocks with an option to "Ignore External Modifications". When this option is enabled, the Order Block will not go dormant when its child order is externally modified (by the user, for example). If the modification was a delete, the Order Block will immediately try to add another child order. If the modification involved price / quantity change, the Order Block will honor the new price / quantity until one of its input values change. (Ref 230363)

    3. Common
      1. Fixed an issue where Algo SE server will not re-attempt connections to FMDS after losing the initial connection. (Ref 229728)

    4. Connectivity
      1. Added an option in ADL to "Ignore Gateway Down." When this option is enabled, the algo will continue to run even if it detects a disconnect to one of the Gateways that it may be using in the logic. This enhancement was introduced to allow the algo to gracefully handle the daily Gateway rollovers. Please be advised that, a time-based logic may need to be introduced into the algo to suppress Order Blocks from routing orders to a disconnected Gateway. Doing so will likely result in an order timeout, causing the algo to pause. (Ref 230295)

    5. Order Fill Handler
      1. Fixed an issue with caching efficiency that can cause a noticeable delay of hedge order submission when using Autospreader® instruments. (Ref 229468)

    Fixes

    1. Algo Engine and Proxy
      1. Fixed an issue with the Fill Generator Block where generated fills will occasionally fail to display in the Fill Window or Order Fill Window. (Ref 229049)

      2. Fixed an issue where the shared-to list of a persisted Algo Definition disappears following server upgrade. (Ref 229754)

      3. Fixed an issue where Algos using TT Analytics Block will fail upon start or resume, if Algo SE was started while FMDS was down (even if FMDS recovers later, the failure will occur). (Ref 229817)

      4. Fixed an issue where Algo SE server can crash upon start-up if FMDS is down at the time. (Ref 229841)

    2. Autospreader
      1. Fixed an issue where an ADL algo driving an Autospreader® (with a Pre-Hedge Rule) can behave unexpectedly in the scenario where an update for the hedge order precedes the add confirmation. (Ref 229136)

    3. Autospreader API
      1. Fixed an issue that caused TT API to crash when Autospreader® instruments are disposed. (Ref 229607)

    4. Contract-Handler
      1. Fixed an issue that can cause a crash in the Algo SE Implieds Engine. (Ref 229863)

      2. Fixed an issue that may cause Algo SE to crash when using certain ICE products. (Ref 230374)

    Known Issues

    1. Aggregator
      1. Aggregator: Re-balancing mechanism of the Aggregator algo can malfunction if one of the legs has no bid or offer in the market. (Ref 230127)

      2. Aggregator: Initial submission of the Aggregator algo can malfunction if one of the legs has no bid or offer in the market. (Ref 230244)

      3. Aggregator: When an Aggregator is configured to re-balance 100% of the Working Quantity on a BrokerTec leg, the Aggregator may malfunction when it receives rejects from the exchange with the message "cannot change qty to 0". (Ref 230483)

      4. Aggregator: This issue pertains to Autospreader® Orders that are configured with one or more Aggregator legs. Parent Autospreader® Order can go stale during deletion if one of its grand-child order (belonging to a child Aggregator order) gets "caught" by eSpeed Lone Cancel Timer Reject. To remove the stale Parent Autospreader® Order, please log out and log back into X_TRADER® and then manually cancel the stale order using Orders and Fills Window. (Ref 230537)

    2. Algo Engine and Proxy
      1. Aggregator: If one of the child orders encounters the Lone Cancel Timer reject on eSpeed, the respective Aggregator Order may terminate itself or lose track of the 1-lot "held" order. (Ref 230138)

      2. Aggregator: During deletion of the Parent Aggregator Order, if a child order gets "caught" by BrokerTec hold-in-timer reject, that child order will be left in the market. When using a BrokerTec instrument as one of the legs for the Aggregator, PLEASE CHECK YOUR WORKING ORDERS AFTER THE DELETION OF THE PARENT AGGREGATOR ORDER. (Ref 230548)

    3. Connectivity
      1. Aggregator: Aggregator order will be paused if connectivity is lost to any one of the constituent market. (Ref 230375)