Algo Strategy Engine

7.17.55.5 (win64)

Released: May 15, 2015 File Size: 0
Package Contents:
No notes available.

Important Notes

  • This release includes the Aggregator, providing for the presentation and trading of like contracts on one trading interface, MD Trader. Initial phase of the Aggregator 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 before live usage. Please refer to Help Libray for details. 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 If a strategy contains a previous version of the Stopwatch Block, you must replace it with a newer version of the block provided in X_TRADER® 7.17 (or higher).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) fixes an issue with the TT Analytics Block where the Previous Property technical indicator can occassionally retrieve incorrect values. In addition, 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) fixes an issue with the TT Analytics Block where the Previous Property technical indicator can occassionally retrieve incorrect values. In addition, 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

 

Fixes

  1. Algo Engine and Proxy
    1. Fixed an issue with the TT Analytics Block where the Previous Property technical indicator was retrieving values from the incorrect bar. (Ref 231043)

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)