Algo Strategy Engine

7.17.35.15 (win64)

Released: May 16, 2014 File Size: 0
Package Contents:
No notes available.

Important Notes

  • The TT Algo Strategy Engine (Algo SE) 7.17.35 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 If a strategy contains a previous version of the Stopwatch Block, you must replace it with a newer version of the block provided in X_TRADER® 7.17 (or higher).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?


    The TT Algo Strategy Engine (Algo SE) 7.17.35 includes fixes for critical issues found in the field - please see the Fixes section below. It also includes enhancements necessary to comply with Eurex Algo Labeling Requirements. TT strongly encourages all customers to upgrade to this new version.

    Other major enhancements present in Algo SE 7.17.35 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) 7.17.35 includes fixes for critical issues found in the field - please see the Fixes section below. It also includes enhancements necessary to comply with Eurex Algo Labeling Requirements. TT strongly encourages all customers to upgrade to this new version.

    Other major enhancements present in Algo SE 7.17.35 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. API
      1. Implemented a traffic-shaping algorithm to improve management of high volume PGM publishers. (Ref 228368)

    2. Autospreader
      1. Added suppression of occasional "false" timeouts of child leg orders that can lead to the Autospreader® order being deleted. Root cause of the false timeouts are still under investigation. (Ref 228469)

    Fixes

    1. Algo Engine and Proxy
      1. Fixed an issue that can cause memory leaks when running algorithms containing the legacy version of Stopwatch Block. (Ref 228501)

    2. Common
      1. Fixed an issue where OTAs would fail to start if the OTA is using Autospreader® instrument(s). (Ref 228195)

    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)