TT User Forum http://forums.tradingtechnologies.com/ This is a discussion forum is operated by Trading Technologies. For more information about Trading Technologies, visit our main website at: http://www.tradingtechnologies.com. en Thu, 17 May 2012 02:55:22 GMT vBulletin 60 http://forums.tradingtechnologies.com/images/misc/rss.png TT User Forum http://forums.tradingtechnologies.com/ ADL canvas in production environment http://forums.tradingtechnologies.com/showthread.php?1212-ADL-canvas-in-production-environment&goto=newpost Wed, 16 May 2012 20:45:04 GMT Hi, My existing adl canvas are not updating with market values in production environment. How can I pull up an updating adl canvas for a running algo? Thnx Hi,
My existing adl canvas are not updating with market values in production environment. How can I pull up an updating adl canvas for a running algo?
Thnx ]]> General Discussion evasilievskaya@yahoo.com http://forums.tradingtechnologies.com/showthread.php?1212-ADL-canvas-in-production-environment How to restrict an OTA to certain market ladders? http://forums.tradingtechnologies.com/showthread.php?1211-How-to-restrict-an-OTA-to-certain-market-ladders&goto=newpost Wed, 16 May 2012 15:45:05 GMT Hi,

Is it possible to set a restriction on the markets an algo deployed as an OTA can be used on? If I set the desired market as anything other than Order Instrument then the deployed algo doesn't show up under Order Types and Templates on the ladder. On the otherhand, if I allow the instrument of the algo to be defined as type Order Instrument it appears the order is permissible but to all markets.

The answer seems to be using the Custom input on the Risk block to test against a permitted instrument as this will test for True prior to entering orders but I'm not sure how to have this test complete before the order gets entered by the user on the ladder? Is that possible? If not, is there an alternative?

Thanks in advance,
Dar. ]]> General Discussion Dar http://forums.tradingtechnologies.com/showthread.php?1211-How-to-restrict-an-OTA-to-certain-market-ladders Manually Resuming Algo after Pause http://forums.tradingtechnologies.com/showthread.php?1210-Manually-Resuming-Algo-after-Pause&goto=newpost Wed, 16 May 2012 09:03:14 GMT Hi, In the attached image I show a sequence of Alert and Pause blocks. Here the intention is to pause the algo if a certain event occurs. The second alert, after the pause in the sequence, was added to alert the user if the algo had been resumed manually from the dashboard as this is... Hi,

In the attached image I show a sequence of Alert and Pause blocks. Here the intention is to pause the algo if a certain event occurs. The second alert, after the pause in the sequence, was added to alert the user if the algo had been resumed manually from the dashboard as this is undesirable. However, when I run this algo and the pause block acts to pause the algo, if I then resume the algo I do not receive the subsequent alert message. Any thoughts?

Thanks in advance,
Dar.
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]]> General Discussion Dar http://forums.tradingtechnologies.com/showthread.php?1210-Manually-Resuming-Algo-after-Pause If Then Else.... question http://forums.tradingtechnologies.com/showthread.php?1209-If-Then-Else-question&goto=newpost Tue, 15 May 2012 13:24:59 GMT What if I want my "else" to be: do not work any orders. I'd rather not use the on off. ]]> General Discussion AceVentura http://forums.tradingtechnologies.com/showthread.php?1209-If-Then-Else-question Calculating Standard Deviation in ADL http://forums.tradingtechnologies.com/showthread.php?1207-Calculating-Standard-Deviation-in-ADL&goto=newpost Tue, 15 May 2012 00:46:48 GMT Calculating standard deviation is a common requirement for some types of trading. It is an input to historical/realized volatility (often expressed as the standard deviation of annualized log returns), z-scores/standard scores, and even the upper/lower Bollinger Bands. Here are some references: ... Calculating standard deviation is a common requirement for some types of trading. It is an input to historical/realized volatility (often expressed as the standard deviation of annualized log returns), z-scores/standard scores, and even the upper/lower Bollinger Bands. Here are some references:

http://en.wikipedia.org/wiki/Standard_deviation
http://en.wikipedia.org/wiki/Volatility_(finance)
http://en.wikipedia.org/wiki/Standard_score
http://en.wikipedia.org/wiki/Bollinger_Bands

Here it is presented with a pseudo random number generator so the user can check its output against the Excel function STDEVP().


Name: STDEV_1.JPG Views: 29 Size: 74.0 KB

More to follow.
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]]> General Discussion FrontOfficeDev http://forums.tradingtechnologies.com/showthread.php?1207-Calculating-Standard-Deviation-in-ADL Single Order Container (SOC) Block output msgs when order dropped at market http://forums.tradingtechnologies.com/showthread.php?1206-Single-Order-Container-(SOC)-Block-output-msgs-when-order-dropped-at-market&goto=newpost Mon, 14 May 2012 17:52:44 GMT Hi,

I note that the SOC's output msg type differs depending on whether the order is matched at the price when that price is traded or when teh order is manually dropped at market on the ladder. In the first instance a Fill msg is outputted, in the second instance a Change msg is outputted. In both cases the Wrk Qty in the SOC is specified to be zero. Is this the expected output for these differing fill methods? I was expecting both methods to output a Fill msg?

Thanks in advance,
Dar. ]]> General Discussion Dar http://forums.tradingtechnologies.com/showthread.php?1206-Single-Order-Container-(SOC)-Block-output-msgs-when-order-dropped-at-market how to use a boolean state variable? http://forums.tradingtechnologies.com/showthread.php?1205-how-to-use-a-boolean-state-variable&goto=newpost Mon, 14 May 2012 17:09:51 GMT Hi, I want to bid few ticks below best bid when a last price in within a given range. When Last Price falls below lower bound I want to wait until last price goes above the upper bound before bidding again. Ideally, I would like to use a variable that changes its value based on where a given... Hi,

I want to bid few ticks below best bid when a last price in within a given range. When Last Price falls below lower bound I want to wait until last price goes above the upper bound before bidding again. Ideally, I would like to use a variable that changes its value based on where a given contract is trading and other relevant data.

Is there a way to switch a variable between on and off in ADL based on different conditions. How can I make variable turn on when certain conditions are satisfied and then tern it off when other conditions are met? ]]> General Discussion Sunil Kumar http://forums.tradingtechnologies.com/showthread.php?1205-how-to-use-a-boolean-state-variable <![CDATA[Boolean to Risk block's custom input error]]> http://forums.tradingtechnologies.com/showthread.php?1204-Boolean-to-Risk-block-s-custom-input-error&goto=newpost Mon, 14 May 2012 16:19:50 GMT Hi,

There is an error in the attached block setup but I can't find it. I am only looking at the Custom input here.

Originally I had the boolean 'Selected trading market not permitted' which compares the permitted market with the OTA chosen market to see if they are the same. If not then this boolean turns True and the Risk block reports this and pauses the algo. However, I wanted more info reported prior to pausing the algo so I added an alert block called "Incorrect Market Alert" that would precede the Risk block receiving the desired boolean by having the boolean value stored in a Value Extractor block afterwards in a sequence. Now the Risk block doesn't pause the algo even the though in the Sequencer block the 1st Alert block reports the boolean is False and the 2nd Alert block reports it True?

What have I done wrong? Can anyone show a better way of adding the Alert block prior to the Risk block pausing?

Thanks in advance,
Dar.
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]]> General Discussion Dar http://forums.tradingtechnologies.com/showthread.php?1204-Boolean-to-Risk-block-s-custom-input-error <![CDATA[Incorrect open P/L shown in 'P/L Last' in Fill Window]]> http://forums.tradingtechnologies.com/showthread.php?1203-Incorrect-open-P-L-shown-in-P-L-Last-in-Fill-Window&goto=newpost Mon, 14 May 2012 14:45:38 GMT 'Positions' I have specified "P/L based on" 'Risk Algorithm'. Any thoughts? Thanks in advance, Dar. ...]]> Hi,

My open P/L in 'P/L Last' in the Fill Window shows huge values that are incorrect when I enter a trade on the sim. It doesn't appear to be exchange specific. Under 'Properties' > 'Positions' I have specified "P/L based on" 'Risk Algorithm'. Any thoughts?

Thanks in advance,
Dar.

X_Trader v7.11.2.105 ]]> X_TRADER® Dar http://forums.tradingtechnologies.com/showthread.php?1203-Incorrect-open-P-L-shown-in-P-L-Last-in-Fill-Window Using the log block to monitor events. http://forums.tradingtechnologies.com/showthread.php?1202-Using-the-log-block-to-monitor-events&goto=newpost Fri, 11 May 2012 07:56:00 GMT Hi, Could you please advise on the best way you have found to monitor the discrete events of an algo, using the log block. I would it to report the a selection of variables at time of order entry, partial fill, fill and then on the exit side aswell. any help would be greatly appreciated. ... Hi,

Could you please advise on the best way you have found to monitor the discrete events of an algo, using the log block.
I would it to report the a selection of variables at time of order entry, partial fill, fill and then on the exit side aswell.

any help would be greatly appreciated.

thanks. ]]> General Discussion @traderdave1 http://forums.tradingtechnologies.com/showthread.php?1202-Using-the-log-block-to-monitor-events Creating Algo Templates in the Algo Dashboard...... http://forums.tradingtechnologies.com/showthread.php?1201-Creating-Algo-Templates-in-the-Algo-Dashboard&goto=newpost Wed, 09 May 2012 17:02:24 GMT Here is a step by step process for how to do this function in ADL: Attachment 174 (http://forums.tradingtechnologies.com/attachment.php?attachmentid=174)Attachment 175 (http://forums.tradingtechnologies.com/attachment.php?attachmentid=175) Here is a step by step process for how to do this function in ADL:

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]]> Best Practices TT-Damon http://forums.tradingtechnologies.com/showthread.php?1201-Creating-Algo-Templates-in-the-Algo-Dashboard TTSIM 7.15.0.64 (p66) set up tips...... http://forums.tradingtechnologies.com/showthread.php?1200-TTSIM-7-15-0-64-(p66)-set-up-tips&goto=newpost Wed, 09 May 2012 16:06:47 GMT *Issue/Question* What products are available via TT SIM? *Resolution/Answer* * Any TT Gateways (and their respective products) that you have access to in your trading environment (via X_TRADER) are available in TT SIM.
Issue/Question

What products are available via TT SIM?


Resolution/Answer


  • Any TT Gateways (and their respective products) that you have access to in your trading environment (via X_TRADER) are available in TT SIM.
  • However, in order to have access to a product available on said TT Gateway(s) in TT SIM, specific limits have to be set up via TT User Setup.



Issue/Question

How do I reset client-side TT SIM without having to:

  1. Log out of TT SIM mode
  2. Log in to LIVE (production) mode
  3. Log out of LIVE mode
  4. Log back into TT SIM mode

In order to pick up newly assign product limits?


Resolution/Answer

To pick up newly assigned product limits in TT SIM:
  1. From the X_TRADER Control Panel, select Settings | Simulation Settings. This will bring up a Simulation Settings window.
  2. From there you can Restart Simulation.


When this is complete, the newly added products will be visible in X_TRADER.

Note: The reset process may take several minutes.



Issue/Question

How do I configure a contract for SIM only trading in TT User Setup?



Resolution/Answer

To configure a contract to only be tradable in SIM mode:
  1. Click the Users button or select User Admin | Users from the TT User Setup Control Panel.
  2. Select the specific username you wish to add a new contract for within the Users window and click Edit.
  3. Click the Gateway Logins tab.
  4. Double-click the specific gateway login to which you will assign the product limit.
  5. Click New Product Limit.
  6. Ensure that you select the check box next to Use Product Limit for TT SIM only. This will allow the selected user to trade this contract for SIM only and not for Production.
  7. Complete the product limit details.
  8. Click Save to close the New Product Limit window.
  9. Click Save to save the changes to the username.

Note: The user must be running X_TRADER 7.11.x (or higher) and TT SIM 7.15.x (or higher).




Issue/Question

Can you populate risk parameters in the Product column within the Product Limit section with something other than an asterisk (*) when setting up limits for TT SIM?

Resolution/Answer

TT SIM does not support TT User Setup configurations that allow access to all products or the use of astericks for a particular product group. A custom configuration for TT SIM may be required which lists specific product types (e.g., FUTURES) and specific products (e.g., ES) that the user is allowed to trade in simulation mode.

 ]]> News TT-Damon http://forums.tradingtechnologies.com/showthread.php?1200-TTSIM-7-15-0-64-(p66)-set-up-tips The new TTSIM version 7.15. 0.64 (p66).... Quick Reference Guide http://forums.tradingtechnologies.com/showthread.php?1198-The-new-TTSIM-version-7-15-0-64-(p66)-Quick-Reference-Guide&goto=newpost Wed, 09 May 2012 15:19:11 GMT Here is a Quick Reference Guide for the new TTSIM 7.15.0.64 (p66) Attachment 167 (http://forums.tradingtechnologies.com/attachment.php?attachmentid=167)Attachment 168 (http://forums.tradingtechnologies.com/attachment.php?attachmentid=168)Attachment 169... Here is a Quick Reference Guide for the new TTSIM 7.15.0.64 (p66)

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]]> News TT-Damon http://forums.tradingtechnologies.com/showthread.php?1198-The-new-TTSIM-version-7-15-0-64-(p66)-Quick-Reference-Guide New production versions for Algo SE and X_TRADER...05/08/2012 http://forums.tradingtechnologies.com/showthread.php?1197-New-production-versions-for-Algo-SE-and-X_TRADER-05-08-2012&goto=newpost Wed, 09 May 2012 13:28:27 GMT There are new Production version software releases as of 05/08/2012 for *Algo SE 7.2.4.9 (p126)* and *X_TRADER 7.11.3.28 (p190). *We highly recommend contacting your IT department and Clearing Firm to get these new software updates installed. There are new Production version software releases as of 05/08/2012 for Algo SE 7.2.4.9 (p126) and X_TRADER 7.11.3.28 (p190). We highly recommend contacting your IT department and Clearing Firm to get these new software updates installed.
]]> News TT-Damon http://forums.tradingtechnologies.com/showthread.php?1197-New-production-versions-for-Algo-SE-and-X_TRADER-05-08-2012 Time Series/Bars in ADL http://forums.tradingtechnologies.com/showthread.php?1196-Time-Series-Bars-in-ADL&goto=newpost Wed, 09 May 2012 01:29:16 GMT A few traders have asked about using times series data in ADL. For higher time frame stuff, you can use Excel and X_Study and link it to ADL. For shorter time frames, you can have ADL build times series for you. A simple way is to sample LTP periodically. Attachment 161... A few traders have asked about using times series data in ADL. For higher time frame stuff, you can use Excel and X_Study and link it to ADL. For shorter time frames, you can have ADL build times series for you. A simple way is to sample LTP periodically.


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You can then use those discrete messages as data points downstream. Here is some basic Be_LONG/Be_SHORT logic using SMAs. The Value Injector is optional here but used for clarity.


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One might have more specific requirements like full OHLCV data sync'd to server time. Here I'm using Close data and a custom Summary Statistics block.


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Inside the TimeSeries block, I'm using a few Value Buckets, a custom timer, the Value Injector, and some NaN handling.


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NaNs are something to think about depending on your specific requirements. Here we just drop them (MessageCount == 0).

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Like most things in ADL there is more than one way to accomplish a given task. Has anyone found a better way to build times series or bars in ADL?
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]]> General Discussion FrontOfficeDev http://forums.tradingtechnologies.com/showthread.php?1196-Time-Series-Bars-in-ADL