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TT Algo on Mishedge Management


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TT Algo on Mishedge Management

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  #1 (permalink)
KL + Selangor/Malaysia
 
Experience: Intermediate
Platform: NT
Trading: GC,SI,CL
 
Posts: 10 since Sep 2019
Thanks: 2 given, 3 received

Hello there,

I am trying to figure out a simple mishedge management algo, would anyone be able to explain by turning on the order block properties - "autospreader" as true how would the quote fills, hedge fills and Hedge Add OK are to be used?

for e.g. Long GC Dec19/Apr20 spread which Apr20 is the active quoting leg and Dec19 is the hedging leg.

Could there be situation that either of the leg can be mishedged? In this case, how to determine which leg is mishedged and how to make use of the information available to decide either payup or cancel the mishedge by scratching the initial one leg trade?

It would be awesome if some ADL diagram or sample reference algo is being provided.

Thank you.

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  #2 (permalink)
Legendary Market Wizard
Houston, TX
 
Experience: Advanced
Platform: XTrader and Cloud TT
Broker: Advantage Futures
Trading: Energy
 
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I've always been impressed with the way TT documented ADL, although documented is probably the wrong choice of words, as much of their training material was narrated video's. The page for Autospreader/ASE blocks can be found here.

https://www.tradingtechnologies.com/xtrader-help/adl/trading-blocks/ase-order-block/

As it indicates, you'll need to use Single Order Container Blocks to manage individual leg orders. On a simple two legged spread, the 'Branch Block illustration' shows how you can identify the individual legs. I'm not sure what you would do if it was a more complicated, basket or multi leg spread though.

In general I think you'll be better fared asking questions like this in the TT ADL Community than you will here, although even that isn't as good as their old forums were!

https://community.tradingtechnologies.com/topics/ADL%c2%ae.html

Good Luck

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  #3 (permalink)
KL + Selangor/Malaysia
 
Experience: Intermediate
Platform: NT
Trading: GC,SI,CL
 
Posts: 10 since Sep 2019
Thanks: 2 given, 3 received


Thank you my Wizard

The TT documentation looks great and in fact I just realized that TT also having the narrated video that you mention based on Xtrader version, not sure will TT also redo the video using the new TT platform.

I think I understood the concept of the single order container block and hopefully be able to materialize the mishedge management algo easily. I think the new TT ADL is combining the use of same order block with the "autospreader" option, hence there is no longer ASE order block.

I will just do a simple mishedge calendar spread from autospreader, if there is more complex situation I will consult you and the TT community.

Thanks

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  #4 (permalink)
Legendary Market Wizard
Houston, TX
 
Experience: Advanced
Platform: XTrader and Cloud TT
Broker: Advantage Futures
Trading: Energy
 
Posts: 3,483 since Dec 2013
Thanks: 2,781 given, 6,552 received

It's actually not that difficult to code your own simple autospreader in ADL. The problem is things like Slop, Queue Holder, Lean Logic etc quickly make it non-simple and a lot more difficult. Hence if you don't need things like that then you may want to consider just writing your own spreader.

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  #5 (permalink)
KL + Selangor/Malaysia
 
Experience: Intermediate
Platform: NT
Trading: GC,SI,CL
 
Posts: 10 since Sep 2019
Thanks: 2 given, 3 received

Am I right that the standard Autospreader will stop quoting until any mishedge is clear before resuming the quoting? Any way to change this setting to keep quoting even with existing mishedge?

I have never thought of writing own Autospreader on ADL but if it could be done easily or somewhere available a draft ADL that will be something to be explore in the future.

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  #6 (permalink)
Legendary Market Wizard
Houston, TX
 
Experience: Advanced
Platform: XTrader and Cloud TT
Broker: Advantage Futures
Trading: Energy
 
Posts: 3,483 since Dec 2013
Thanks: 2,781 given, 6,552 received


cyberjames2019 View Post
Am I right that the standard Autospreader will stop quoting until any mishedge is clear before resuming the quoting? Any way to change this setting to keep quoting even with existing mishedge?

If an autospreader is working say 20 lots and it gets filled on one leg for say 10 lots, but misses the hedge on the second leg, then the autospreader will a) continue to work the missed leg and b) continue working the remaining 10 lots. If on the other hand it got a fill for 20 lots, and missed that leg, it would not reload the autospreader volume (assuming there is a reload volume) until the missed legged was obtained.


cyberjames2019 View Post
I have never thought of writing own Autospreader on ADL but if it could be done easily or somewhere available a draft ADL that will be something to be explore in the future.

A simple version really isn't difficult. If trying to buy the AB spread, check price of A offer, work offer in B equal to A-Spread. When filled send order in A at B fill price + Spread.

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  #7 (permalink)
KL + Selangor/Malaysia
 
Experience: Intermediate
Platform: NT
Trading: GC,SI,CL
 
Posts: 10 since Sep 2019
Thanks: 2 given, 3 received

Hello @SMCJB Wizard

In the case of mishedge while the AS continue to work on the missed leg to get fill, this is where the OMA comes into the picture. How would you design your OMA in this case? Will you customize the AS with auto OMA launching or you will prefer to have the flexibility to launch the OMA manually? If so what are the things that you need to pay attention in term of the design?

If the customize AS auto launch the OMA during missed leg then am I right to say that two processes are happen concurrently i) customize AS continue to work out the missed leg ii) customize AS auto launch the OMA to help to manage the missed leg by paying up or buy/sell at market, and at the same time, can OMA be manually launch for the same missed leg?

I would like to know how great extend the TT ADL flexibility and design is allowing and how easily it is?

Thanks

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November 5, 2019


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