I noticed TT started to add much of the execution logic I am beginning to build into my algos.
Reset on revert — Reset the trade quantity counter back to zero, if the inside market backs away from the trigger price.
This is a much-needed one for those who trade by scalping order book and footprint charts.
Can someone from TT please show what this logic looks like in screen shots?!
Or even better showing the whole TT If Touched algo logic would be a H-U-G-E
Answer by Daniel · Mar 14 at 06:12 PM
Will they be available as part of the "Trigger an Algo from another Algo" feature mentioned?
They would cover a lot of the ADL logic many are constructing from scratch.Specifically combining a TT If Touch(vol threshold) with a TT Bracket(OCO) and TT Stop(Volume Qty Threshold).
btw any news of when that feature will be released?
Answer by Daniel · Mar 22 at 01:33 PM
Hi Damon...yes I understood when you mentioned it the first time!
I was just suggesting if someone can construct a small piece of the algo mentioned and not a whole conversion...thanks.Specifically just how and the cleanest way one would collect the current best bid and ask traded volume until a price change which would then reset the Value Accumulator blocks.
Answer by kevenhouse · Mar 24 at 09:29 PM
Regarding your last statement..." Specifically just how and the cleanest way one would collect the current best bid and ask traded volume until a price change which would then reset the Value Accumulator blocks."...have you come up with any ideas on how to do this? My methods are generating unfavorable edge cases.
Answer by kevenhouse · Mar 26 at 11:59 PM
Your first example works well. Although you'll find the "BoolChange" reset function doesn't take in account the Trade Quantity which triggered it.
To solve this, streamline your process, and reduce system latency, you'll probably be much better off using the "tradeIsHit" and "tradeIsTake" fields found within the "MsgInfoExtractor" block. I came across it by chance, as TT has yet provided documentation on those two fields (I believe).
Algo Dashboard and OMA 3 Answers