The TT Brisk Premium Order Type attempts to fill the order closer to when the order enters the market based on the order's Start Time. TT Brisk orders use the current day's trades and market data to minimize risk-adjusted slippage relative to the order's arrival price by creating a front-weighted trajectory vs forecast volume profile.
Note: At this time, TT Premium Order Types are not available in the Prod-SIM environment.
Prior to using any TT Premium Order Type, your administrator must enable access by updating the settings at the user level in the User Account Permissions settings or at the account level using the Account Restrictions settings in Setup.
Note: Some of the parameters listed below are optional and provided so you can enhance and customize the execution of your orders in the market.
Parameter Name | Required/Optional | Description | Default Value |
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Order Type | Required | Sets the order type for the parent order. Possible values include: | Market |
Stop Price | Conditional | The desired stop order's price level. Note: Required when Order Type is set to either Stop Market or Stop Limit. |
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Participation Rate | Optional | Gives the trader the option to set the maximum participation rate with respect to total eligible market activity. |
Null |
Aggression | Optional | Influences how strongly to tilt order trajectory (TT Close, TT Brisk), how tightly to track max participation (TT POV, TT Scale POV), or how tightly to follow an order schedule (TT TWAP+, TT VWAP+). For TT Brisk orders, this means:
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5 |
Tilt Mode | Optional | Determines the methodology used to tilt away from the a normal Volume-Weighted Average Price (VWAP)-based schedule for TT Brisk and TT Close algos.
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Model Driven |
Tracking | Optional | Allows trader to select between trend following and reversionary behavior. Supported values include:
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Null |
Brisk Limit Mode | Optional | Specifies whether the order should get more aggressive when opposite side quote price is at the limit price. This setting can be used to manage fill rate risk, increasing the expected fill rate if the market is nearing the limit price, at the cost of higher expected slippage on executed quantity. Possible values include:
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Null |
I Would Price | Optional | Price at which you would like to aggressively attempt to fill your order, regardless of the algorithm logic. Order aggressively tries to fill if the instrument reaches this price, irrespective of volume based tracking objectives. Should be lower than limit and arrival time ask prices for BUY orders, higher than limit and arrival time bid prices for SELL orders. |
Null |
Parameter Name | Required/Optional | Description | Default Value |
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Start Time | Required | Sets the date and time to start executing the synthetic order. Available settings include:
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Now |
End Time | Required | Sets the date and time to stop executing the logic of the synthetic order. Used as an alternative to setting Duration |
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Trigger Price | Optional | Enables the flip side of Stop Price functionality: if present, a Buy/Sell order activates once the Last Traded Price is less/greater than or equal to Trigger Price. Can be used in combination with Stop and Stop Limit orders for One-Cancels-Other (OCO) type behavior, where an order activates when the market reaches either a profit taking or stop loss price. |
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Post Trigger Dur | Optional | The Post Trigger Duration in minutes. If set greater than 0, will adjust EndTime once market reaches Stop Price or Trigger Price to earlier of EndTime or current time plus PostTrigger Duration minutes. |