TT Premium Order Types

TT Premium Order Types

TT Close order

Overview

The TT Close Premium Order Type attempts to fill the order close to a targeted price at a desired end time. A common use case would be attempting to fill the order near to either the close price or the settlement price.

TT Close orders use the current day's trades and market data to minimize risk-adjusted slippage relative to the selected end time price by creating a back-weighted trajectory vs forecast volume profiles. Aggression parameter influences how strongly to tilt the trajectory towards the order end time.

Note: At this time, TT Premium Order Types are not available in the Prod-SIM environment.

Prerequisites

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.

TT Close order parameters

Order Details parameters

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
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.

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 Close orders, this means:

  • Lower aggression (e.g. 0) trades close to a normal VWAP curve.
  • Mid/Default aggression (e.g.5) trades more passively upfront than VWAP based upon product-specific optimizations to balance the risk of market impact vs end-price drift by reserving more quantity for the end of the order.
  • High aggression (e.g. 10) trades most passively with respect to a standard VWAP, expressing greater preference for minimizing end-price drift by executing with most tilt towards the end time.
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.

  • Model Driven: Uses the instrument's liquidity and volatility profile to determine the strength of the tilt.

    This setting results in the tilt, compared to a normal VWAP schedule, being more pronounced with higher Aggression setting, higher instrument liquidity, higher instrument volatility, and longer order duration.

  • Simple: The strength of the tilt is determined by the Aggression level and applied as a simple, linear shift vs a VWAP+ order trajectory. Higher Aggression levels will result in the order being shifted further away from VWAP+.
Model Driven
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

Precondition Details parameters

Parameter Name Required/Optional Description Default Value
Start Time Required

Sets the date and time to start executing the synthetic order. Available settings include:

  • Now to start the synthetic order immediately
  • Time to display a date/time picker so you can indicate when to start the synthetic order.
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

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.

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.