TT Premium Order Types

TT Premium Order Types

TT TWAP+ order

Overview

TT Time-Weighted Average Price (TWAP) Premium Order Types executes a desired order quantity at nearly a linear rate. This results in the parent order executing at an average price over time. The order executes child orders evenly for the period set between the configured Start Time and 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 TWAP+ 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 TWAP orders, this means:

  • Setting to 0 provides the maximum fluctuation from the parent order schedule.
  • Setting to 5 means the order can be somewhat passive, still following the parent order schedule but includes some flexibility for passive fills.
  • Setting to 10 equals following the parent order schedule as closely as possible.
 5
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.

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