TT Premium Order Types

TT VWAP Order+

VWAP

TT Volume-Weighted Average Price (VWAP) Premium Order Type uses historical intraday volume patterns to create a trade schedule that aims minimizes market impact. The TT VWAP fills the parent order by submitting smaller child orders into the market volume based schedule. It attempts to blend child orders into the volume traded and not stand out as a large portion in any one period's volume.

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 VWAP+ 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 Limit Stop Limit Stop Market	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 VWAP 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.