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ADL®

Algorithm Behavior At Market Close and Disconnect

ADL provides the following options which can be used in combination to instruct an algorithm to behave in a specific manner at market close:

  • Ignore Market State: This option applies to an entire algorithm. When this option is enabled, the respective algorithm will continue running even if an Instrument (used in the algorithm) closes.
  • Leave Orders On Pause: This option applies to a single child order of an algorithm. When this option is enabled for an order, the order will be left in the market when the parent algorithm is paused (see: Leave Orders On Pause Or Cancel for more information).
  • Leave Orders On Cancel: This option applies to a single child order of an algorithm. When this option is enabled for an order, the order will be left in the market when the parent algorithm is canceled (see: Leave Orders On Pause Or Cancel for more information).
  • GTC: This option applies to a single child order of an algorithm. When this option is enabled for an order, the order will be recognized by the respective exchange as a Good 'Till Cancel order (see: Order Block for more information).

The following table describes 8 possible combinations involving the options mentioned above. Each combination will instruct the algorithm and its child orders to take specific actions at market close.

Note: For each combination, "Order X" is mentioned frequently in the "Actions Taken Upon Launch" and "Actions Taken Upon Market Close" columns. Order X simply represents any order to which the respective combination of "Ignore Market State," "Leave On Pause/Cancel," and "GTC" options were applied.

Warning: Regardless of any combination mentioned below, when an Algo SE Server loses connectivity to a TT Gateway for any reason, it pauses all algorithms that use that TT Gateway regardless of whether or not an algorithm has any currently-working orders on the Gateway. Typically, TT Gateways are recycled on a daily basis which is perceived as a disconnect from the perspective of the related Algo SE server. Paused algorithms cannot be resumed until the Algo SE Server reconnects to the TT Gateway.

Ignore Market State: ON

 

Market StateLeave On PauseLeave On CancelGTCActions Taken Upon LaunchActions Taken Upon Market Close
On

On

 

On

On

  • Algorithm will immediately begin its operation, submitting relevant child orders.
  • If an order is rejected: the algorithm will pause and attempt to delete all child orders. However, the algorithm will leave Order X (assuming that Order X was added successfully).
  • If all orders are accepted: the algorithm will continue operation.

The algorithm will continue to run past the close and Order X will stay in the market untouched.

Off

The algorithm will continue to run past the close. However, the exchange will delete Order X from its book since the order is not a GTC order.

Off

On

The algorithm will continue to run past the close and Order X will stay in the market untouched.

Off

The algorithm will continue to run past the close. However, the exchange will delete Order X from its book since the order is not a GTC order.

Off

On

On

  • Algorithm will immediately begin its operation, submitting relevant child orders.
  • If an order is rejected: the algorithm will pause and attempt to delete all child orders.
  • If all orders are accepted: the algorithm will continue operation.
 

The algorithm will continue to run past the close and Order X will stay in the market untouched.

Off

The algorithm will continue to run past the close. However, the exchange will delete Order X from its book since the order is not a GTC order.

Off

On

The algorithm will continue to run past the close and Order X will stay in the market untouched.

Off

The algorithm will continue to run past the close. However, the exchange will delete Order X from its book since the order is not a GTC order.

Ignore Market State: OFF
Market StateLeave On PauseLeave On CancelGTCActions Taken Upon LaunchActions Taken Upon Market Close
Off

On

 

On

On

  • If the market is CLOSED**: Algorithm will immediately pause before it can submit any orders.
  • If the market is NOT CLOSED: Algorithm will immediately begin its operation, submitting relevant child orders.
  • If an order is rejected: the algorithm will pause and attempt to delete all child orders. However, the algorithm will leave Order X (assuming that Order X was added successfully).
  • If all orders are accepted: the algorithm will continue operation.

The algorithm will pause but leave Order X in the market. The exchange will also recognize Order X as a GTC order and leave it untouched.

Off

The algorithm will pause but leave Order X in the market. However, the exchange will delete Order X from its book since the order is not a GTC order.

Off

On

The algorithm will pause but leave Order X in the market. The exchange will also recognize Order X as a GTC order and leave it untouched.

Off

The algorithm will pause but leave Order X in the market. However, the exchange will delete Order X from its book since the order is not a GTC order.

Off

On

On

  • If the market is CLOSED**: Algorithm will immediately pause before it can submit any orders.
  • If the market is NOT CLOSED: Algorithm will immediately begin its operation, submitting relevant child orders.
  • If an order is rejected: the algorithm will pause and attempt to delete all child orders.
  • If all orders are accepted: the algorithm will continue operation.

The algorithm will pause and delete Order X.

Note: For exchanges that do not permit deletes immediately following the Close, the algorithm may go into a Failed state due to failed delete attempts.

Off

Off

On

Off

**Any of the following market states are defined as CLOSED: Closed, Closing Auction, Expired, Post Trading, Freeze (only for CME and CBOT)