Try TT Now

ADL®

Value Extractor Block

Operations
  1. A discrete event message triggers the Value Extractor Block.
  2. Upon trigger, the Value Extractor takes a "snapshot" of the information specified by the user (specified by double-clicking on the block). The user may choose to take a snapshot of information contained within the or information unrelated to .
  3. After the taking the snapshot, the Value Extractor Block passes the original message unchanged through its lower-right port and starts to output the snapshot as .

    • As indicated by the yellow output port, can be a Numeric, True/False or an Instrument type depending on the type of information captured by the snapshot.

View: Details

Details
  • The Value Extractor Block is commonly used to take a snapshot of information that may be constantly changing in the market, such as the bid quantity of a given instrument. By taking a snapshot, the user can capture the information at a single moment in time and use the "frozen" information later on even if the market continues to change. However, when a new discrete event message triggers the Value Extractor Block, the block will replace the old snapshot with a new one.
  • The Value Extractor Block can also be used as a "toggle" to indicate the occurrence of a specific event in the market. To do this, the user can instruct a Value Extractor Block to take a snapshot of the numeric value "1" (in the internal logic canvas, drag and drop the "#" icon onto the canvas and input the value "1") when triggered by a discrete event message. Before the discrete event message occurs, the Value Extractor Block will output the default value of zero. However, when the discrete event message occurs, the Value Extractor Block will output a value of 1, indicating that the discrete event has occurred.

    Example. Using the Value Extractor Block as an event toggle

View: Double-Click Edit Window

Double-Click Edit Window

Double-click on the block to bring up an edit window:

  • Clicking on the formula link will display a green canvas where the user can define an equation which will determine the specific value to be captured by the snapshot at the moment the block is triggered by .

View: Using Internalized Logic Canvas

Internalized Logic Canvas

Internalized Logic Canvas: Several blocks in ADL contain an internalized logic canvas which can be accessed by double-clicking on the block.

Example. Internal Logic Canvas

The canvas is used to define user-made equations which will play an important role in the overall operation of the respective block. The following icons can be dragged onto the green canvas to define an equation:

  • : These icons can be linked to define an arithmetic equation or a True/False statement.
  • : The Block Value Icon allows the user to reference the output of any other block in the algorithm. When dragged onto the canvas, the Block Value Icon will display a menu from which the user will be able to choose a block within the algorithm (except for the blocks contained in a virtualized block).
  • : The Message Info Icon allows the user to extract certain information embedded within a discrete event message, such as a Fill Confirmation Message. When dragged onto the canvas, the Message Info Icon will display the following selectable fields:

    Field Description
    Limit The price of the respective order or the order about to be submitted
    OrderQty The total order quantity of the respective order or the order about to be submitted
    WorkingQty The working quantity of the respective order or the order about to be submitted
    FillPrice Fill price
    FillQty Fill quantity
    Instrument Instrument of the submitted order
    ExeQty Total filled quantity of the respective order
    DisclosedQty The disclosed quantity or percentage (%) of total goal quantity viewable to the market
    DeletedQty The canceled quantity of the deleted order or the order about to be deleted
    IsBuy When this field is selected, the respective block will evaluate the user's fill confirmations messages (not trade data message disseminated by the exchange) and will output a Boolean value of TRUE if the user's fill was a buy side execution
    StopTrigger The price at which the respective stop-limit or stop-market order is activated
    TradeQty Quantity of the last trade for a specific instrument
    TradePrice Price of the last trade for a specific instrument
    IsQuotingOrder Applies to discrete event messages generated by an ASE Order Block. The field will output a Boolean value of TRUE if the message was generated from an order submission for the quote leg of the respective spread
    IsHedgeOrder Applies to discrete event messages generated by an ASE Order Block. The field will output a Boolean value of TRUE if the message was generated from an order submission for the hedge leg of the respective spread
    User Field 1 - 4 An empty field that can be populated with a value using a Value Injector Block. The value may then be extracted using a Value Extractor Block