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Running Algorithms

Overview

After an algorithm has been deployed to a Algo SE server, any trader who can see the algorithm, based on the visibility and sharing rules described in Sharing Algorithms in a Single-Broker Environment, can run one or more instances of it.

To run an algorithm on a TT Algo Strategy Engine Server:

  • The Algo SE server and the user running the algorithm must be logged into every TT Gateway associated with the instruments potentially used by the algorithm. This list includes both the instruments hard-coded in the algorithm and the instruments specified as algorithm input parameters, if applicable.
  • For each TT Gateway, the Algo SE server’s login credentials must be a superset of a user’s TT Gateway login credentials, because the Algo SE server must be able to see all of the user’s orders and fills for risk calculations. For more information, refer to Determining TT Gateway Login Credentials with Dynamic Connections Disabled.

If a user runs an algorithm for a closed market, the Algo SE server holds the algorithm in a “Starting” state. When the market opens, the algorithm enters a “Working” state.

Sharing Running Algorithms

Users who need to share running instances of algorithms on a server must be configured with credentials that allow order book sharing on the server as well as all TT Gateways corresponding to the list of potential instruments that will be used by the algorithm. For example, suppose a trader named Casey runs an algorithm that routes orders for a CME contract. Casey uses the following credentials:

  • AlgoSE: TTORDAB/001/001, which maps to exchange trader ID, TTAlgSE/SE1/001
  • CME: TTORDAB/001/001, which maps to exchange trader ID, ABC/ABC/ABC

The following table illustrates whether other traders with different credentials can see Casey’s running algorithm.

CredentialsVisible?Reason

AlgoSE: TTORDAB/001/002 CME: TTORDAB/001/002

Y

The Algo SE credentials have the same M/G values (TTORDAB/001), and the CME credentials have the same M/G values (TTORDAB/001).

AlgoSE: TTAlgSE/SE1/002 CME: ABC/ABC/001

Y

The Algo SE credentials have the same M/G values (TTAlgSE/SE1) as the exchange trader to which TTORDAB/001/001 is mapped, and the CME credentials have the same M/G values (ABC/ABC) as the exchange trader to which TTORDAB/001/001 is mapped.

AlgoSE: TTAlgSE/SE1/001 CME: TTORDZZ/001/002

N

The Algo SE credentials have the same M/G values (TTAlgSE/SE1) as the exchange trader to which TTORDAB/001/001 is mapped, but the CME credentials have a different Member ID (TTORDZZ vs. TTORDAB).

AlgoSE: TTAlgSE/SE2/002 CME: TTORDAB/001/002

N

The CME credentials have the same M/G values (TTORDAB/001), but the Algo SE credentials have a different Group ID than the exchange trader to which TTORDAB/001/001 is mapped (SE2 vs. SE1). In this case, the trader can see the Exchange-native child orders, but cannot see the parent algorithm order.

AlgoSE: TTORDAB/001/002 CME: ABC/ABC/002

Y

The Algo SE credentials have the same M/G values (TTORDAB/001), and the CME credentials have the same M/G values (ABC/ABC) as the exchange trader to which TTORDAB/001/001 is mapped.

Note

Algo SE supports administrative access to the Algo SE Server and its algorithms so that administrators can monitor the algorithms and their underlying orders. However to view or delete an algorithm and child orders, you must log into the Algo SE Server and into the corresponding TT Gateways associated with the child orders that make up the algorithm. For example, if an administrator logs in to an Algo SE Server and a TT Gateway using TTADM/XXX/MGR, the administrator would be able to access all algorithms on the Algo SE for that TT Gateway.

Order Routing Credentials

Before running an algorithm, a trader must log into the TT Gateways through which Algo SE will route orders on their behalf. Algo SE uses the same credentials that the trader uses to log into a TT Gateway to route orders to the TT Gateway on their behalf.

For example, if Trader A logged into CME-D as TTORDPM/001/001 as well as Algo SE using TTAlgSE/SE1/001 and ran an algorithm that used contracts from CME-D, Algo SE would route orders using TTORDPM/001/001 as the credentials.