Functions and Features
The TT Algo Strategy Engine (Algo SE) is a server-class product that provides the ability to deploy and run custom algorithms developed using the ADL® (Algo Design Lab) in X_TRADER. Because of its multi-threaded concurrent architecture, Algo SE provides a highly scalable and high-performance solution. And latency can be minimized by locating the TT Algo Strategy Engine in close proximity to Exchanges and TT Gateways.
TT Gateway Support
When the RiskPLChecking configuration option is enable, the TT Algo Strategy Engine performs credit risk checking and, therefore, must be configured to connect to all TT Gateways to which users can route orders. Algo SE supports connectivity to all TT Gateways 7.15 or higher, with the following exceptions:
- TT Eurex 7.15 Gateway requires 7.15.3 or higher.
- TT BrokerTec, OSE, SGX, and TOCOM Gateway requires 7.16.6 or higher.
However, users should not route orders from their algos for contracts from TT FIX Gateways.
Additionally, the following gateways do not support algos that reprice stop orders. Using the Stop Trigger option in the ADL Order Block causes the gateway to reject the attempt to change the stop price and causes Algo SE to pause the algo.
- OSE Gateway
- SFE Gateway
- SGX Gateway
- TOCOM Gateway
Restrictions for Multiple Exchange-Flavor Gateways
TT Algo Strategy Engine cannot connect to both price servers and price proxies for multiple Exchange-Flavor Gateways, such as CME-A and CME-B. For example, suppose CME-A functions as a Price Server and that CME-B and CME-C have price proxies linked to the Price Server on CME-A. In this case, Algo SE can connect to CME-A or to CME-B and CME-C, but it cannot connect to all three or to any other combination.
TT User Setup on the environment dictates whether the AlgoSE is in single-broker or multi-broker mode.
The TT Algo Strategy Engine must be installed on a dedicated TT Server-Class machine with a minimum of eight CPU cores, such as a dual Quad-Core machine. Algo SE scales automatically for systems with additional CPU cores. For more information, refer to TT System Requirements
The installation script does not allow you to install the software on a system with fewer than eight CPU cores.
System Software Requirements
The Server on which Algo SE runs must have the following system software installed:
- Minimally, Windows Server 2003, Server Pack 2, 64-bit
- Microsoft .NET 4.0
TT Software Requirements
Usage of the TT Algo Strategy Engine also requires the following software:
- Clients connecting to Algo SE must use X_TRADER 7.12 with an X_TRADER Pro license.
- Administrators must use TT User Setup 7.4.12 or higher to configure users with permissions to deploy and run ADL algorithms.
The TT Algo Strategy Engine performs a risk check on all orders that it submits on behalf of algorithms using the risk limits associated with the user who launched the algorithm. You can disable the credit portion of risk checking for all TT Algo Strategy Engine users, if desired. For more information, see tt_algose.ini Parameters.
Algo SE does not support hot failover (e.g., two Algo SE servers cannot work in failover mode).
TT Algo Strategy Engine supports TT Gateways working in failover mode.