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Trading with TT SIM

X_TRADER

When in simulation mode, traders have access to all X_TRADER® Pro functionality even if they do not have a production X_TRADER® Pro license.

Also, all X_TRADER® workspaces are portable between simulation and production. If a workspace is created and saved when connected to TT SIMTM, it will load and subscribe to prices for all products when opened in production. If a workspace is created and saved in production, it will load and subscribe to prices for all products when opened in simulation. Once in simulation, most X_TRADER® windows display a gold ‘Simulation Bar’ across the top.

The following windows do not contain the Simulation Bar:

  • Market Explorer
  • Create Strategies
  • Autospreader Manager
  • Alerts Manager
  • Plug-ins
  • Properties
  • ADL window

Strategies

At this time, TT SIM does not support strategy creation. However, you may access and trade all strategies that exist in the production markets. Market data for the strategies themselves will appear correctly in TT SIM. However, since TT SIM includes your trades that have entered the simulated market, you may see different prices on the leg fills than are actually being traded in production.

Spreads

You must observe the following when trading spreads with TT SIM:

  • Only calendar spreads are supported
  • TT SIM uses the following hierarchy when determining which market data to use for calculating the underlying leg prices:
    1. Inside market
    2. Last traded price
    3. Settlement price

Implieds

TT SIM now merges exchange-provided implieds with the direct prices. The exchange-provided implieds are forwarded to the TT SIM matching engine and appear merged with the direct prices in the TT SIM price feed, but do not appear in the Implieds column in X_TRADER.

Audit Trail

When in simulation, the Audit Trail only reflects transactions that are specific to TT SIM. TT SIM generates a separate, simulation version of the auditlog_date.mdb in the ttlogfilessim.

Algo Strategy Engine

TT SIM installs with a free, local version of the Algo Strategy Engine. The local Algo Strategy Engine runs on the trader’s workstation and is only accessible in simulation mode. This allows traders to fully test ADL strategies even if they do not have access to a licensed network Algo Strategy Engine.

Note

In Guardian, the local Algo Strategy Engine (and all sim available TT Gateways) appear with the same IP address of the local workstation.

When launching strategies, traders will need to select the local Algo Strategy Engine in the Algo Dashboard window. To allow easy access to the same strategies in both simulation and production mode, traders should store all strategies in the same folder.Strategies that are designed and launched in Algo Strategy Engine in TT SIM mode can be edited and launched in production. Conversely, strategies that are edited and launched in production mode may be edited and launched in TT SIM mode. Both of these scenarios do not require additional changes to be performed.

Synthetic Strategy Engine

TT SIM includes a simulated Synthetic SE server which runs locally on the X_TRADER workstation when operating in simulation mode. Synthetic orders provide functionality that is not natively supported by the exchange allowing users to reduce market impact and improve the timing of conditional execution.

TT SIM supports the following synthetic order types individually and in combinations:

  • Timed (Start Date/Time, End Date/Time)
  • Triggered (Stops, If Touched)
  • Trailing (Stops, If Touched, Limit)
  • Sliced (Iceberg, Time Sliced, Volume Sliced, Time Duration, Volume Duration)
  • Retry (Machine Gun)
  • Stop, If Touched, Trailing Stop, Trailing If Touched, and Iceberg orders are native on some exchanges. The Override Native checkbox found in the Order Pane allows users to send natively supported order types to the Synthetic Strategy Engine (Synthetic SE) instead of directly to the exchange.
Note

TT SIM 7.16.2 or higher supports the Synthetic Strategy Engine’s staged orders functionality.

X_STUDY

When in simulation mode, X_STUDY® users can continue to view updated charts. All TT SIM trades and activity will be reflected in X_STUDY® until the user switches back to production mode. Switching back to production mode clears all trades and data generated in simulation and allows X_STUDY® to provide an accurate view of production market activity.

Note

X_STUDY® requires access to a production version of the Financial Market Data Server (FMDS).

Creating Custom Markets

Following a market close, TT SIM continues to display market data based on the last snapshot received from the exchange. In addition, TT SIM responds to orders entered by the user. By leveraging multiple customer accounts, users can create custom markets after the market close.

Note

Users may disable this functionality by using the ‘Avoid orders that cross’ setting in TT User Setup.

To create a custom market:

  1. Leave X_TRADER® in simulation mode and connected to the exchange through the market close.
    Note

    The Price Server must be active and subscribed to the products while the contracts are available.

  2. Create multiple, unique customers in the Customer Defaults window. Each should use a unique account number.
  3. In MD Trader, open the product(s) you would like to create a custom market. X_TRADER® displays the most recent snapshot of market activity.
  4. Right-click the MD Trader window and enable the View My Orders Only and Filter by Customer Account options.
  5. Right-click the MD Trader window and select Clone. A second MD Trader window appears.
  6. Select a different account in each MD Trader window. You may now enter separate orders and launch different algos in each window and monitor the effect in the custom market.
  7. You may enter additional MD Trader window with separate customer accounts to create a larger market.