Try TT Now

X_TRADER®

Aggregator Configuration

You are viewing X_TRADER Version 7.17 and higher. For earlier versions, click here

Use the X_TRADER® Aggregator Configuration dialog box to configure and control the behavior of the aggregated instrument as it trades. After you add legs to this window, configure the optimal aggregated instrument parameters based on your trading needs and click OK to save. To leave this window without saving your changes, click Cancel.

Note: You can open, but not edit, an Aggregator Configuration dialog box if the aggregated instrument has working child orders.

Opening the Aggregator Configuration Dialog Box Field

You can open the Configuration Dialog Box by selecting New... or Edit... when creating or modifying an aggregated instrument in the Aggregator Manager window.

Aggregator Configuration Dialog Box Field Descriptions

After adding legs to the aggregated instrument, configure the optimal parameters based on your needs and click OK to save them. To leave this window without saving your changes, click Cancel.

Configuration parameters are grouped as follows:

  • Taking -- This mode is used when an Aggregator order is submitted to cross the market when there is liquidity immediately available for taking at submission time. The “Taking” parameters dictate the ratio of allocation across the legs.
  • Joining -- This mode is used when an Aggregator order is submitted to join the market when there is no liquidity immediately available for taking at submission time. The “Joining” parameter dictates the ratio of allocation across the legs.
  • Rebalance -- Use these parameters to configure Aggregator’s rebalancing function. Aggregator monitors all leg markets for liquidity available for immediate taking. If liquidity on the target price appears on one leg with no working orders, then Aggregator rebalances the resting order quantities into the available liquidity based on your configured percentage. That is, Aggregator moves the orders from the less favorable market to the most favorable market.
  • Tick Information -- Displays calculated tick size based on the contract tick size. The contract selected for each leg of the aggregated instrument must have the same tick information. These parameters are populated automatically for each contract.

Aggregator Configuration Parameters

Field Description
Taking

Routing Mode

Aggregator always routes the order to the exchange with the best price: A buy order is always routed to the exchange that ensures a fill at the lowest price, and a sell order is always be routed to the exchange that ensures a fill at the highest price.

Until the submitted order quantity is matched, Aggregator continues looking for the best price equal to or better than the Limit price of the order.

If the best price is available at multiple exchanges, then order routing is based on the following Routing Mode settings:

  • Best Rank Ratio: Orders are routed in parallel to each exchange with order quantities selected based on the rank in which legs are configured: the leg that is configured first is ranked first, the leg configured second is ranked second, etc. When aggregator splits an order based on this setting, the displayed quantity in the first exchange is filled before the second exchange is considered, and so on.
  • Split Ratio: In this mode, Aggregator routes the order quantities to exchanges based on a configured ratio. By default, the ratio is equal for each leg. Any leftover quantity after splitting is allocated to the leg with the highest ratio. If the ratio is the same in this case, then Aggregator routes the order based on which leg is configured first.
  • Size Ratio: If this mode is selected, then the order quantity routed to each exchange is determined based on the ratio of the existing order quantity at the best price. In this mode, orders are routed to the exchange with the most orders at the best price, which increases the chances of getting filled.

For an example of how Aggregator allocates order quantity to each leg in Taking mode, refer to Example: Taking Mode.

Joining

Joining Ratio

When Aggregator joins the bid or offer passively, orders are routed to the exchanges based on the configured constant ratio. Any leftover quantity after splitting is allocated to the first leg. The default setting is an equal percentage for each order quantity.

Rebalance

Timer (milliseconds)r

Sets the time to wait between successive rebalancing. Time is in milliseconds, with a default of 1 ms. Note: setting a wait time between successive rebalancing is strongly recommended. A "market turn" in one leg (resulting in immediate liquidity available for taking) could indicate an imminent market turn in other legs which would preempt the need for rebalancing.
Rebalancing % For each leg, sets the percentage of working order quantity that is re-allocated during each rebalancing cycle. By default, this is set to 100 (%) for each leg.
Tick Information

Minimum Tick Increment

(Uneditable field)

Displays the minimum tick size for contracts in the aggregated instrument legs. The value is defined by the exchange.

Example: Some instruments may tick in 64ths, while others may tick in 32nds.

Numerator (Uneditable field) Displays the top number of a fractional tick increment.
Denominator (Uneditable field) Displays the bottom number of a fractional tick increment.

Aggregator Preview Ladder

After configuring the legs of the aggregated instrument, the aggregated prices display in the Aggregator Preview Ladder in the Configuration Dialog Box. The Aggregator Preview ladder shows the number of current bids and offers at each price level in the aggregated market, which allows you to preview what is displayed in MD Trader before launching the aggregated instrument.

Example: Taking Mode

In Taking mode, Aggregator allocates quantities to each leg throughout five distinct phases. At the end of the last phase, Aggregator sums up the quantities per leg and submits a single order for each leg. The five phases are:

Phase 1 -- Aggregator allocates sufficient quantity to "sweep" the liquidity available for taking up to, but not including, the target price. For example, if...

  • Aggregator Target Price = 2010.25
  • Aggregator Target Qty = 1000
  • Leg 1 has 10 contracts available for taking below the target price
  • Leg 2 has 10 contracts available for taking below the target price
  • Leg 3 has 20 contracts available for taking below the target price

Then in Phase 1, Aggregator allocates...

  • Leg 1: 10 contracts
  • Leg 2: 10 contracts
  • Leg 3: 20 contracts

Because there are 960 contracts left to allocate (Target Qty 1000 - 40 allocated contracts), Aggregator continues to Phase 2.

Phase 2 -- Aggregator allocates quantity at the target price. In this example, all available liquidity below the target price has been consumed in Phase 1. For each leg, Aggregator allocates the lesser of: The quantity based on your Routing Mode parameter setting (Best Rank Ratio, Split Ratio, Size Ratio) vs. available liquidity at the target price. For example, if...

  • Routing Mode = Best Rank Ratio
  • Leg 1 has 50 contracts available at target price
  • Leg 2 has 80 contracts available at target price
  • Leg 3 has 500 contracts available at target price

Then in Phase 2, Aggregator allocates...

  • Leg 1: 50 contracts
  • Leg 2: 0 contracts
  • Leg 3: 0 contracts

Because there are 910 contracts left to allocate, Aggregator continues to Phase 3.

Phase 3 -- Aggregator scans the legs starting with Leg 1 and allocates sufficient quantity to take all remaining liquidity at the target price. For example, after Phase 2...

  • Leg 1 has 0 contracts available at target price
  • Leg 2 has 80 contracts available at target price
  • Leg 3 has 500 contracts available at target price

Then in Phase 3, Aggregator allocates...

  • Leg 1: 0 contracts
  • Leg 2: 80 contracts
  • Leg 3: 500 contracts

Because there are 330 contracts now left to allocate, Aggregator continues to Phase 4.

Phase 4 -- Aggregator allocates the remaining contracts among the legs. For example, after Phase 3...

  • Routing Mode = Best Rank Ratio (If Routing Mode is not set to “Split Ratio” in Phase 4, then the quantity is divided evenly among all legs)
  • Leg 1 has 0 contracts available at target price
  • Leg 2 has 0 contracts available at target price
  • Leg 3 has 0 contracts available at target price
  • Remaining order quantity is 330

In Phase 4, Aggregator allocates...

  • Leg 1: 110 contracts
  • Leg 2: 110 contracts
  • Leg 3: 110 contracts

Any odd number of leftover contracts are allocated to the first leg. Because there are 0 contracts now left to allocate, Aggregator continues to Phase 5.

Phase 5 -- Aggregator sums up the contract quantities allocated to each leg per Phase, and submits a single order for each leg. For example, after Phase 4, Aggregator submits the following orders...

  • Leg 1: 170-lot order (10+50+0+110)
  • Leg 2: 200-lot order (10+0+80+110)
  • Leg 3: 630-lot order (20+0+500+110)

The sum of the three leg orders is equal to the Aggregator Target Qty: 170+200+630 = 1000