Introduction to Aggregator
Note: To use Aggregator, you need X_TRADER® Pro 7.17.50 or higher and Algo Strategy Engine (SE) 7.17.50 or higher.
To open Aggregator:
From the Control Panel, click the Window menu and choose Aggregator .
- or -
From the Control Panel, click the Aggregator icon.
Aggregation in X_TRADER® provides the presentation and trading of similar contracts in multiple markets on one trading interface (MD Trader) to achieve the best price. X_TRADER® 7.17.50 and higher along with Algo SE 7.17.50 or higher supports aggregation of cash fixed income products and futures contracts with the same tick size using the Aggregator window.
Aggregator features include:
- Aggregator MD Trader — Aggregates the markets of multiple instruments into a single market. Additional columns can be exposed on the Aggregator MD Trader to show the separate markets of each individual leg.
- Smart order routing — Aggregator allocates the user's desired quantity across the leg instruments to achieve the optimal price, using the user-specified configurations.
- Rebalance — Once the orders have been allocated across the leg instruments, the Aggregator continuously monitors all leg markets for liquidity that is immediately available for taking. On detection, the Aggregator will re-allocate resting orders to consume the liquidity, using the user-specified configurations.
- Autospreader with an Aggregator leg — You can configure Autospreader with one or more legs set to use an Aggregator. Autospreader treats the Aggregator leg as if it were a regular outright leg.
After creating an aggregated instrument, it is available to trade using the Instrument Explorer in the following windows:
- MD Trader
- Market Grid
In addition to trading aggregators using MD Trader, you can drag and drop aggregated instruments from the Aggregator Manager window to the Market Grid.
Note: When trading aggregated instruments in simulation mode, certain restrictions apply.
The following components make up Aggregator:
The Manager dialog box is your interface for all of your created aggregator instruments. It is takes you to the Configuration dialog box where you can create new aggregated instruments, edit existing ones, and set specific aggregator parameters.
Note: In addition to trading spreads using MD Trader, you can drag and drop aggregated instruments from the Aggregator Manager window to the Market Grid.
Creating an Aggregator Customer
In the Customer Defaults window, do the following:
- Choose AlgoSE in the Market field
- Type a valid account number
- Click to select the SEL field
- Optionally, select an Algo Strategy Engine in the Order GW field.
Once these customer names and accounts are created, choose the customer name for the aggregated instrument from the drop-down list in either the Aggregator MD Trader or the Market Grid.
Aggregator automatically applies the correct customer account information to the legs and aggregated instrument when you submit the order. Aggregator orders can be filtered by account in the Order Book and Fill Window.