ADL 101: Week 2 Syllabus

Transcription

1 ADL 101: Week 2 Syllabus TYPES OF MESSAGING CONTINUOUS MESSAGES A stream of information that is continuously disseminated by an exchange. For instance, the bid quantity available at a specific price level is considered to be a continuous message since this information is essentially a continuous stream of data available at all times. These are designated as blue, green, or red values output from the blocks on the Canvas. DISCRETE EVENT MESSAGES Information disseminated from or submitted to an exchange upon occurrences of market events that happen at a single moment in time (denoted as Discrete Events). For instance, a Fill Confirmation message from an exchange server is considered to be a discrete event message since this information is a pulse of data disseminated only at the moment of an order execution.

2 The following market events are considered to occur at a single moment in time: Fill Confirmation, Order Add Request/Confirmation, Order Modify Request/Confirmation, and Order Delete Request/Confirmation. Several designated blocks, such as the Order Block, may exchange discrete event messages directly with an exchange. When a block submits or receives a discrete event message, it will distribute a copy of the message throughout the rest of the algorithm in the form a single pulse. A discrete event message will flow through an algorithm via discrete event message ports. Example: The Order Block is one of several designated blocks in ADL which can submit and receive discrete event messages from an exchange server. Several blocks (such as the Generator Block) do not interact directly with an exchange, but can also send a pulse of discrete event message throughout an algorithm at user-defined moments. However, since such discrete event messages are not associated with any real requests or confirmations, these messages are void of information and merely provide the function of triggering downstream blocks to perform an action at user-defined moments (resetting a block's continuous output values). USING DISCRETE EVENT MESSAGES FOR TIMING PRECISION Discrete event messages have a key characteristic: when a block outputs a discrete event message pulse, an algorithm temporarily stops channeling continuous messages from the exchange servers. Continuous message channels will remain closed while the pulse of discrete event message propagates throughout the algorithm. In effect, this behavior will "freeze" the output of blocks such as the Field Block which channels streaming market data. In this static state, the pulse of discrete event message will traverse the pathway designed by the user, updating the output values of the blocks which lie in its path. Once this propagation is complete, the algorithm will resume channeling continuous messages from all exchange servers.

3 Note that such propagation takes place within microseconds and will not be perceivable in practice. With this mechanism, however, ADL allows the user to capture and use the market data existing precisely at the moment of a discrete event. The following is a simplified illustration of this mechanism in effect: 1. The diagram below shows an example of a Field Block (yellow block on the left) channeling a continuous numeric value into the Order Block (blue block on the right). The Field Block channels the best bid price of an instrument specified by the user, and the Order Block uses this streaming data to quote buy orders at the best bid price for the specified instrument with the specified quantity (instrument and quantity inputs are not shown in the illustration). 2. When one or more of the quoted orders are executed, the Order Block receives a Fill Confirmation message from the exchange server and outputs a discrete event message in the form of a single pulse. At this time, the algorithm stops channeling continuous messages from the exchange server. The pulse of discrete event message propagates through the algorithm, following the pathway designed by the user. It updates the output values of the blocks which lie in its path.

4 3. Once the propagation is complete, the algorithm resumes channeling continuous messages from the exchange server. TYPES OF PORTS DISCRETE EVENT MESSAGE PORT Inputs/outputs a special type of information called a discrete event message that is generated by several designated blocks whenever a significant market event (ex. fill) occurs. Specifically, discrete event messages are generated whenever the user's algorithm submits or receives a message from an exchange server. The messages range from add requests to fill confirmations. Discrete event message ports are colored in white or black, with the input in white and the output in black. JUMP BLOCKS Jump blocks are representations of block inputs and outputs that the user can place at many locations throughout the algorithm in order to avoid cluttering up the canvas with edges. There are two components of a jump block: the anchor jump block (green arrow) which represents the output of a block, and the destination jump block (red arrow) which represents the input of another block. The pair can replace a direct edge between two blocks. They work with both continuous and discrete messages.

5 INTERNALIZED FORMULA BUILDER ( GREEN CANVAS ) Several blocks in ADL contain an internalized logic canvas which can be accessed by doubleclicking on the block.

6 The green canvas is used to define user-made equations which will play an important role in the overall operation of the respective block. The icons from the Logical Operators, Numerical Operators, Variables, or Misc categories can be dragged onto the green canvas and linked together to define an equation. The Block Value Icon allows the user to reference the output of any other block in the algorithm. When dragged onto the canvas, the Block Value Icon will display a menu from which the user will be able to choose a block within the algorithm (except for the blocks contained in a virtualized block, which we ll cover in week 3). The Message Field Icon allows the user to extract certain information embedded within a discrete event message, such as a Fill Confirmation Message. When dragged onto the canvas, the Message Field Icon will display the following selectable fields: Field Description LimitPrice The price of the respective order or the order about to be submitted OrderQuantity The total order quantity of the respective order or the order about to be submitted WorkingQuantity The working quantity of the respective order or the order about to be submitted FillPrice Fill price FillQuantity Fill quantity CumQuantity Total filled quantity of the respective order

7 DisclosedQuantity The disclosed quantity or percentage (%) of total goal quantity viewable to the market DeletedQuantity The canceled quantity of the deleted order or the order about to be deleted TradeQuantity Quantity of the last trade for a specific instrument TradePrice Price of the last trade for a specific instrument StopTrigger The price at which the respective stop-limit or stop-market order is activated IsBuy When this field is selected, the respective block will evaluate the user's fill confirmations messages (not trade data message disseminated by the exchange) and will output a Boolean value of TRUE if the user's fill was a buy side execution IsQuotingOrder Applies to discrete event messages generated by an ASE (Autospreader) Order Block. The field will output a Boolean value of TRUE if the message was generated from an order submission for the quote leg of the respective spread IsHedgeOrder Applies to discrete event messages generated by an ASE (Autospreader) Order Block. The field will output a Boolean value of TRUE if the message was generated from an order submission for the hedge leg of the respective spread Instrument Instrument of the submitted order User Field 1-4 An empty field that can be populated with a value using a Value Injector Block. The value may then be extracted using a Value Extractor Block

8 BLOCKS ORDER BLOCK The Order Block will submit a buy or sell order to the exchange. When the current working order is executed, a discrete event message is generated from the Fills output port. Using the discrete event output ports allows for additional logic to be performed at several key moments during an order's lifecycle. For instance, the user may connect a Value Extractor Block to the Add OK port to take a snapshot when the Order Block receives an order add confirmation message from the respective exchange.

9 WHEN EXTERNAL MODIFICATION OCCURS: o Ignore: The Order Block will not go dormant when its child order is externally modified by a user. If the modification was a delete, the Order Block will immediately try to add another child order. If the modification involved a price or quantity change, the Order Block will honor the new price or quantity until one of its input values changes. o Stop Managing: If the user manually deletes or modifies an order generated by the Order Block, it will relinquish control over to the user, but a discrete event fill message will still be generated upon order executions. To be specific, the Order Block will ignore left-side inputs, but still generate values from the right-side outputs. If the user pauses and resumes the algorithm, the Order Block will attempt to re-locate its managed order and re-take control. If it cannot locate the order, the Order Block will compare the number of fills it has achieved so far against the user-specified input quantity and submit a new order for the remaining balance. o Detach: If the user manually deletes or modifies an order generated by the Order Block, it will completely relinquish control over to the user. To be specific, the Order Block will ignore left-side inputs and won t generate messages from the right-side outputs. The only setting that will still apply is the Leave Child Order On selection that the user makes. LEAVE CHILD ORDER ON: o Pause: When this option is checked, orders generated by the Order Block remain in the order book even if the algorithm is paused. o Cancel: When this option is checked, orders generated by the Order Block remain in the order book even if the algorithm is canceled.

10 DISCRETE ORDER BLOCK When a discrete event message triggers the Discrete Order Block, it submits a one-shot order for the specified instrument at the price, quantity, and condition specified by the user. A discrete event message is generated from the Add OK output upon receiving an order add confirmation. Using the discrete event output ports allows for additional logic to be performed at several key moments during an order's lifecycle. For instance, the user may connect a Value Extractor Block to the Add OK port to take a snapshot when the Order Block receives an order add confirmation message from the respective exchange. As the generated order is a "one-shot" order, the Discrete Order Block will not update the working order to reflect any changes in the inputs after the initial submission. However, the block will delete the working order when the user pauses or stops his algorithm. In addition, the block will not resubmit when the generated order is automatically or manually deleted. Double-click on the block to bring up the Block Editor:

11 Clicking on the formula links will display a green canvas where the user can specify the Price, Quantity, and Conditions that define the "one-shot" order which will be submitted by the Discrete Order Block when it is triggered by a discrete message. SIDE: Select Buy or Sell from the drop-down menu to designate an order entry side. FLIP FOR SELL: Just like the Order Block, the Discrete Order Block also has FlipForSell functionality. Many automated strategies in ADL will have nearly identical buy and sell side routines, with certain blocks acting as "pivot" points. To enable a single algorithm to act either as buy or sell side routine as needed, several blocks in ADL will have the option "Flip For Sell." This option enables them to perform an alternate function depending on the user's selection of the Order Side Variable (either BUY or SELL). The user must set this variable prior to launching an algorithm. When this functionality is enabled, the Discrete Order Block will either submit Buy or Sell orders depending on the user's selection of the Order Side Variable. The user may alter the Order Side variable by using the Order Side drop-down menu located on the right side of the ADL Toolbar.

12 TIF (Time-in-Force): Use the drop-down menu to select the time-in-force designation for the order. This allows traders to be more specific about the time parameters in which an order is activated. o Day: Order works until the close of the trading day, and then it is cancelled. o GTC: (Good Till Canceled): Order works until it is either completely filled, you cancel it, or the contract expires. o IOC (Immediate or Cancel): Order that immediately fills to the extent possible; the remaining balance is canceled. o FOK (Fill or Kill): Entire order fills immediately or the order is immediately canceled. LEAVE CHILD ORDER ON: o Pause: When this option is checked, orders generated by the Order Block remain in the order book even if the algorithm is paused. o Cancel: When this option is checked, orders generated by the Order Block remain in the order book even if the algorithm is canceled. TIME AND SALES BLOCK Whenever a trade occurs for the specified instrument, the Time And Sales Block outputs a discrete event message containing information regarding the last trade (trade price or quantity). You can use a MsgInfo Extractor, a Value Extractor, or a Value Accumulator Block to withdraw the information within these discrete event messages for later use in your algorithms.

13 GENERATOR BLOCK The Generator Block produces an empty discrete event message depending on what mode it is set to. The Generator Block can be used to trigger other Discrete Blocks at precise moments in time. Double-click on the block to bring up the Block Editor. MODES: o TimeInterval: When selected, the Generator Block will generate a discrete message at a time interval (in milliseconds) set by the user. The input Boolean ports allow you to enable the Generator Block when a Boolean output port of another block is true, and you have the option to set up repeating messages. If there is nothing connected to the repeating Boolean input, the Generator block will fire only once. Connect any numeric block to the periodms input port to determine the frequency (in milliseconds) of your output discrete messages.

14 o BoolChange: When selected, the Generator Block exposes a True/False input port. The block will generate a message when this True/False input changes from FALSE to TRUE and from TRUE to FALSE. o BoolTrue: When selected, the Generator Block exposes a True/False input port. The block will generate a message when this True/False input changes from FALSE to TRUE. o EveryStart: When selected, the Generator Block will generate a message at the launch of the algorithm and every time the algorithm is paused and then resumed. o InitialStart: When selected, the Generator Block generates a message once at the launch of the algorithm, and will be inactive for the life of the algorithm. o AtStartTime: When selected, the Generator Block exposes numeric input ports depending on the Connectors setting in the Block Editor. When UTC Time is

15 selected, the hour, minute, second, and millisecond input ports are exposed. With UTC Date, additional input ports for year, month, and day are enabled. The block will generate a single discrete message at the specified time and date set by the user. You must connect a numeric input into all exposed input ports. Currently, this block operates on the 24 hour clock in the UTC time zone. For example, if you want to generate a discrete message at 2pm CST, you would enter in 20 for the hour (8pm UTC). o UserTrigger: When selected, the Generator Block exposes a button in the Algo Dashboard. While the algo is running from the dashboard, the user can click the button to manually fire off a discrete message. We cover the Algo Dashboard in Week 3 of our 101 course. DETAILS ON TIMING When using the Generator Block, it is important to know the exact timing at which the discrete event messages are generated. When InitialStart or EveryStart is selected, the following sequence of events occurs when the algorithm is started: 1. All actor blocks (blocks that can take tangible actions such as placing an order) first perform their actions.

16 2. The Generator Block generates and pushes a discrete event message downstream. Example: Generator Block set to InitialStart In this example, the following sequence of events occurs when the algorithm is started: 1. The Order Block places an order at the best bid price of the selected instrument. 2. The Generator Block (set to InitialStart ) generates and pushes a discrete event message downstream, instructing the Order Block to delete the order. When a Generator Block with a Boolean input is selected, a continuous update changes the value of the Boolean input on the Generator Block and the following sequence of events occurs: 1. The Generator Block does not generate a discrete event message immediately. It allows the continuous update to propagate completely throughout the algorithm. 2. All actor blocks (blocks that can take tangible actions such as placing an order) first take their actions. 3. The Generator Block generates and pushes a discrete event message downstream.

17 BOOLEAN BLOCK The Boolean output will be TRUE or FALSE, whichever is set by the user (set by double-clicking on the block). The Boolean Block can be declared as a User Defined Variable. The Boolean Block can also be declared as an Order Side Variable, meaning that the value will alternate depending on the user's selection of the Order Side Variable. A User Defined Boolean Block can function effectively as an on/off "switch" to activate and deactivate parts of the user's algorithm.

18 MSGINFO EXTRACTOR BLOCK A discrete event message triggers the MsgInfo Extractor Block. Upon trigger, the MsgInfo Extractor takes a "snapshot" of the information specified by the user within the Block Editor. The user may check any of the message fields inside to expose the respective continuous output ports. You can only take a snapshot of information contained within the message. After the taking the snapshot, the MsgInfo Extractor Block first outputs the snapshot as a continuous message out of the continuous message port(s), then passes the original discrete message unchanged through its lower-right discrete message port. This block is beneficial to use as a tester to see what types of fields can be withdrawn from certain discrete message output ports. For example, the discrete message output from the Order Block s Fills port will contain different fields inside than discrete messages output from a Time and Sales Block.

19 VALUE EXTRACTOR BLOCK A discrete event message triggers the Value Extractor Block. Upon trigger, the Value Extractor takes a "snapshot" of the information specified by the user (specified by the Formula Builder within the Block Editor). The user may choose to take a snapshot of information contained within the message or information unrelated to the message. After the taking the snapshot, the Value Extractor Block first outputs the snapshot as a continuous message out of the continuous message port, then passes the original discrete message unchanged through its lower-right discrete message port. o As indicated by the yellow output port, the continuous output port can be a Numeric, True/False (Boolean) or an Instrument type depending on the type of information captured by the snapshot. The Value Extractor Block is commonly used to take a snapshot of information that may be constantly changing in the market, such as the bid quantity of a given instrument. By taking a snapshot, the user can capture the information at a single moment in time and use the "frozen" information later on even if the market continues to change. However, when a new discrete event message triggers the Value Extractor Block, the block will replace the old snapshot with a new one. The Value Extractor Block can also be used as a "toggle" to indicate the occurrence of a specific event in the market. To do this, the user can instruct a Value Extractor Block to take a snapshot of the numeric value "1" (in the internal logic canvas, drag and drop the "#" icon onto the canvas and input the value "1") when triggered by a discrete event message. Before the discrete event message occurs, the Value Extractor Block will output the default value of zero. However, when the discrete event message occurs, the Value Extractor Block will output a value of 1, indicating that the discrete event has occurred.

20 Double-click on the block to bring up the Block Editor. Clicking on the formula link will display the green canvas where the user can define an equation which will determine the specific value to be captured by the snapshot at the moment the block is triggered by a message. (Optional) The user can also set up the Value Extractor Block to delete its internal data extraction when a discrete event message triggers the Reset input port. VALUE ACCUMULATOR BLOCK A discrete event message triggers the Value Accumulator Block. Upon trigger, the Value Accumulator retrieves and accumulates a numeric value specified by the user (specified by the Formula Builder within the Block Editor). The user may extract a numeric value contained within the message or retrieve a value unrelated to the message. After the accumulation, it first outputs the accumulated value as a continuous message out of the continuous message port, and then passes the original discrete message unchanged through its lower-right discrete message port. (Optional) The user can also set up the Value Accumulator Block to delete its internal data collection when a discrete event message triggers the Reset input port. SEQUENCER BLOCK

21 The Sequencer Block allows the user to determine the precise order of propagation of the discrete event message. 1. A discrete event message enters the Sequencer Block. 2. The Sequencer Block channels the original message, unchanged, as #1. It waits until the message is processed completely downstream. 3. Afterwards, it generates and outputs another copy of the original message as #2. It waits until the message is processed completely downstream. 4. Afterwards, it generates and outputs another copy of the original message as #3. FUNNEL BLOCK The Funnel Block takes in a single discrete event message (either in1, in2, or in3) and simply passes it through, unchanged, out the discrete event message output port. ADL does not allow multiple entries into a single input of a single block.

22 The Funnel Block makes it possible to do so. Note that the messages in1, in2, and in3 will not pass through the block simultaneously since discrete event messages are always processed sequentially, one stream at a time. BRANCH BLOCK 1. The user defines a True/False statement for the YES output by double-clicking on the block and using the Formula Builder. 2. When a discrete event message enters the Branch Block, the block evaluates the statement. 3. If the statement resolves to a TRUE, the Block directs the original message, unchanged, through the YES output port. If the statement resolves to a FALSE, it directs the original message through the NO output port. ***Though both the Branch Block and the State Block look alike, they are fundamentally different. Whereas the State Block waits until one of the internalized True/False statements turns TRUE to output a message, the Branch Block immediately directs the incoming message either through the YES or the NO output port.

23 STATE BLOCK The user can define custom discrete events by double-clicking on the State Block and defining True/False statements within the Formula Builder. When these True/False statements turn TRUE, ADL will consider it as an occurrence of a discrete event. By default, the user may define up to two discrete events, but an option exists to allow the user to add extra slots and define more than two events (see: Formula Editor below for more information). After the statements are defined, the State Block must be triggered by a discrete event message. The block does not act upon the trigger, but merely becomes "loaded," and ready to "fire" a discrete event message from one of its outputs when a user-made True/False statement turns TRUE. When a user-made True/False statement turns TRUE, the State Block generates and outputs a discrete event message in the following manner: Outputs from #1 if the statement tied to the #1 output turned TRUE Outputs from #2 if the statement tied to #2 output turned TRUE Outputs a message from the top-most port when multiple True/False statements turn TRUE at once After outputting a discrete event message, the State Block must be reloaded by another incoming discrete event message. The State Block will not "queue" up multiple incoming discrete event messages. Even if multiple messages enter the State Block, the block can only output a single discrete event message. Double-click on the block to bring up the Block Editor and then open up the Formula Builder:

24 Using the left column, the user must first select a slot (each slot represents an output port). By using the Label text box, the user can also label the output port. Once an output port is selected, the user can define a custom discrete event in the form of True/False statement on the green canvas. When the equation resolves to a True, the State Block will output a discrete event message from the corresponding output port. You will need to create a formula for each slot in the left column in order for the State Block to function properly. By clicking on the "+" icon located at the bottom of the left column, the user can add extra slots and define an unlimited number of discrete output ports. As additional slots are added, corresponding output ports are automatically exposed on the right-side of the block. The user may remove output ports by selecting a slot, and then clicking the "-" icon. ***Though both the Branch Block and the State Block look alike, they are fundamentally different. Whereas the State Block waits until one of the internalized True/False statements turns TRUE to output a message, the Branch Block immediately directs the incoming message either through the YES or the NO output port.

25 MOVING AVERAGE BLOCK A discrete event message triggers the Moving Average Block. At this time, the block creates a new bar. Upon trigger, the Moving Average Block retrieves a numeric value specified by the user (specified by double-clicking on the block). The user may extract a numeric value contained within the discrete message or retrieve a value unrelated to it. The retrieved value will be assigned to the bar as the value that represents the bar. The bar is then added and stored within the block s internal collection. The Moving Average Block takes a certain number of bars (specified by the #Bars input port) and computes an average of those bars. The result is output from the Avg port. After the calculation, it passes on the original message unchanged through its Msg output port. (Optional) Ready Port: This port can be used to determine whether the block has collected sufficient number of bars to satisfy the #Bars input. If the block does not have sufficient number of bars, the Ready port will output False. When the block accumulates sufficient number of bars, the Ready port will output True. (Optional) The user can also set up the Moving Average Block to delete its internal data collection and reset the Avg output to a NaN (Not A Number) when a discrete event message triggers the Reset input port.

26 STOPWATCH BLOCK When a discrete event message enters its discrete input port, the Stopwatch Block evaluates its Stop Time formula (defined by the user in the Formula Builder) to get the stop time in milliseconds. After the specified stop time, the block sends a discrete event message through its output port. The Stopwatch Block must be reset with a new incoming discrete event message to repeat its operation. The Stopwatch Block allows you to set a custom timer interval instead of a fixed interval of 250 ms. You can also use the Formula Builder to extract numbers from discrete messages with the Message Field icon or reference another number on the Canvas with the Block Value icon. DISCRETE MIN-MAX BLOCK 1. A discrete event message triggers the Discrete Min/Max Block. 2. Upon trigger, the Discrete Min/Max Block retrieves a numeric value specified by the user (specified by the Formula Builder within the Block Editor). The user may extract a numeric value contained within the message or retrieve a value unrelated to it. 3. The extracted value is added to the block's internalized data collection. 4. The block then determines the Minimum/Maximum value among its collection. The result is output from the continuous output port. 5. After the evaluation, it passes on the original message unchanged through its right-side output port.

27 PAUSE BLOCK When a discrete event message triggers the block or the True/False input turns TRUE, the entire algorithm will be paused. This block is useful for stopping your algo when your desired action has been completed. Make sure that the Pause Block is the last block triggered in your logic or else your algo may pause before it completes the intended course of action. Once the algorithm has been paused in this manner, the user must resume the algorithm manually. *** All of the above material has been sourced with the help of the Trading Technologies website at