Synthetic Order Entry in - TT Customer Portal - Trading Technologies

Synthetic Order Entryin X_TRADER ® 7.11.xSetup Guide03 Introduction04 Synthetic Model05 Timed Orders06 Triggered Orders10 Trailing Orders14 Sliced Orders25 Retry Orders26 Limits on Market Orders27 Synthetic Order Management29 With a Tick30 Time‐in‐Force36 Pre‐Risk ManagementTrading Technologies International, Inc. 1Document Version: 7.11.xJune 14, 2012

Trading Technologies International, Inc.Legal NoticesThis document and all related computer programs, example programs, and all TT source code are the exclusiveproperty of Trading Technologies International, Inc. (“TT”), and are protected by licensing agreements, copyrightlaw and international treaties. Unauthorized possession, reproduction, duplication, or dissemination of thisdocument, or any portion of it, is illegal and may result in severe civil and criminal penalties.Unauthorized reproduction of any TT software or proprietary information may result in severe civil and criminalpenalties, and will be prosecuted to the maximum extent possible under the law.Information in this document is subject to change without notice. Companies, names, and data used in examplesherein are fictitious unless otherwise noted. No part of this document may be reproduced or transmitted in anyform or by any means, electronic or mechanical, for any purpose, without the express n permission of TT.All trademarks displayed in this document are subject to the trademark rights of TT, or are used under agreement byTT. These trademarks include, but are not limited to, service brand names, slogans and logos and emblems includingbut not limited to: Trading Technologies ® , the Trading Technologies Logo, TT, X_TRADER ® , X_RISK ® , MD Trader ® ,Autospreader ® , X_STUDY ® , TT_TRADER ® , TT CVD ® , ADL, Autotrader, TT Trainer, Back Office Bridge, TTNET,TT SIM. All other referenced companies, individuals and trademarks retain their rights. All trademarks are theproperty of their respective owners. The unauthorized use of any trademark displayed in this document is strictlyprohibited.Copyright © 2010 ‐ 2012 Trading Technologies International, Inc.All rights reserved.

Triggered OrdersTriggered orders are sent to the market when a predefined market condition is met. The parent ordercontains trigger parameters either set explicitly (LTP, Inside Bid, or Inside Ask) or based upon the insidemarket price in the Buy/Sell direction of the order (SameSide or OppositeSide).Price TypeSameSideOppositeSideDescriptionEvaluates the trigger using the inside market price in the Buy/Selldirection of the order:• Best Bid for Buys• Best Ask for SellsEvaluates the trigger using the inside market price in the oppositeBuy/Sell direction of the order:• Best Ask for Buys• Best Bid for SellsA secondary trigger based upon executed quantity (if LTP) is used or the quantity on the Bid or the Ask isalso available. Users may toggle the Quantity (Qty) button to set the secondary trigger as a percentage(%) of the order quantity. Trigger parameters are entered in the Modifiers section of the Order Pane.Once triggered, there are two ways to price the child order. Pricing parameters are entered in the PriceMode section of the Order Pane.• Fixed price mode submits a child order using the price manually entered by the trader into themain Price field.• Relative price mode disables the main Price field and displays configuration options in the PriceMode section. Price Type sets the price of the child order relative to LTP, Bid, Ask, or Trigger,meaning calculate the order price using the Trigger price level. Two additional pricingparameters are available: SameSide and Opposite Side (as described previously).Parameters independent of Buy/Sell direction (i.e., Offset, SameSide, OppositeSide andpercentage) are converted to the actual value when displayed in trading windows (e.g., theConfirmation Window, Orders and Fills Window, and Audit Trail).Trading Technologies International, Inc.6

Triggered Orders (continued)A Stop is an order that is triggered when the market has reached or penetrated a specified price in themarket. Stop triggers are typically set worse than current market prices. For example,• Buy Stops are placed above the current last traded price.• Sell Stops are placed below the current last traded price.The following screenshots illustrate a synthetic Stop order with a trigger price of 102350 based upon lasttraded price. Once triggered, the Synthetic SE submits a child order to the market. The Order Paneexample on the left submits a child older priced relative to the Ask price minus one tick. The example onthe right submits a child order with a fixed price entered manually in the main Price field of the OrderPane.Stop orderqualifierTriggered child order pricedrelative to the market(e.g., Ask price ‐1 tick)Triggered child orderpriced with fixed priceTrigger PricePrice used toevaluate triggerToggle button to setsecondary trigger as either aquantity or a percentageQuantity or percentagerequired at trigger price toactivate triggerThe TTStatus field displays the relative priced Stop (i.e., Ask minus one tick) in the Pending Trigger state.During this time, the Synthetic SE continuously monitors the order for the trigger condition(s). Thequantity displays in the Undisclosed Qty (Und Qty) column because it is not actually included in theexposed depth of the market.The Audit Trail summarizes the synthetic order parameters.Trading Technologies International, Inc.8

Triggered Orders (continued)An If Touched is an order that is triggered when the market has reached or penetrated a specified pricein the market. If Touched orders are similar to Stop orders except the trigger price behavior is inverted.An If Touched trigger price is typically set better than the current market. For example,• Buy If Touched orders are placed below the currentlast traded price.• Sell If Touched orders are placed above the currentlast traded price.The following screenshots illustrate a synthetic If Touched order with a trigger price of 102075 basedupon last traded price. Once triggered, the Synthetic SE submits a child order to the market pricedrelative to the Ask price minus one tick.If Touchedorder qualifierTriggered child order priced relativeto the market(e.g., Ask price ‐1 tick)Trigger PriceBase price used to calculateprice of child order oncetrigger condition is metPrice used toevaluate triggerToggle button to setsecondary trigger as either aquantity or a percentageQuantity or percentagerequired at trigger price toactivate triggerNumber of ticks added toor subtracted from thePrice Type based on theBuy/Sell directionThe TTStatus field displays the If Touched order in the Pending Trigger state. During this time, theSynthetic SE continuously monitors the order for the trigger condition. The quantity displays in theUndisclosed Qty (Und Qty) column because it is not actually included in the exposed depth of themarket.Trading Technologies International, Inc.9

Trailing OrdersTrailing orders are used to dynamically adjust orders as the market moves in one direction. The parentorder contains parameters that set the child a fixed distance from the Last Traded Price, or the insidemarket using Bid, Ask, SameSide or Opposite Side. As the market improves, the order is re‐priced so thatit remains a fixed distance from the market. The order is not re‐priced if the market becomes worse.Trailing parameters are entered in the Modifiers section of the Order Pane.The Price Mode section defines the child order that is placed when a Trailing Stop Limit or Trailing IfTouched order is triggered. These parameters include the trigger price that dynamically adjusts relativeto Last Traded Price, the Bid, or the Ask. The SameSide and OppositeSide parameters are also availablewhen defining the price of the child order. The Offset value is either added to or subtracted from thePrice Type.The following describes the life cycle of a trailing order:• A Trailing order submitted with a Start Date/Time is in the Waiting state.• A Trailing Stop or Trailing If Touched order goes into the Pending Trigger state when the StartDate/Time is reached or the order is entered without a Start Date/Time. The Synthetic SEmonitors the trigger price condition and dynamically adjusts the trigger price relative to themarket. Once triggered, the order moves to the Working state and is sent to the market.• A Trailing Limit order goes into the Working state when the Start Time is reached or when theorder is entered without a Start Date/Time. A single child order is placed in the market. Thetrailing parameters dynamically re‐price the child order as the market moves.X_TRADER supports synthetic Trailing Stop, Trailing If Touched, and Trailing Limit orders.Trading Technologies International, Inc. 10

Trailing Orders (continued)A Trailing Stop sets the trigger price a fixed distance from the market price. The trigger pricedynamically adjusts relative to the market. Trailing Stop triggers are typically set worse than the market.For example,• Trailing Buy Stops are placed a fixed amount abovethe current market price. As the market falls, thetrigger price adjusts so that it is never more than aspecified number of ticks away from the market price.If the market rises, the trigger price does not adjust.• Trailing Sell Stops are placed a fixed amount belowthe current market price. As the market rises, thetrigger price adjusts so that it is never more than aspecified number of ticks away from the market price.If the market falls, the trigger price does not adjustThe following screenshots illustrate a Trailing Stop order where the trigger price dynamically adjusts sothat it is three ticks away from last traded price. Once triggered, the Synthetic SE submits a child orderpriced relative to the Ask price minus one.Trailing Stoporder qualifierPrice Mode is set to Relative and the Fixedchoice is disabled because trailing ordersare dynamic and cannot have a fixed priceNumber of ticks away fromPrice Type the order shouldtrail the marketBase price used to calculateprice of child order oncetrigger condition is metPrice used to calculate thetrailing price relative to themarketNumber of ticks added toor subtracted from thePrice Type based on theBuy/Sell directionThe TTStatus field displays the Trailing Stop in the Pending Trigger state. During this time, the SyntheticSE continuously monitors the order and dynamically re‐prices the trigger. The quantity displays in theUndisclosed Qty (Und Qty) column because it is not actually included in the exposed depth of themarket.Trading Technologies International, Inc.11

Trailing Orders (continued)A Trailing If Touched order sets the trigger price a fixed distance from the market. The trigger pricedynamically adjusts relative to the market. Trailing If Touched triggers are typically set better than thecurrent market. For example,• Buy Trailing If Touched orders are placed below the current market. As the market rises, thetrigger adjusts so that it is never more than a specified number of ticks away from the marketprice. If the market falls, the trigger price does not adjust.• Sell Trailing If Touched orders are placed above the current market. As the market falls, thetrigger adjusts so that it is never more than a specified number of ticks away from the marketprice. If the market rises, the trigger price does not adjust.The following is an example of a Trailing If Touched in the Order Pane where the trigger pricedynamically adjusts so that it is three ticks away from last traded price. Once triggered, the Synthetic SEsubmits a child order priced relative to the Ask price minus one.Trailing If Touchedorder qualifierPrice Mode is set to Relative and the Fixedchoice is disabled because trailing ordersare dynamic and cannot have a fixed priceNumber of ticks away fromPrice Type the order shouldtrail the marketBase price used to calculateprice of child order oncetrigger condition is metPrice used to calculate thetrailing price relative to themarketNumber of ticks added toor subtracted from thePrice Type based on theBuy/Sell directionThe TTStatus field displays the Trailing If Touched order in the Pending Trigger state. During this time,the Synthetic SE continuously monitors the order and dynamically re‐prices the trigger price. Thequantity displays in the Undisclosed Qty (Und Qty) column because it is not actually included in theexposed depth of the market.Trading Technologies International, Inc.12

Trailing Orders (continued)A Trailing Limit submits an order directly to the exchange priced a fixed distance from the market; thisdiffers from Trailing Stop and Trailing If Touched orders which are sent only when triggered. TheTrailing Limit order re‐prices relative to the market. Trailing prices are always set better than the currentmarket. For example,• A buy trailing limit sets the price a fixed amount below the market price. The order moveshigher if the market moves above the highest recent price. The order will not adjust if themarket moves lower.• A sell trailing limit sets the price a fixed amount above the market price. The order moves lowerif the market moves below the lowest recent price. The order does not adjust if the marketmoves up.The following screenshots illustrate a Trailing Limit order priced three ticks away from last traded price.Trailing Limitorder qualifierNumber of ticks away fromPrice Type the ordershould trail the marketPrice used to calculatethe trailing price relativeto the marketThe Price Mode section and the main Price field are disabled when entering Trailing Stop Market,Trailing If Touched Market, and Trailing Limit orders because trailing orders are dynamic andcannot have a fixed price.Since Trailing Limit orders are actively working in the market, the TTStatus field displays the order in theWorking state. The Synthetic SE continuously monitors the order and dynamically re‐prices the order sothat it is 3 ticks away from the Last Traded Price. The quantity displays in the Working Qty columnbecause it is included in the exposed depth of the market.Trading Technologies International, Inc.13

Sliced OrdersSliced orders are used to fill large quantity orders without exposing the total order quantity to themarket. The parent order contains disclosed quantity settings that slice the goal quantity into smallerorder portions based upon fills, time or volume. Disclosed quantities may be an absolute value or apercentage of the total goal quantity. A percentage to vary each disclosed order quantity portion is alsoavailable. Sliced parameters are entered in the Advanced Settings section of the Order Pane.The Price Mode section of the Order Pane is used to price each disclosed child order portion.• Fixed submits each child order portion using the price manually entered into the main Pricefield.• Relative price mode disables the main Price field and displays configuration options in the PriceMode section. Price Type sets the price of each child order portion relative to LTP, Bid, or Ask.Two additional pricing parameters are available: SameSide and Opposite Side (as describedpreviously). The Offset value is either added to or subtracted from the Price Type value whenthe child order portion is submitted.The following describes the life cycle of a sliced order:• A Sliced order submitted with a Start Date/Time is in the Waiting state.• A Sliced order submitted with a trigger is in the Pending Trigger state.• The Sliced order goes into the Working state when the Start Date/Time is reached and/or whentriggered or when the order is entered without a Start Date/Time or trigger condition. TheSynthetic SE sends sliced order portions to the market based on child order fills, time, tradingvolume, or duration.• The parent order remains in the Working state while there is at least one child order in themarket and/or there is at least one undisclosed child portion.The Group Children setting available in the Orders and Fills Window on the Orders Pane context menuallows users to group orders by their parent/child relationships. When this setting is enabled, childorders are located directly below their parent orders. Clicking the plus/minus buttons in either theheader row or the parent row shows/hides child orders from view.X_TRADER supports five sliced order types: Iceberg, Timed Sliced, Volume Sliced, Time Duration, andVolume Duration.Native orders that meet exchange‐defined parameters (e.g., Icebergs on CME Group) aresubmitted directly to the exchange. However, sometimes users may prefer that the order isworked synthetically.The Override Native checkbox in the Advanced Settings section displays when a possible nativeorder is selected, such as Iceberg, Stop, If Touched, Trailing Stop or Trailing If Touched.Selecting the Override Native checkbox sends the order to the Synthetic SE server, which thenmanages the order synthetically.Trading Technologies International, Inc.14

Sliced Orders (continued)An Iceberg slices a large quantity order into smaller disclosed orders. When one disclosed portion isfilled, the next portion is sent to the market. This process continues until the order is filled. Users mayset a variance percentage so that the quantity of each disclosed portion is different.The following screenshots illustrate an Iceberg with a goal quantity of 500 and a disclosed quantity of50. The variance percentage of 20 discloses child orders into the market with individual order quantitiesrandomized between 40 and 60.Goal quantityIceberg orderqualifierToggle button to setDisclosed Qty as either aquantity or a percentage oftotal goal quantityDisclosed quantityor percentage oftotal goal quantityviewable to themarketPreview proposedchild ordersubmissionsForce a nativeorder to SyntheticSE for syntheticmanagement(Optional)Click button toupdate values inthe Preview GridPercentage to varyeach disclosed orderportion (Optional)X_TRADER automatically corrects parameter fields that contain invalid values. When this occurs, thechild orders are recalculated and display with a yellow background in the Preview Pane.The Synthetic SE submits a child order (line 1) to the market with a working quantity of 45. The parentorder (line 2) displays a working quantity of 45 and an undisclosed quantity of 455. The Synthetic SEcontinuously monitors the order for fills and will not release the next child order until the 45‐lot iscompletely filled.Trading Technologies International, Inc.15

Sliced Orders (continued)A Time Sliced order slices a large quantity order into smaller disclosed orders. Child order portions aresent to the market at fixed time intervals. The resting portion may not be filled before it is time todisclose the next portion.The following screenshots illustrate a Time Sliced order with a goal quantity of 2000, a disclosedquantity of 200, a variance percentage of 50, and a time interval of 10 minutes. The Synthetic SE willcancel the resting child order in the market and merge the remaining quantity with the next disclosedchild order when it is time to submit the next child portion. Child orders will be priced to join the Bid(designated as SameSide plus zero).Time Slicedorder qualifierTime between each disclosedorder portion in Minutes,Seconds, or MillisecondsHow to price eachdisclosed order portion(Optional)Toggle button to setDisclosed Qty as either aquantity or a percentageof total goal quantityDisclosed quantity orpercentage of total goalquantity viewable to themarketPreview proposed childorder submissionsClick button to update valuesin the Preview GridHow to handle remaining balanceof sliced order before placing nextdisclosed order portionPercentage to vary eachdisclosed order portion(Optional)X_TRADER automatically corrects parameter fields that contain invalid values. When this occurs, thechild orders are recalculated and display with a yellow background in the Preview Pane.Trading Technologies International, Inc.16

Sliced Orders (continued)The Synthetic SE submits a child order (line 1.1) to the market with a working quantity of 179. The parentorder (line 1) displays a working quantity of 179 and an undisclosed quantity of 1821. The Synthetic SE willcancel the resting child order and merge the remaining quantity with the next disclosed child order.Subsequent child orders will be sent at 10 minute intervals.Notice the price of the child order. Parameters independent of Buy/Sell direction (i.e., Offset, SameSide,OppositeSide and percentage) are converted to the actual value when displayed in trading windows(e.g., the Confirmation Window, Orders and Fills Window, and Audit Trail).The Leftover parameter indicates how to handle any existing unfilled order quantities when it is time tosend the next portion. Options include Leave (the default), Merge, Market, and Payup. The Whenparameter defines when the Leftover Action should be performed:• At End performs the leftover action at the end of the interval.• Half Life performs the leftover action halfway through the interval. For example, if the TimeSlice interval is 10 minutes, perform the leftover action once 5 minutes has elapsed. If theVolume Slice interval is 1,000, perform the leftover action once 500 contracts have traded.The following table describes Leftover behavior and valid When options.Leftover ActionLeave(The default)MergeMarketPayupDescriptionLeaves the resting child order portion in the marketCancels the resting child order portion and submits a neworder equal to the sum of the canceled quantity plus thenext disclosed order portion at the specified price levelCancels the resting child order portion and submits amarket order for the remaining quantityCancels the resting child order portion and submits a limitorder for the remaining quantity; the limit price is basedupon the buy/sell direction of the order and the PayupTicks valueWhenAt EndAt EndAt End or Half LifeAt End or Half LifePayup Ticks defines the number of ticks to add or subtract from your Bid or Offer to determine the priceof the limit order. The limit price is based on the buy/sell direction of the order.If the desired price type is not available when it is time to price the limitorder, all related childorders along with the parent synthetic parent order will be canceled.Trading Technologies International, Inc.17

Sliced Orders (continued)The Payup Ticks value is applied based on the buy/sell direction of the order. For example, positivevalues adjust the price into the market; negative values adjust the price away from the market.Order Direction Payup Ticks Desired Behavior End ResultBuy +1 Place order into the market Add 1 tick to my current BidBuy ‐1 Place order away from the market Subtract 1 tick from my current BidSell +1 Place order into the market Subtract 1 tick from my current AskSell ‐1 Place order away from the market Add 1 tick to my current AskTrading Technologies International, Inc. 18

Sliced Orders (continued)A Volume Sliced order slices a large quantity order into smaller disclosed orders based on tradingvolume. The resting portion may not be filled before there is enough trading volume to submit the nextportion. The Leftover parameter indicates how to handle the resting order when it is time to send thenext portion. Options include Leave (the default), Merge, Market, and Payup. The When parameterdefines when the Leftover Action should be performed.The following screenshots illustrate a Volume Sliced order with a goal quantity of 500, a disclosedquantity of 100, a variance percentage of 20, and an interval of 2000. This means that there must be2000 contracts traded between each disclosed order portion. The Synthetic SE will leave the restingchild order in the market when there is the requisite traded volume to submit the next child portion.Child orders will be priced relative to the Ask price minus one tick.Volume Slicedorder qualifierNumber of contracts tradedbetween each disclosedorder portionHow to price eachdisclosed orderportion (Optional)Preview proposed childorder submissionsToggle button to setDisclosed Qty as either aquantity or a percentageof total goal quantityDisclosed quantity orpercentage of total goalquantity viewable to themarketClick button toupdate values in thePreview GridHow to handle remaining balanceof sliced order before placing nextdisclosed order portionPercentage to vary eachdisclosed order portion(Optional)X_TRADER automatically corrects parameter fields that contain invalid values. When this occurs, thechild orders are recalculated and display with a yellow background in the Preview Pane.Trading Technologies International, Inc.19

Sliced Orders (continued)The Synthetic SE submits two child orders (lines 1.1 and 1.2) to the market with working quantities of 89and 185. The Synthetic SE leaves resting child orders in the market based upon the specified Leftoverparameter. The parent order (line 1) displays a working quantity of 274 and an undisclosed quantity of226. Subsequent child orders will be submitted when 2000 contracts have traded.The first child order will not be submitted until the designated interval quantity has traded.Trading Technologies International, Inc.20

Sliced Orders (continued)X_TRADER provides two duration parameters that can be used with Time Sliced and Volume Slicedorders.Time Duration defines the total time desired to achieve the total goal quantity. Users may set either thetotal time or specific begin and end times. When specific begin and end times are entered, X_TRADERcalculates the difference between the two to determine the total time duration for the order. Childorder portions are submitted during the specified time duration to achieve the total goal quantity.Users may set Time Duration parameters as either a Time Interval or Disclose Quantity.Interval (default) sets the time between each disclosed order portion in Minutes, Seconds, orMilliseconds. The TT system calculates child order portions needed to achieve the total goal quantity inthe specified time duration.The following screenshot illustrates a Time Duration order with a goal quantity of 87, a time interval ofthree seconds, and a duration of one minute. The Preview Grid displays the proposed child orderportions needed to achieve the total goal quantity in the one minute period.Toggle button to set durationas either an Interval orDisclosed quantityTime between each disclosedorder portion in Minutes,Seconds, or MillisecondsTotal time to achieve the totalgoal quantity in Hours,Minutes, or SecondsTime Duration order qualifierClick button to update valuesin the Preview GridPreview proposed childorder submissionsPercentage to vary eachdisclosed order portion(Optional)How to handle remaining balanceo f sliced order before placing nextdisclosed order portionX_TRADER automatically corrects parameter fields that contain invalid values. When this occurs, thechild orders are recalculated and display with a yellow background in the Preview Pane.Trading Technologies International, Inc.21

Sliced Orders (continued)Disclose sets the disclosed quantity or percentage of total goal quantity viewable to the market and thetime duration. The TT system calculates the interval between each child order portion required toachieve the total goal quantity in the specified time duration.The following screenshot illustrates a Time Duration order with a goal quantity of 87, a disclosedquantity of 5, and a duration of one minute. The Preview Grid displays the proposed interval and childorder portions needed to achieve the total goal quantity in the one minute period.Toggle button to set durationas either an Interval orDisclosed quantityDisclosed quantity or percentageof total goal quantity viewable tothe marketTotal time to achieve the totalgoal quantity in Hours,Minutes, or SecondsTime Duration order qualifierClick button to update valuesin the Preview GridPreview proposed childorder submissionsPercentage to vary eachdisclosed order portion(Optional)How to handle remaining balanceo f sliced order before placing nextdisclosed order portionX_TRADER automatically corrects parameter fields that contain invalid values. When this occurs, thechild orders are recalculated and display with a yellow background in the Preview Pane.Variance percentage and Leftover Action parameters are available when Time Duration is selected in theAdvanced Settings section of the Order Pane.Trading Technologies International, Inc.22

Sliced Orders (continued)Volume Duration defines the total amount of traded volume desired to achieve the total goal quantity.Users may set Volume Duration parameters as either a desired volume or disclosed quantity.Interval (default) specifies the number or percentage of contracts that must trade to trigger a slice toenter the market. The TT system calculates the child order portions needed to achieve the total goalquantity for the total volume.The following screenshot illustrates a Volume Duration order with a goal quantity of 150, an interval of100, and a duration of 1000 contracts. This means that there must be 100 contracts traded between eachdisclosed order portion for a traded volume of 1000 contracts. The Preview Grid displays the proposedvolume interval and child order portions needed to achieve the total goal quantity.Toggle button to set durationas either an Interval orDisclosed quantityNumber or percentage ofcontracts traded between eachdisclosed order portionTotal quantity traded in themarketVolume Duration orderqualifierClick button to update valuesin the Preview GridPreview proposed childorder submissionsPercentage to vary eachdisclosed order portion(Optional)How to handle remaining balanceo f sliced order before placing nextdisclosed order portionX_TRADER automatically corrects parameter fields that contain invalid values. When this occurs, thechild orders are recalculated and display with a yellow background in the Preview Pane.Trading Technologies International, Inc.23

Sliced Orders (continued)Disclose sets the disclosed quantity or percentage of total goal quantity viewable to the market andtotal volume. The TT system calculates the volume interval between each child order portion for thetotal volume.The following screenshot illustrates a Volume Duration order with a goal quantity of 150, a disclosedquantity of five, and a duration of 1000 contracts. The Preview Grid displays the proposed volumeinterval and child order portions needed to achieve the total goal quantity.Toggle button to set durationas either an Interval orDisclosed quantityDisclosed quantity or percentageof total goal quantity viewable tothe marketTotal quantity traded in themarketVolume Duration orderqualifierClick button to update valuesin the Preview GridPreview proposed childorder submissionsPercentage to vary eachdisclosed order portion(Optional)How to handle remaining balanceo f sliced order before placing nextdisclosed order portionX_TRADER automatically corrects parameter fields that contain invalid values. When this occurs, thechild orders are recalculated and display with a yellow background in the Preview Pane.Variance percentage and Leftover Action parameters are available when Volume Duration is selected inthe Advanced Settings section of the Order Pane.Trading Technologies International, Inc.24

Retry OrdersRetry (or Machine Gun) orders are commonly used to obtain a favorable position in the queue prior tothe market open. The parent order contains the number of times the Synthetic SE retries to send theorder once rejected and the interval between each resubmission attempt. Retry order parameters areentered in the Modifiers section of the Order Pane.Machine Gun order qualifierNumber of retry attemptsNumber of milliseconds betweeneach repeated orderWhen entering Machine Gun orders, the Price Mode section is disabled and set to Fixed. End Date/Timefunctionality is not available.The following describes the life cycle of a Machine Gun order:• A Machine Gun order submitted with a Start Date/Time is in the Waiting state.• The order goes into the Working state when the Start Date/Time is reached or when the orderis entered without a Start Date/Time. The order is sent to the exchange. If the exchange rejectsit, the Synthetic SE resubmits the order based on the retries and interval settings. This processcontinues until the order is either accepted by the exchange or the number of retry attempts isreached.The ability to enter Machine Gun orders is controlled by Machine gun orders allowed parameter in TTUser Setup. Contact your Systems Administrator if you cannot enter Machine Gun orders.Trading Technologies International, Inc.25

Limits on Market OrdersMarket Limit functionality provides price protection when submitting market orders and declares howmany ticks into the inside market the user is willing to pay to execute the order. The Synthetic SEconverts a Market order into a Limit order (or a Market Limit Market order on SFE) priced a specifiednumber of ticks into the market. The balance of any unexecuted portion of the Market order will beworked as a Limit order at that price.Market order qualifierMarket Limit checkboxNumber of ticks into the insidemarket you are willing to executethe orderThe Market Limit property is available on the Settings | Properties | Order Entrytab and is enabled by default.The Market Limit checkbox on the Order Pane displays when users…• Select a Market order• Select Market as the Leftover Action for Time Sliced and Volume Sliced orders• Select Market for orders with an End Date/TimeMarket Limit is checked and displays the number of ticks specified on the Order Entry tab. Users mayuncheck the checkbox or modify the number of ticks they are willing to pay for each entered Marketorder.Market Limit functionality is also available in the Orders and Fills Window. Selecting one or moreSynthetic SE parent orders allows users to utilize the Go To Market button with market protection. Thisfunctionality applies to parent orders held on the Synthetic SE and is not available for child orderscurrently working in the market.Market Limit functionality is not available in MD Trader and does not affect the Liquidatefunctionality in MD Trader.Trading Technologies International, Inc.26

Synthetic Order ManagementSynthetic orders can be in one of the states as summarized in the table below.TTStatus Order Condition Ends when…Waiting • An order with a Start Date/Timeparameter that has not been metPending Trigger • A trigger order (Stop, If Touched) or aTrailing order with a Pending Trigger(Trailing Stop, Trailing If Touched)Working • A parent of a sliced order where there isat least one child order working in themarket and/or there is at least oneundisclosed order• A parent of a Triggered, Trailing, orMachine Gun order where there is atleast one child order working in themarket, and the optional End Date/Timehas not been reached• A staged orderHold • A parent order that a trader has placedon HoldThe Start Date/Time is reachedThe price trigger (and optional secondaryvolume condition) is reached orpenetratedThe End Date/Time is reached; the parentorder is canceled by the trader or theorder is filled on the exchangeThe trader resubmits the parent orderPaused • A parent order that a trader has paused The trader resumes working the syntheticorderDeleting • A parent order that a trader has deleteddisplays in the Deleting state while theSynthetic SE performs the delete actionThe Synthetic SE completes deletion ofchild orders and Position Reserve ordersFilled • A synthetic order that is completely filledAvailable • A staged order that is either Working (W)or Partially Filled (P) that does not havean ownerOwned • An execution trader has claimed thestaged order that is either Working (W)or Partially Filled (P)An execution trader takes ownership ofthe available staged orderThe execution trader promotes orunclaims the staged order, or the stagedorder is canceled or filledTrading Technologies International, Inc. 27

Synthetic Order Management (continued)In addition, the Orders and Fills Window may display the synthetic order in one of the following states ifthe Synthetic Strategy Engine (Synthetic SE) is shutdown or an error occurs.TTStatus Order Condition Ends when…Pulling • The Synthetic SE attempts to delete thePosition Reserve order and orphans all of itschild orders; UMM displays in the Link TypefieldUnmanaged • The Synthetic SE successfully deleted thePosition Reserve order and orphaned all ofits child orders; UMM displays in the LinkType fieldInitializing • The Synthetic SE is establishing connectionsto the TT GatewaysRecovering • The Synthetic SE puts staged orders in thisstate when it starts up or reconnects to a TTGateway from which it disconnectedThe order moves to an Unmanaged stateDoes not end; you may need to Canceland Replace the orderThe Synthetic SE has establishedconnectivity to the TT GatewaysThe Synthetic SE completes the processsuccessfully and puts staged orders in theWorking stateThe TTStatus and Link Type cell coloration is reversed when a synthetic order is in the Pulling orUnmanaged state.Trading Technologies International, Inc.28

Synthetic Order Management (continued)With a TickWhen the With a Tick (WAT) parameter is enabled, the Synthetic SE monitors the opposite inside marketof an order and converts a passive order to an aggressive order when the specified threshold is met. Thethreshold may be set as a quantity or percentage.For example, a trader places a buy order and joins the best bid with a WAT threshold of 100. When thebest ask quantity drops below 100, the price of the buy order will increase by one tick.The WAT parameter is entered in the Price Mode section of the Order Pane. By default, the WAT checkbox is not checked and the Qty/% button is disabled and set to Quantity (Qty). Users may toggle theQuantity (Qty) button to set the WAT threshold as a percentage (%) of original total order quantity.With a Tick checkboxToggle button to set theWAT threshold as either aquantity or percentage oforiginal total order quantityThreshold quantity or percentage oforiginal total order quantityUsers may utilize the WAT parameter in conjunction with native and synthetic orders with the exceptionof Machine Gun and Trailing Limit orders managed by the Synthetic SE.WAT orders will only go into the market as new orders; users cannot change the threshold level once theorder is placed.• If a WAT order is placed on the inside market when the bid/ask spread is greater than onetick, the order will immediately adjust and aggress by one tick.• If a WAT order is placed off of the inside market, for example joining the second best bid orsecond best ask, the WAT order will immediately adjust and aggress by one tick.Trading Technologies International, Inc.29

Synthetic Order Management (continued)Time‐In‐Force (TIF) ParametersThe Synthetic SE version determines how parent order TIF parameters are managed:• With Synthetic SE 7.1.4, the parent order responds to the TIF parameter as follows:• Parent Good ‘til Day (GTD) orders are canceled at the TT Gateway rollover time.• Child GTD orders are canceled according to exchange rules.• Parent Good ‘til Cancel (GTC) orders remain working on the Synthetic SE until the order is…ooooTriggered,Fully filled,Canceled by the user,Or executes the optional end date/time behavior.• Parent Fill or Kill (FOK), Immediate or Cancel (IOC), Good in Session (GIS), and Good ‘til Date(GTDate) orders are not supported.• Users may create synthetic GIS and GTDate order by…ooSetting an end date/time that corresponds to the GIS exchange time,Or manually deleting the parent order at the GIS exchange time.• With Synthetic SE 7.2.2 (and higher), the Synthetic SE does not enforce the Time‐in‐Force of thestaged order. The parent staged order remains in an active state on the Synthetic SE until it isfully filled or canceled.Trading Technologies International, Inc.30

Synthetic Order Management (continued)Working/Pending Quantity ModelEach synthetic order maintains the following Quantity fields:• Total Quantity• Disclosed Quantity (Sliced orders)• Executed Quantity• Working Quantity in the market• Undisclosed Quantity (quantity waiting to be sent to the market when a pre‐defined condition ismet). For orders with a Start Date/Time or Price Trigger, this is the total quantity. For Sliced,this is the combined quantity of all slices that have not been sent to the market.The following table describes an Iceberg order with a Total Quantity of 600, a Disclosed Quantity of 200and a Start Date/Time.ConditionTotalQtyExecutedQtyWorkingQtyUndisclosedQtyWaiting for the Start Date/Time 600 0 0 600First child order sent to the market 600 0 200 400First child order received a partial fill 600 100 100 400First child order received a full fill; second child order sent to themarket600 200 200 200Second child order received a full fill; third (last) child order sent 600 400 200 0Trading Technologies International, Inc.31

Synthetic Order Management (continued)Supported Changes to Parent Synthetic OrdersX_TRADER and Synthetic SE support the following changes to parent synthetic orders:Note: See the Staged Orders in X_TRADER Setup Guide for staged order management details.Supported ChangesCancel parent orderConvert parent order to a MarketorderModify the fixed priceModify a relative price defined asan offsetModify the trigger priceModify Ticks Away offsetModify the quantityX_TRADER 7.9.xSynthetic SE 7.1.4Forces all related child orders alongwith the parent synthetic orderinto an Unmanaged stateApplies to parent order in Waiting,Pending Trigger or Working stateDoes not apply to Iceberg, TimeSlice and Volume Sliced orders; GoTo Market button is disabledCancels all working child ordersand submits a single Market orderfor the remaining quantity uponreceipt of cancelacknowledgement from theexchangeIf the synthetic order is an Iceberg,Timed Sliced, or Volume Slicedorder, changing the price limit onlyapplies to child orders submittedafter the changeNot supportedApplies to triggered orders (e.g.,Stop and If Touched) in a Waitingor Pending Trigger stateApplies to trailing synthetic orders(e.g., Trailing Stop, If Touched,Trailing Limit) in a Waiting orPending Trigger stateApplies to orders in Waiting,Pending Trigger or Working stateX_TRADER 7.11.xSynthetic SE 7.2.2 (or higher)All related child orders along withthe parent synthetic order arecanceledAlso applies to parent orders inHold or Paused stateIn addition, does not apply tostaged orders or orders in a Hold orPaused stateAlso applies to non‐staged TimeDuration and Volume DurationordersApplies to orders in Hold or PausedstateSupportedAlso applies to orders in Hold orPaused stateAlso applies to non‐stagedtriggered orders in Hold or PausedstageAlso applies to non‐staged trailingorders in a Hold or Paused stateAlso applies to non‐staged ordersin Hold or Paused stateTrading Technologies International, Inc. 32

Synthetic Order Management (continued)Supported Changes to Parent Synthetic Orders – continuedSupported ChangesModify the Start Date/Time andEnd Date/TimeNot supportedX_TRADER 7.9.xSynthetic SE 7.1.4X_TRADER 7.11.xSynthetic SE 7.2.2 (or higher)Applies to non‐staged parentsynthetic orders entered with aStart Date/Time and/or EndDate/Time that are in Waiting,Hold, or Paused stateHold/Submit synthetic order Not supported Applies to non‐staged parentorders in Waiting, Pending Trigger,Working, or Hold statePause/Resume synthetic order Not supported Applies to non‐stage parent ordersin Waiting, Pending Trigger,Working, or Paused stateTrading Technologies International, Inc. 33

Synthetic Order Management (continued)Supported Changes to Child Synthetic OrdersX_TRADER and Synthetic SE support the following changes to child synthetic orders:Note: See the Staged Orders in X_TRADER Setup Guide for staged order management details.Supported ChangesCancel child orderConvert child order to a MarketorderModify the quantityModify the fixed price using normalchange order methodsModify the relative price (e.g.,[Bid+1])Modify the trigger priceModify Ticks Away offsetChange a synthetic sliced orderportion to a Market orderModify Start Date/Time and EndDate/Time parametersX_TRADER 7.9.xSynthetic SE 7.1.4All child orders along with parentsynthetic order are forced into anUnmanaged stateA cancel is submitted for theworking child orderA Market order for the remainingquantity is submitted upon receiptof cancel acknowledgement fromthe exchangeNote: Does not apply to slicedordersApplies to child orders in Waiting,Pending Trigger, or Working stateSupportedSupportedApplies to trigger child orders inWaiting or Pending Trigger stateApplies to trailing child orders (e.g.,Trailing Stop, Trailing If Touched,and Trailing Limit) in Waiting orPending Trigger stateNot supported; the Go to Marketbutton is disabledNot supportedX_TRADER 7.11.xSynthetic SE 7.2.2 (or higher)Cancels child order and addsquantity back into parentA cancel is submitted for theworking child orderA Market order for the remainingquantity is submitted upon receiptof cancel acknowledgement fromthe exchangeNote: Does not apply to slicedordersAlso applies to child orders in HoldstateSupportedSupportedAlso applies to child orders in HoldstateAlso applies to child orders in HoldstateApplies to Iceberg, Time Slice,Volume Slice, Time Duration, andVolume Duration ordersApplies to Time orders with a StartDate/Time or End Date/TimePlace synthetic child orders on hold Not supported SupportedPause child order Pause button not available Not supported; Pause button notavailableTrading Technologies International, Inc. 34

Synthetic Order Management (continued)Synthetic order child will have a TTStatus of Hold when the parent order is in a Hold state. X_TRADER7.11.x with Synthetic SE 7.2.2 supports the following actions on Held children of synthetic orders:• Modify price• Modify quantity• Cancel• View order details• Inquire• Repeat• Go To MarketNote: Users cannot place staged orders (or related child orders) on Hold.Trading Technologies International, Inc. 35

Pre‐Risk ManagementX_TRADER applies normal pre‐trade risk checking to non‐staged synthetic orders…• The Synthetic SE reserves risk on behalf of the entire parent order immediately uponreceipt of the parent order. This is referred to as a Position Reserve held order.• The parent order is rejected if the Position Reserve order fails.• The Synthetic SE reduces the Position Reserve quantity on a one‐to‐one basis as childorders are accepted by the exchange.• If any modifications are made to a Position Reserve order, the Synthetic SE cancels theparent synthetic order and all related working child orders.By default, Position Reserve orders are hidden. Users may make them visible via a checkbox property on theSettings | Properties | Orders tab.Position Reserveorder settingTrading Technologies International, Inc.36