XTAPI Tips and Tricks

X_TRADERAPITipsandTricks
AcoursebyTradingTechnologies
IntendedAudience
PriorDevelopmentExperiencewithC++,C#, orVisualBasic FamiliarwithXTAPI FamiliarwithTradingApplicationlogic ThisisnotanIntroduction!
Copyright2009TradingTechnologiesInternational,Inc.ProprietaryandConfidentialInformation
Agenda
1. XTAPIOverview 2. TheCOMBarrier 3. DataConversions 4. MarketDataUpdates 5. Filters 6. RapidFillDelivery 7. Properties 8. ImpliedPrices 9. EventNotifications 10. OrderSets 11. SeriesKeys
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XTAPIOverview
XTAPIisacollectionofobjectsandinterfaces thatprovideaccesstotheTTenvironment throughcustomapplications. XTAPIobjectsproviderealtimeaccessto
MarketandImpliedPrices,includingDepth Send,Modify,andCancelOrders RiskAdministrationandBackOfficetasks MarketBrowsingandContractSpecifications ReceiveandprocessFillrecords
XTAPIOverview
XTAPIusesMicrosoftsCOMtechnology AnyCOMenabledlanguagecanbeusedto developXTAPIapplications
Examples:C++,VisualBasic
.Netlanguagesarecompatiblebutnotnative
Examples:C#,VisualBasic.Net
Agenda
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XTAPIisSTA
XTAPIisaSingleThreadedApartment(STA)model. IfyouareabletodevelopyourapplicationwiththeSTAmodel, youshould.BecauseXTAPIisSTA,youwillnotpayany marshallingorthreadcontextswitchingpenalties. TTdoesnotrecommendtheMultiThreadedApartment(MTA) Modelbecauseyourapplicationwillincurthreadcontext switchingwitheachmethodcalltoXTAPI.
AvoidingtheCOMBarrier
MTA Application
COM
Athreadcontextswitchwill occurwheneveramethodor propertyofXTAPIiscalled fromyourMTAapplication.
STA XTAPI
MultiThreadedApplications
TodevelopamultithreadedXTAPIapplication,youshould stillselecttheSTAmodel.Createasinglethreadthatwillact astheentrypointtoXTAPI,andhaveallotherthreadsin yourapplicationaccessXTAPIthroughthissinglethread
UserWorker Thread XTAPI XTAPIAccess Thread UserWorker Thread UserWorker Thread

GetProperties
TheGet()methodcausestoXTAPIallocateaVARIANT andreturnittoyourapplicationforextraction.
1 3 4 2
4VARIANTShave beencreated!
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AvoidingtheCOMBarrier
Tooptimizeyourcode,condensethenumberof VARIANTobjectsthatneedtobecreated Optimally,wewouldneedonlyasingleVARIANT objecttobecreated,witheachofourdata memberscontainedwithinit
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CompoundGetProperties
Thisoptimizationisaccomplishedby usingCompoundGetProperties CompoundGetPropertiesrequestmultiple XTAPIpropertieswithinasinglemethodcall. ThiseliminatestheneedforXTAPIto repeatedlyallocateindividualVARIANT objects
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Example:CompoundGetProperties
AsingleVARIANTiscreatedtoholdallofthe propertyvalues.Dataextractionintotypedvalues occursinnativecode.
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Agenda
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Ticks!=Points!=X_TRADERDisplay
XTAPIprovidesspecificdatatypesformany propertiesthatallowyoutorequestvaluesin differentformats.
PriceFormats X_TRADERStringFormat Ticks Currency Delta Data Types Integer Decimal String
LetXTAPIhandlethedataconversions.
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BadExample
ThefollowingcodesnippetshowstheextractionoftheBestBidvalue inX_TRADERstringformat,andthenconvertsthatpricetoaTick Value.
Thisrequirestheusertoaddtheirowndataconversioncode
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UseXTAPItodoyourdataconversion
SpecifiesTicks Format
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UsingTicksisrecommended
XTAPInativelyworkswithpricesinTicks Modifyingyourapplicationtousetickprices willeliminatetheneedtoconvertdatatoand fromdifferentformatsbothinyour applicationaswellasinXTAPI
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Agenda
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InsideMarketvs DepthUpdates
TosubscribeforInsideMarketupdates:OnNotifyUpdate
TosubscribeforDepthupdates:OnNotifyDepthUpdate
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Depth+InsideMarket
Amarketdepthupdatewillincludeanyinsidemarketupdates
OnNotifyUpdate
OnNotifyDepthUpdate
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Depthvs.InsideMarketExample
Assumeyouarewritinganautomated MarketMakingapplication.
PeryourMarketMakingagreementwiththe Exchange,yourquotingordersmustbewithin2 levelsoftheInsideMarket WhentheInsideMarketmoves,youmay wantto requoteyourorder.Thedecisionisbasedon liquidity
Ifthereissufficientliquidity,youcanquoteatthe InsideMarket Ifthereisnot,youwanttoquoteupto2levelsaway,in anattempttoavoidgettingfilled
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Depthvs IMExample
Basedontheapplicationrequirements,you needonlytotakeanactioniftheInside Marketvalueschange ThereforeyoucansubscribetoInsideMarket changesandonlyrequestDepthwhenneeded Thiswillresultinfewereventcallbacks, increasingapplicationperformance
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Depthvs IMExample
SummaryofApplicationLogic
TheapplicationsubscribestotheOnNotifyUpdate eventinorder toreceiveanotificationwhentheInsideMarket valueschange WhentheInsideMarketchanges,theOnNotifyUpdate eventwill befired.Withinyoureventhandlermethod,requestMarket Depth Basedonthemarketmakingstrategy,orderswillbeplacedin themarket:
IfElseif Level 0quantity>=50 Level 0+Level1>=50 Neither oftheabovearetrue Then. PlaceorderatLevel0 PlaceorderatLevel1 PlaceorderatLevel2
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Depthvs IMExample
Thiswillresultin significantlyfewer callbacks.Italsoonly givesyouadepth snapshotwhenthere hasbeenachangeto theInsideMarket, eliminating superfluous notificationsof outsidequoting,and improvingtheoverall efficiencyofthe application
3PriceLevels oneitherside oftheMarket

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Agenda
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FilterUpdatesforthevaluesyouwant
WhenusinganInstrumentNotify(TTInstrNotify)objecttoreceive eventcallbacks,youwillreceivetheeventwhenany oftheinstrumentsproperties change Asanoptimization,youcansetaNotifyFilterthatwillonlyfiretheeventcallbacks whenthespecifiedpropertieschange ThisisaccomplishedbyusingtheUpdateFilter property
NowonlychangestotheLastTraded Price,theBestBid,ortheBestAsk willresultintheeventbeingfired.
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BacktotheDepthvs IMExample
OurMarketMakingexamplecanbefurther optimized.Currentlywearereceivingthe OnNotifyUpdate eventwhenany oftheInside Marketvalueschange(Price,Quantity,High,Settle, etc) BysettingaNotifyFilter,wecanlimittheevent callbackstofireonly whentheInsideMarketPrice changes,ignoringanyotherupdates
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Agenda
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RapidFillDelivery
WhenRapidFillDeliveryis OFF (Default)
Exchange
OrderServer
FillServer
XTAPI
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RapidFillDelivery
WhenRapidFillDeliveryisON
Exchange
OrderServer
FillServer
XTAPIacceptsthefirst fillitreceives
XTAPI
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RapidFillDeliveryCaveats
XTAPIs OrderSetslistentoFillnotificationsfromtheOrderServer, regardlessoftheRapidFillDeliverysetting.Thiscanleadtoinflight issues. Forexample,assumeyouhaveRapidFillDeliverysettoTRUE,andyou haveasingleOrderSetcontainingtwoworkingorders. YourapplicationreceivesaFullFillRecordfromtheFillServer.Inyour eventhandlermethod,youqueryforthenumberoforderscontained withintheOrderSet. TheOrderSet(may)reportbackthatitcontains2 orders.Thisseemslike anerrorbecauseyourFullyFilledordershouldnolongerexist.
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Itsnotanerror. TheOrderSetwilleventuallycorrectitself when theOrderServerprocessestheFillRecordandsends thenotificationtoyourapplication.Thisinflight issuemustbeconsideredwhendecidingwhetherto utilizeRapidFillDelivery.
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Thesepropertieswillnotbeavailablefromthe FillRecordwhenRapidFillDeliveryisON:
Ex:OrderNo OrderNo FillKey
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BrokerTec must useRapidFillDelivery

OnBrokerTec,duringtheWorkupPhase,theexchangewill notsendaFillNotificationuntiltheWorkupPhaseiscomplete. TheFillrecordsareheldattheFillServer.Togetaroundthis, turnonRapidFillDelivery,whichwillforcetheFillReceiptstobe sentfromtheOrderServer.
Youwillnotreceivefillnotificationsuntilafterthe WorkupPhaseisoverunless youenable RapidFill Delivery.
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RapidFillDeliveryUsageGuidelines
In General
TurnRFDOn if TurnRFDOff if Responding toFills(e.g. Accurate OrderBook hedgingaspread)istheprime managementistheprime functionofyourapplication functionofyourapplication
Thedeterminationofwhethertoenable ordisable RapidFillDeliveryshouldbebasedonthe requirementsoftheapplication.Thereisnosimple YesorNoanswer.
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RapidFillDelivery
Now that the costs and benefits of Rapid Fill Delivery are clear, if you decide to enable them in your application, here is how:
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Agenda
38
UseXTAPIproperties
Manyuserstrytotrackmarketandorder statusvaluesthemselves. XTAPIdoesitforyou. ThefollowingslidesillustrateseveralOrderSet propertiesthatwillprovideaccurateposition information.
39
UseXTAPIproperties BuyPosition
NetPos Currentnetpositionbasedonfills BuyPos Quantityboughtbasedonfills
Example: Youhaveasinglebuyorderinthemarketwithanorderquantityof12. Youreceiveapartialfillof8fortheorder OrderSet.NetPos is8 OrderSet.BuyPos is8 OrderSet.SellPos is0
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UseXTAPIproperties SellPosition
NetPos Currentnetpositionbasedonfills SellPos Quantitysoldbasedonfills
Example: Youhaveasinglesellorderinthemarketwithanorderquantityof18. Youreceiveapartialfillof11fortheorder OrderSet.NetPos is11 OrderSet.BuyPos is0 OrderSet.SellPos is11
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CombinedPositionExample
Example: Yousubmitasinglebuyorderwithanorderquantityof12. Youreceiveapartialfillof8fortheorder Yousubmitasinglesellorderwithanorderquantityof18. Youreceiveapartialfillof11fortheorder
OrderSet.NetPos is3 OrderSet.BuyPos is8 OrderSet.SellPos is11
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OrderSet:BuyCnt /SellCnt
BuyCnt returnsthenumberofindividualbuyorders SellCnt returnsthenumberofindividualsellorders
Example: Therearethreebuyordersinthemarket, withorderquantitiesof5,12,and17 Therearetwosellordersinthemarket, withorderquantitiesof2and8 OrderSet.BuyCnt =3 OrderSet.SellCnt =2
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OrderSet:BuyWrk /SellWrk
BuyWrk returnstheaggregatequantityofbuyorders SellWrk returnstheaggregatequantityofsellorders
Example: Therearethreebuyordersinthemarket, withorderquantitiesof5,12,and17 Therearetwosellordersinthemarket, withorderquantitiesof2and8 OrderSet.BuyWrk =34 OrderSet.SellWrk =10
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AverageCostofBuys/Sells
This slide assumes that your Order Set contains orders and fills for a single Instrument
AverageCostofBuys(inTicks)=BuyTicks /BuyPos AverageCostofSells(inTicks)=SellTicks /SellPos

Todeterminetheaveragecostofyourbuyorders containedwithinthisOrderSet,divideOrderSet.BuyTicks byOrderSet.BuyPos Todeterminetheaveragecostofyoursellorders containedwithinthisOrderSet,divideOrderSet.SellTicks byOrderSet.SellPos
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Agenda
46
ImpliedPriceEngine
Bydefault,XTAPIhastheImplieds EngineturnedOFF Bydefault,RTDhastheImplieds EngineON ToturnXTAPIs ImpliedEngineON, theInstrumentobjects CalculateTTImplieds propertyshould besettoTRUE(1)
47
Exchangevs TTImplieds
XTAPIs ImpliedEnginewillcalculateimpliedprices formarketswhentheExchangedoesnot disseminateitsownimpliedprices. TurningtheImpliedEngineON orOFF willnotaffect Exchangedisseminatedimplieds prices,onlyXTAPI generatedimplieds.
Certainexchanges(e.g.LIFFE)disseminatetheirownImplied prices.Inthiscase,turningtheXTAPIImpliedEngineON/OFF hasnoimpact.
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ImpliedDepth?
TheXTAPIImpliedEnginedoesnotcalculate ImpliedDepth. IftheExchangedisseminatesImpliedDepth, XTAPIwilldeliverthisdatatoyou. NotethatX_TRADERdoesnotdisplayImplied Depth.TheonlywaytoreceiveExchange disseminatedImpliedDepth,inTT,isthrough XTAPI.
49
DirectversusImpliedPriceFields
ToviewDirectPricesonly: Ask BidQty Bid AskQty
ToviewImplied(TTCalculatedorDisseminated)Pricesonly: IAsk IBidQty IBid IAskQty
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MergingImplieds
ToviewtheBestPrice,whetherDirectorImplied:
MIAsk MIBidQty MIBid
MIAskQty
CalculateTTImplieds hasnoeffectonMergingImpliedandDirect quantities.However,onlyExchangedisseminatedImpliedquantitieswill bemergedifCalculateTTImplieds isOFF.
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MergingImplieds Examples
WhentheImplied BidistheBestBid: MIBid = IBid MIBidQty = IBidQty WhentheDirect BidistheBestBid: MIBid = Bid MIBidQty = BidQty WhenImpliedBid andDirect Bid pricesareequal: MIBid = Bid MIBid =IBid MIBidQty = BidQty +IBidQty
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Agenda
53
InstrNotify
YoucanattachmultipleInstrumentstoasingleInstrumentNotifyobject:
Nowbothinstrumentswillusethesameeventhandler
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InstrNotify
Benefits
Couldresultinlesscode Singlepointofprocessing LotsofIFstatementsandcomparisons Lessevents=lesscontextswitching
Risks
Processingonecontractmayleadto missedmessages
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OrderProfile
ATTOrderProfile objectisusedtopopulatetheattributesofan order.AneworderiscreatedbycallingtheOrderSet.SendOrder() method,passingtheOrderProfileobjectasaparameter. SomethingstokeepinmindaboutOrderProfiles: IsWriteOnly ToquerypropertiesofaTTOrderProfile object,useGetLast instead ofGet. TheobjectspropertiesarenotfullycreateduntiltheOrderProfile isconvertedtoaTTOrderObj bycalling TTOrderSet::SendOrder(myOrderProfile);
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TTHotKeyNotify TheLostObject
YoucanusetheTTHotKeyNotify objecttoreceiveaneventcallbackwhen akeycombinationispressed.YoucanmapXTAPIfunctionalitytothisevent
Forexample,userscancreateaHotKeythatwillfireanevent whentheSpaceBarispressed.Thiswouldbeaquickand convenientwaytoimplementaDeleteAllOrderspanicbutton
WARNING! TheHotKeyisregisteredwithWindows. Thereforeanyuseofthekeyoutsidetheapplicationwillresultin yourapplicationreceivingthecallbackandpossiblytakingaction.
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Agenda
58
OrderSet Overview
XTAPIallowsthesegregationofworkingordersandfills intologicalgroupingscalledOrderSets PropertiessuchasP&L,NetPosition,BuyCount,etc arecalculatedattheOrderSetlevel OrderStatuseventsfirefromOrderSets ThereisalwaysatleastoneOrderSet,butausercan createmore
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ToomanyOrderSets
WhilethereisnohardcodedlimittothenumberofOrderSets ausermaycreate,youshouldunderstandthateachOrderSet comeswithacost. WhenaFillRecordorotherUpdateisreceivedbyXTAPI,it mustevaluateeachOrderSettodetermineifanOrderSet Updatenotificationisrequiredtobesenttoyourapplication. ThemoreOrderSetsthatneedtobeevaluated,themore performancewillbeimpacted. BeconsciousofthecostincurredwitheveryOrderSetthatyou create.
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UsingmultipleOrderSets
Maybeadvantageousbecause: Youcanlogicallygrouporders,suchasbuyorders inoneordersetandsell ordersinanother. ForeachOrderUpdate,everyorderintheOrder Setmustbeevaluated.Bylimitingthenumberof ordersineachOrderSet,youmayexperience performancegains.
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OrdersinOrderSetsareOrdered
WhenrequestingthelistoforderscontainedwithinanOrderSet thereturnedarrayisalreadyorderedsuchthatthegreatertheindex, thefurtherawayfromtheInsideMarket.
WorkingorderswithinanOrderSetare orderedsuchthatWorkingSellscome beforeWorkingBuys
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OrdersinOrderSet areOrdered
Asimpleexample:
Ifyouhave10workingorders,andthefirst5areSells,to gettheBuyorderclosesttotheinsidemarket: TTInstrObj myInstr =(TTInstrObj)m_TTOrderSet[5];
Amoredynamicexample:
UseXTAPIpropertiestodeterminethenumberofworkingSellorders, AndthenoffsetthearraytojumptothefirstBuyorder: int workingSells =(int)m_TTOrderSet.get_Get(WrkSell); TTInstrObj myFirstBuy =(TTInstrObj)m_TTOrderSet[workingSells];
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OrdersinOrderSet areOrdered
Forasingleorderoneithersideofthemarket:
TTInstrObj mySell =(TTInstrObj)m_TTOrderSet[0]; TTInstrObj myBuy =(TTInstrObj)m_TTOrderSet[1];
WithonlyasingleBuyandsingleSell inthemarket,theSellorderwill always bethefirstinthearray,and theBuyorderthesecond.
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TickPrice
Usethismethodtodeterminethetrueticksize
Starting Price
TheoneTickstringwillnowcontainthe pricedifferencebetween0ticksand1tick, effectivelygivingyouthecontractsticksize.
Increment
Output Format
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IteratinganOrderSet
Warning! TheOrderSetcanchangewhileyouareiterating
IfyoumustiteratethroughtheOrderSet,usethe.Net foreachinsteadoftheCstylefor Theforloop,relyingonanindextomovethroughacollection,must firstloadallofthecollectionmembersintomemory.foreachimplements TheIEnumerable interface,whichisanativeconstructin.Netallowingthe iterationthroughacollectionwithouthavingtoloadthecontentsofthe collectioninmemory. Withforeach,youcancatchaspecificexception System.InvalidOperationException thatwilloccurifthecollectionis modifiedduringyourprocessing.
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UseTickstospecifyprice
Internally,XTAPIwillconvertallpricestoTicks.Specifyingatick priceforanorderwillsavethetimespentwithaconversion.
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Agenda
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SeriesKeys
ASeriesKeyisanumericidentifierforaFinancialInstrument withintheTTenvironment.
Notes:
Serieskeysareguaranteed tobevalidonlywithin asingleexchangesession IfyourapplicationstoresSeriesKeys,youshould rerequestthekeyatthebeginningofeach exchangesession.
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WorkingwithSeriesKeys
Torequesttheserieskey,openaninstrumentbyspecifyingthe Gateway/Product/ProductType/Contract. ThenrequesttheSeriesKeyfromtheInstrumentobject:
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WorkingwithSeriesKeys
YoucanalsoopenaninstrumentwithaSeriesKey,andthenextractthe Gateway/Product/ProductType/Contractproperties:
Exampleofa previously extracted SeriesKey
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XTAPI Tips and Tricks

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X_TRADERAPITipsandTricks

Athreadcontextswitchwill occurwheneveramethodor propertyofXTAPIiscalled fromyourMTAapplication.

UserWorker Thread XTAPI XTAPIAccess Thread UserWorker Thread UserWorker Thread

AsingleVARIANTiscreatedtoholdallofthe propertyvalues.Dataextractionintotypedvalues occursinnativecode.

3PriceLevels oneitherside oftheMarket

NowonlychangestotheLastTraded Price,theBestBid,ortheBestAsk willresultintheeventbeingfired.

Ex:OrderNo OrderNo FillKey

BrokerTec must useRapidFillDelivery

Youwillnotreceivefillnotificationsuntilafterthe WorkupPhaseisoverunless youenable RapidFill Delivery.

Thedeterminationofwhethertoenable ordisable RapidFillDeliveryshouldbebasedonthe requirementsoftheapplication.Thereisnosimple YesorNoanswer.

OrderSet.NetPos is3 OrderSet.BuyPos is8 OrderSet.SellPos is11

AverageCostofBuys(inTicks)=BuyTicks /BuyPos AverageCostofSells(inTicks)=SellTicks /SellPos

ToviewImplied(TTCalculatedorDisseminated)Pricesonly: IAsk IBidQty IBid IAskQty

MIAsk MIBidQty MIBid

CalculateTTImplieds hasnoeffectonMergingImpliedandDirect quantities.However,onlyExchangedisseminatedImpliedquantitieswill bemergedifCalculateTTImplieds isOFF.

Forexample,userscancreateaHotKeythatwillfireanevent whentheSpaceBarispressed.Thiswouldbeaquickand convenientwaytoimplementaDeleteAllOrderspanicbutton

WARNING! TheHotKeyisregisteredwithWindows. Thereforeanyuseofthekeyoutsidetheapplicationwillresultin yourapplicationreceivingthecallbackandpossiblytakingaction.

WorkingorderswithinanOrderSetare orderedsuchthatWorkingSellscome beforeWorkingBuys

WithonlyasingleBuyandsingleSell inthemarket,theSellorderwill always bethefirstinthearray,and theBuyorderthesecond.

TheoneTickstringwillnowcontainthe pricedifferencebetween0ticksand1tick, effectivelygivingyouthecontractsticksize.

Serieskeysareguaranteed tobevalidonlywithin asingleexchangesession IfyourapplicationstoresSeriesKeys,youshould rerequestthekeyatthebeginningofeach exchangesession.

Exampleofa previously extracted SeriesKey

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