Professor Algo ADL Beginner 101 Direct your questions/comments to: - - PowerPoint PPT Presentation

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Jan 20, 2024 488 likes •699 views

Professor Algo ADL Beginner 101 Direct your questions/comments to: adl@professoralgo.com professoralgo.com ADL Beginner 101 Before we continue... Grab a pen and piece of paper. Were going to ask you to write down some important

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Professor Algo ADL Beginner 101

Direct your questions/comments to: adl@professoralgo.com

ADL Beginner 101 professoralgo.com

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Before we continue...



Grab a pen and piece of paper. We’re going to ask you to write down some important concepts.



Questions are encouraged! Write them down as they appear, and get them to us ASAP. Your feedback WILL play a large role in how much time is spent on different areas. The squeaky wheel gets the grease...



All of the material will be available

nline to watch as many times as

you like. Take full advantage.

ADL Beginner 101 professoralgo.com

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Review: Week Two

LAST WEEK’S OBJECTIVES:

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Discrete Blocks, Formula Builder (Green Canvas) Explained

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Discrete Message Propagation Explained

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Use of State Blocks, Branch Blocks, Sequencers, Logic Loops, etc.

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Get Information from Fill Messages and use it in Formulas

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Algos we built: 1)“Profit OCO Trailing Stop” 2)“Slingshot Engage”

ADL Beginner 101 professoralgo.com

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Review: Types of Messages

CONTINUOUS MESSAGES

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Information that is continuously disseminated by an exchange. This is a singular value.

ADL Beginner 101

DISCRETE MESSAGES

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Information disseminated from or submitted to an exchange upon

ccurrences of market events that

happen at a single moment in time. This is a package of values together.

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Review: Formula Builder

ADL Beginner 101 professoralgo.com



Extract information embedded within a discrete message.

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Define user-made equations which control the operation of the block.

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Start The Message Extract The Information Control The Movement

ADL Beginner 101

Review: Discrete Messages

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Review: Discrete Messages

Start The Message

ADL Beginner 101 professoralgo.com

Create a discrete message with two types of blocks:

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Blocks that talk to an exchange

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Blocks that don’t

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Review: Discrete Messages

Extract The Information

ADL Beginner 101 professoralgo.com

Extract or accumulate the values within

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Review: Discrete Messages

Control The Movement

ADL Beginner 101 professoralgo.com

Each block has a different way to manage the flow of information

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Review: Homework 1

professoralgo.com ADL Beginner 101

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Review: Homework 2

professoralgo.com ADL Beginner 101

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Week Three: To The Market

THIS WEEK’S OBJECTIVES:

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Introduction to Virtualization: Copies of logic execute simultaneously

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Order Ticket Algorithms (OTAs): Launch directly from MD Trader

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Algo Deployment and Management

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Misc Blocks Explained

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Algos that we build: 1)“Chaser” 2)“Time-Activated Liquidator”

ADL Beginner 101 professoralgo.com

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Using Single Order Containers

ADL Beginner 101 professoralgo.com

Allows you to fine tune the management of your working orders

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Introduction to Virtualization

ADL Beginner 101 professoralgo.com

Allows multiple copies of a portion of logic to execute orders simultaneously

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Algorithm Deployment

ADL Beginner 101 professoralgo.com

 Algo Dashboard  Order Ticket Algorithm (OTA)  Existing Order Block

3 Different Ways:

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Algorithm Management

ADL Beginner 101 professoralgo.com

 Algo Dashboard  Export Values  Fill Window  Audit Trail

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This Week: Chaser

ADL Beginner 101 professoralgo.com

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This Week: Chaser

Data/Variables (Inputs) Calculations (Process) Actions (Outputs)

ADL Beginner 101 professoralgo.com

Instrument, Initial Price, Order Qty, Tick, Lean Qty, Min Lean Qty Threshold Current Algo Price, Lean Price, Lean Qty Breached, Chase Order Block to change Limit Price and Buy/Sell

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This Week: Time-Activated Liquidator

ADL Beginner 101 professoralgo.com

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Data/Variables (Inputs) Calculations (Process) Actions (Outputs)

ADL Beginner 101 professoralgo.com

Instrument, Hour/Min/Sec, Tick, Lean Qty, Min Lean Qty Threshold Time Generator, Our Price, Lean Price, Price is Current, MinQty Breached, Chase Single Order Container Block to change Limit Price and Buy/Sell