These studies require an enablement and are not available with QTrader.
•Algo Order Analytics studies can be used on a chart and on the Algo Order Monitor.
•You must be logged on to trade in order to see study outputs.
•Order ID is displayed in the upper-right corner of the study pane.
•Delayed contracts can be used with these studies.
•If you change the symbol on the chart, these studies are no longer active.
•If you display these studies on a chart that has continuation turned on, the studies are applied only if the full name of the underlying contract is the same as the order’s contract. The data of the underlying contract is the data used for calculation.
•Studies (except for Average Fill Price, Order Fills, and Fraction of Daily Volume) are not available for synthetic strategies, UDS contracts, or inverted contracts.
•Studies (except for Average Fill Price, Order Fills, and Fraction of Daily Volume) start using best bid, best ask, and last trade values when the order is placed (in some time range prior to order placement).
•All of these studies have two parameters that uniquely identify the order: gateway account ID and order GUID. It is assumed that these parameters are filled automatically, either by window linking or by dragging and dropping.
•Values of studies (except for Average Fill Price, Order Fills, and Fraction of Daily Volume) are calculated for each bar taking into account all input data from either the start of the next bar or the last transaction of the order, whichever is first.
•As soon as the order is complete, the study terminates.
•You are able to drag and drop and order from the Orders and Positions window (orders windows) into a chart that has an algo order analytics study applied, if the chart is for the same contract. The order must be static, meaning that order actions are unavailable.
Preparation (preprocessing of ticks for the order execution interval)
•Retrieve ticks of specified type (bid or ask) in the time range starting with place acknowledgment time of the order (minus some initial small delta) and ending with time of last fill of the order [tplace – delta; tfill].
•If there is no ticks in the sub-interval [tplace – delta, tplace] then extend the sub-interval to the left until either there is at least one tick in the sub-interval [tplace – delta, tplace] or the interval becomes wider than a preconfigured limit and thus the algo is treated as failed because of lack of data.