Rithmic Enhancements

Significant enhancements have been added to our Rithmic connector (some of which have been described in the DOM Enhancements section: MBO, Bid/Ask Counts, Depth Levels and Position in Queue).

Native Order Types

The following native implementations have been added for the following types of orders:

1. OCO – One Cancels Other

2. Bracket (Attached) Orders – Limit/Stop orders with attached profile/stop orders

3. Trailing Stop – Trailing stop orders

4. LIT/MIT – Limit if Touched/Market if Touched

5. Iceberg – Limit orders with the actual size hidden

@Bid/@Ask Values for Live Quotes

Live quotes use the “Aggressor Side” flag to determine a live quote was at the bid or ask price instead of relying on the Best Bid/Ask values (which are not guaranteed to be in sync). This will ensure that live quotes are correctly interpreted for Bid vs Ask volume and will match historical tick data.

Latest Rithmic API

We have upgraded to the latest Rithmic API (10.6.0.0).