Algo orders (order scripts)

Algo orders are order types you program yourself. A small Lua script — the same language as custom indicators — describes how to work an order, and the ticket’s Algo mode runs it: the script declares the child orders it wants resting each tick, and the engine keeps the venue in sync. Nocterm ships a chaser, a TWAP, a scaled ladder, an iceberg, and a trailing stop as editable seed scripts, and anything you write appears in the ticket alongside them.

Where: Trade panel ▸ AlgoLanguage: Lua (sandboxed)Venues: paper, replay, and live

📷

Screenshot needed

id: trading-algo-orders-ticket

The ticket's Algo mode: script picker, the script's own inputs, and the parent size

suggested 1280x720

How an algo order runs

You give the ticket a parent order — side, quantity, and a script. From then on the script runs on every engine tick (order-book updates plus a 4 Hz heartbeat) and declares the working orders it wants resting right now:

script("Chaser", "order")
-- rest at the near touch and follow it until the parent fills
quote{ price = touch(), qty = remaining(), post_only = true }

Declaring is the whole job. The engine diffs that intent against what’s actually on the venue — amending where the venue supports it, cancel-and-replacing where it doesn’t — so a re-priced quote keeps its queue identity where possible, and a script bug cannot orphan an order: anything the script stops declaring is cancelled, and stopping the algo cancels everything.

The script reads live context — bid(), ask(), mid(), touch(), last(), filled(), remaining(), elapsed(), pos(), and entry() (your open position’s average entry, so exits anchor to the real fill, not to when you attached the algo) — and ends with take() (market the remainder), done(), or fail(msg). The engine finishes automatically once the parent is filled.

Order scripts run on ticks, not bars, so the time global is the current tick’s time in seconds since epoch — the wall clock when live, the replayed candle clock in the editor’s Sim tab. Prefer elapsed() for pacing (“how long has this algo been working”); use time when the schedule is anchored to the clock itself, like stopping at the top of the hour.

Running one

1. In the trade ticket, pick Algo (next to Market / Limit).
2. Choose a script — the seeds, or anything you’ve saved with script(name, "order").
3. The script’s input() parameters appear as fields; set them and your size, then submit.

Working algos show in the Blotter as a WORKING ALGOS strip — progress, elapsed, state, and a Cancel button — and on the chart, where each resting rung draws as a dashed line tagged with the script’s name (the top rung carries the fill progress). The lines aren’t draggable — the script owns its prices — but a right-click on one offers Cancel algo.

📷

Screenshot needed

id: trading-algo-orders-chart

A working scaled ladder: dashed rung lines on the chart and the WORKING ALGOS strip in the Blotter

suggested 1280x720

The seed scripts

Script	What it does
chaser	Rests post-only at the touch and re-prices as the market moves; gives up and markets if price runs max_chase_pct away.
twap	Slices the parent evenly across window_min minutes, working each slice at the touch.
scaled_ladder	Spreads rungs weighted limit orders across range_pct from the touch.
iceberg	Shows only show_pct of the size at a time; each fill posts a fresh tip.
trailing_stop	Rests nothing — tracks your position’s favorable extreme from its entry and markets the remainder on a trail_pct retrace. activation_pct waits for that much profit before arming; hard_stop_pct (optional) protects the wait with a fixed stop.

They’re plain .lua files — open them in the Editor, tweak, save under a new name, and the ticket lists your version.

Dry-run in the Sim tab

Order scripts get their own preview in the editor: the Sim tab replays your unsaved buffer against real recent candles or canned scenarios (trend up/down, chop, a gap), through the same reconciliation logic the live engine uses. You get a tape chart with every fill, reject, and placement marked, execution stats (average fill vs arrival and VWAP, maker/taker split, operation counts), and a full event journal. Tick start filled to simulate an exit — pos() and entry() behave as if the position already exists.

📷

Screenshot needed

id: trading-algo-orders-sim

The editor's Sim tab: scenario picker, execution stats, the annotated tape, and the event journal

suggested 1280x720

Tip

Iterate in the Sim tab, then smoke-test on a paper venue before pointing an algo at a live exchange. Sim fills are flattering — full maker fills, no queue position — so treat its cost numbers as relative, not attainable.

Safety rails

The engine owns the guardrails, not the script: prices snap to the venue tick, declared size is clamped to the parent’s remainder (no overfills), mutations are rate-limited and capped per hour, a reject loop halts the algo, and quitting the app, the kill switch, or a replay reset all cancel every child order. On live venues that can’t amend, replacements only go out after the cancel is acknowledged, so you’re never double-exposed.

Caution

An algo order works your parent order; it does not manage risk beyond it. A chaser will happily follow a crashing market to its give-up limit — size the parent accordingly.

Related

• The trade ticket — where Algo mode lives.
• Custom indicators (Lua) — the editor and the language.
• Trading bots — for strategies that decide what to trade; order scripts only execute.