Results for “Autospreader”

Synthetic Spread Charts in the TT Platform

I recently ran across an interesting post on EliteTrader. The author was looking for software capable of charting synthetic spreads with more than two legs such as the bund-bobl-schatz fly or crack spread. I shared my thoughts on the topic in the EliteTrader forum, but I thought the topic was compelling enough to address here on Trade Talk.

As was mentioned on EliteTrader by another member, charting a synthetic spread created from the underlying legs is not as simple as comparing the last traded price of one leg to the others or using one-minute bar data to compute the spread prices. To prevent from “charting a mirage” as the member stated in the post, we have gone out of our way to provide a better spread chart here at TT. We capture all best bid-ask market moves and traded prices, such that we look at one leg’s best bid or ask price when a trade occurs on the other leg’s bid or ask.

The above method creates an excellent synthetic spread chart, and we support up to 10 legs in a spread. The nice thing about TT is once you create the spread for trading, there is no additional work to create the spread chart. You can request the synthetic instrument and add studies and drawing tools just like a regular instrument in the chart.

Our bid-to-bid/ask-to-ask spread charts will calculate a spread price whenever there is a trade on one leg. If the trade occurs on the bid of leg one, then we will look at the bid of the other legs if they are required to sell and the ask if they are required to buy to determine the spread price. This effectively acts as getting edge on one leg with a limit fill, and the other legs going to market to complete the spread.

Synthetic spread charts (L) will have more data and provide more information
about how a spread moves compared to exchange traded spread charts (R).


The Growth of Swap Futures and the Box Trade: A Conversation with Eris Exchange

Mike Riddle,
COO of Eris Exchange

The passage of Dodd-Frank in 2010 required standardized derivatives to trade on open platforms and be submitted for clearing to central counterparties. As a result, many trades previously conducted over the counter moved onto exchanges backed by central counterparty clearing.

Drew Shields, our head of product management, sat down with Mike Riddle, the COO of Eris Exchange, a futures exchange that lists cash-settled interest rate swap futures, and Bill Campbell, TT’s director of fixed income products, to discuss the growth of swap futures and associated trading opportunities, specifically box trades.

Drew: Let’s take this from the top. Mike, can you talk to our readers about Eris Exchange?

Mike: Happy to. Eris Exchange is a futures exchange—a designated contract market regulated by the CFTC—that has been steadily growing since inception in 2011. We provide banks, commercials and prop traders a capital-efficient way to access interest rate swap futures. Increasingly, we are seeing prop trading groups access our market for unique trading opportunities.

Drew: Bill, as an expert in fixed income trading, can you tell our readers how they can leverage our connection to Eris using X_TRADER® and eventually our new TT platform?

Bill: X_TRADER already provides access to CBOT Treasury futures, cash markets at eSpeed and BrokerTec, along with Eris. A complete list of supported markets is on our website. Within this mix of liquidity pools, there are hundreds of ways to spread and trade fixed income contracts. Since Eris is the leading swap futures exchange, we’re planning to make that connection available very soon through our new TT platform. With our suite of automated trading tools including Autospreader®, Autotrader™ and the ADL® visual programming platform, our high-performance connections to the primary fixed income markets and our FIX and proprietary API solutions, it’s a great time to be trading fixed income products with X_TRADER and soon with the new TT.

#PreviewTT: ADL®

Last week’s #PreviewTT series on Twitter focused on the ways we’re enhancing our award-winning visual programming platform, ADL (Algo Design Lab), in the new TT platform. We’ve recapped the content below.

ADL is one of our most powerful tools for algorithmic traders, with drag-and-drop building blocks that allow you to quickly create, test and deploy automated trading strategies without any manual programming. With ADL you can leverage fleeting market opportunities without the need for manual coding or expensive programmers.

The TT version of ADL will include the same powerful features as the X_TRADER® version along with many significant enhancements. Here’s a sampling:

  • You’ll have the ability to drive Autospreader® from ADL. We just released this functionality to production on Friday, so if you have a TT account, you can log in now and give it a try.
  • You also can drive one algo from another through the new Algo block. Algos can be based in different locations—for example, an algo running in New York can drive an algo running in London—delivering the ultimate in flexibility and performance.
  • You can create algos using ADL or with our new high-performance API, TTSDK™.
  • Our popular Autotrader™ tool is now part of ADL, serving as both a market-making algo and a graphical interface that’s tailored to drive the algo.

All ADL-created algos will run on co-located execution servers, so performance will be faster than ever.

And just like your workspaces and everything else in TT, all of your algos and configurations are accessible wherever you go thanks to our software-as-a-service (SaaS) architecture.


#PreviewTT: The Next-Gen Autospreader®

Autospreader was the focus of our ongoing #PreviewTT series last week on Twitter.

If you followed along, you already know that the TT version of Autospreader will provide a familiar experience to existing users along with significant functionality and performance enhancement that make Autospreader even faster, more powerful and easier to use.

For example, now you can:

  • Use the new Rule Builder to differentiate your spreading strategies. You can easily create custom pre-quote, pre-hedge and post-hedge logic from scratch, or simply tweak the pre-built Autospreader features by editing them in Rule Builder.
  • Launch spreads in the compact, tabbed MD Trader® to conserve screen space.
  • See prices that reflect the true instrument value rather than the raw exchange value.
  • Experience faster-than-ever performance thanks to our newly built collocated infrastructure, which features the most advanced technology. You can even view hedge latency in real time and see how your server-based strategies are performing. By the way, we think you’ll like what you see.

And with TT, all of your workspaces and spread configurations go where you go. You can create a spread using a laptop, deploy it from your office workstation and manage it from your phone. The experience is consistent no matter where you are and what device you use.