Spread Fill Generator Block
Spread Fill Generator Block collects fills from multiple trading blocks and calculates a spread price, as if each instrument pertaining to each of the trading blocks comprise a custom spread.
To use the Spread Fill Generator, the user must:
- Create multiple pairs consisting of an Instrument Block and a trading block (e.g., Order Block), with each pair serving as a device to quote orders for a single leg of the user-designed spread.
Double-click on the Spread Fill Generator Block and specify the legs of the user-designed spread by selecting the Instrument Blocks created in Step 1 (see Double-Click Edit Window below for more information). The Spread Fill Generator will automatically expose 3 input ports for each leg specified: Instrument, Ratio and Multiple
- Instrument Input: Feed message from the appropriate trading block created in Step 1
- Ratio: Feed a numeric value which determines how many units of the respective leg are needed. The sign of the input determines whether the units need to be bought or sold.
Multiple: Feed a numeric value which serves as the multiplier used for the respective leg during spread price calculation
Note: The signs for Ratio and Multiple will usually be the same.
Once every leg achieves the required number of units (specified by each leg's input), Spread Fill Generator will use the following formula to calculate the spread price:
- Spread Price = (Leg 1 Average Price x Leg 1 ) + (Leg 2 Average Price x Leg 2 ) + ... for all legs
- The calculated spread price will be displayed in Audit Trail, and the Spread Fill Generator will output a discrete event message containing the calculated spread price.
Double-Click Edit Window
Double-click on the block to bring up an edit window:
: Clicking this button will generate a list of all Instrument Blocks existing on the canvas. Once an Instrument Block is selected from this menu, the Spread Fill Generator will consider the respective Instrument as a leg of the user-designed spread. Note that an Instrument Block cannot be selected twice from this menu.
Example. Add Leg Menu
- : Clicking this button will remove the respective Instrument Block from the Spread Fill Generator's list.
- Net Change: Check this box to instruct the Spread Fill Generator to use the Net Change (instead of price) for the respective instrument for the purpose of spread price calculation.