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Autospreader

Configuration Dialog Box Field Descriptions

After you add legs to this window, configure the optimal spread parameters based on your needs and click OK to save them. To leave this window without saving your changes, click Cancel.

Configuration parameters are grouped as follows:

Quoting Properties:

  • Active Quoting
  • Base Volume Lean
  • Offset Volume Multiplier
  • Quoting Mode
  • Max Price Move
  • Max Order Move
  • Messaging Controls: Inside Smart Quote, Smart Quote Limit, Basic Slop

Hedging Properties:

  • Payup Ticks
  • Hedge Round
  • Pre Hedge Rule
  • Post hedge Rule

Order Properties:

  • Queue Holder Orders
  • Default Reload Quantity
  • Default Reload Offset

The Autospreader Configuration dialog box consists of the following fields:

Field Description

Instrument Name

Sets the spread name as it appears in the Autospreader® Manager dialog box and the spread MD Trader.

Based On

Sets how prices are displayed. Your options are:

  • Price Differential: Prices display as the implied price of the spread.

Example: Leg A Price (*) User-Defined Multiplier – Leg B Price (*) User-Defined Multiplier= Implied Price

  • Net Change: Prices display based on the individual legs' net change from the previous day settlement.

Note: If you base spread prices on Net Change , you disable calculations in the Tick Information section. The Calculated Tick Size defaults to 25/100. You can still use the Override Tick Size to change it.

  • Ratio: Prices display as a percentage ratio (divides Leg A price by Leg B price).

Note: The Ratio setting is for two-legged spreads.

  • Yield: Prices display in yield. When enabled, an additional set of “Yield” parameters is displayed that can be configured for each leg.
  • Custom: Prices display based on a custom formula for the implied spread price. Create the formula in the Custom Formula window.

Custom Spread Formula

Allows you to configure a custom spread formula using standard arithmetic operators when Custom is selected in the Based On field. Formulas are validated as they are entered in the free-form text field using an intellisense-like functionality. The Standard Implied Price formula is displayed by default. For more details, refer to Custom Spread Formula .

LTP

Determines how the last traded spread price is calculated:

  • Bid to Bid/Ask to Ask: Whenever one of the legs comprising the spread has a trade, the Autospreader strategy engine assigns a hypothetical trade price at the best bid or best ask (i.e., a hypothetical LTP) to the other legs. Then it will substitute the trade prices determined for each leg into the spread formula to determine the synthetic last traded price of the spread. On by default.
  • Last to Last: The last traded price of the spread legs.

Leg Color

Selects the color of working spreads and corresponding leg orders in MD Trader, the Market Grid, and the Floating Order Book.

Note: When an offsetting hedge order is not immediately executed, the working order displays in a non-standard orange color. This color is not configurable. The color black indicates there are orders with more than one color at a given price level.

Add Leg Adds additional legs to a new or modified spread.

Autospreader Configuration Parameters

Field Description

Delete ()

Deletes the corresponding leg of a spread.

Note: If a leg is deleted here, open MD Trader legs remain open.

Contract

Displays the contract name. Click the drop-down arrow for each Leg to display the MD Trader Instrument Explorer and select a market, product type, product, and instrument (contract).

Customer Account

Displays a list of available brokers and customers (X_TRADER ASP environment) or a list of customers only (non-X_TRADER ASP). Both Routing Configuration Dialog boxes provide order gateway selection. Click the drop-down arrow to display the lists. To select, double-click the name of the broker, customer, and/or TT Gateway. Populate order and account information as needed or required by the Exchange.

Multibroker:

Non-X_TRADER ASP:

Note: If needed, you can change the Customer Account for the legs in the Market Window Order Pane and Autospreader MD Trader window for Autospreader spread orders.

Spread Ratio

Indicates the quantity of each leg in relation to the others. A negative sign (-) before the number indicates a short leg.

The Spread Ratio field allows a value of zero for spreads that require a leg for spread calculation purposes only, and not for entering orders as a part of the spread. When a leg has a value of zero in the Spread Ratio field, no quoting orders or hedge orders will be submitted in that leg as a part of a spread, but a spread fill is generated. The current inside market price at the time of the quoting leg fill will be used for the leg fill price when creating the spread fill.

Values entered in the Spread Ratio field do not affect the spread price.

Spread Multiplier

Weights the value of the leg price to calculate the spread price.

Leg A Price (*) Leg A Spread Multiplier - Leg B Price (*) Leg B Spread Multiplier = Spread Price

Note: The multiplier can be a whole number, decimal number, or fraction. Fractional representation optimizes ticking accuracy.

Example: A Spread Multiplier of 0.333333 displays as 1/3 in the Tick Information section.

Consider Implieds

Determines whether or not your leg orders will lean on implied prices and quantities. This property works in conjunction with the implied settings on the Trading tab in the main X_TRADER Properties menu.

  • When the Consider Implied checkbox is checked for a leg, Autospreader will use both direct and implied prices for hedging into that market.
  • When the Consider Implied checkbox is not checked for a leg, Autospreader will only use direct prices for hedging into that market.

Note: If the Consider Implied option is selected, but the implied options on the Trading tab are not selected, your spread legs will not consider implieds.

Quoting Properties

Active Quoting

Sets whether Autospreader actively quotes the leg. If unchecked, orders for that leg are only sent when the other leg fills.

Enabled by default.

Note: You can enable Active Quoting on up to 3 legs.

Base Volume Lean

Defines a minimum quantity required for quoting orders to lean against.

Note: If you want to lean only against the inside market and not lean on multiple levels of depth you can set the Offset Volume Multiplier to 0 and the Base Volume Lean to 1.

Offset Volume Multiplier

Lets you define a multiple of the order quantity of one leg, which Autospreader uses to determine the price at which it quotes the other leg.

The field accommodates decimals up to three places.

Example: If the quantity on the second leg of the spread is 10 and the trader assigns an offset volume multiplier of 2, Autospreader determines the price level at which 20 contracts of cumulative market quantity exists on the second leg and uses this to determine the price at which it quotes the first leg of the spread.

This feature helps prevent legging risk. (i.e., filled on one leg but not the other.)

Note: If you want to lean only against the inside market and not lean on multiple levels of depth you can set the Offset Volume Multiplier to 0 and the Base Volume Lean to 1.

Quoting Mode

Defines the quoting mode option for each leg.

  • All or None: If the hedge market quantity drops below the minimum hedge quantity, the associated quoting order will be pulled from the market and will not be resubmitted even if sufficient hedge market volume reappears at some later time. This is the default setting.

  • All or None w/ Resubmit: If the hedge market quantity drops below the minimum hedge quantity, the associated quoting order will be pulled from the market and will be resubmitted if sufficient hedge market volume reappears at a later time.

  • Dynamic Inside Lean: Leans on only the inside market of the hedge legs and, therefore, only considers the size of the hedge leg’s inside market. If that volume is less than the Minimum Hedge Quantity, the quoting order will be reduced to the largest size that could be fully hedged at the inside market of the hedge leg(s).

Queue Holder Orders

Defines the number of outright leg orders placed at consecutive price levels away from the inside market in addition to the single quoted order for each leg.

Note: Queue Holder is only available with two-legged spreads.

Max Price Move

Defines the maximum number of ticks a leg price can move in a single price update before Autospreader pulls the order. The maximum setting is 9999. The minimum setting is 1.

Max Order Move

Defines the maximum number of ticks a quoted leg order can reprice in a single update before Autospreader pulls the order. The maximum setting is 9999. The minimum setting is 1.

Note: The difference between the Max Move settings is, Max Price Move lets you define a price move threshold in the leaning (hedging) leg and Max Order Move lets you define an order move threshold in the quoting leg. Proper settings in both Max Move properties can help prevent legging risks in volatile markets.

Messaging Controls

Inside Smart Quote

Reduces excessive quoting away from the inside market.

When enabled, working orders only requote when they are a user-defined number of ticks away from the inside market. The maximum and default setting is 99. The minimum setting is 1.

Smart Quote Limit

Defines a limit, in ticks, a quoting order is allowed to work away from the price level that matches the spread differential.

Basic Slop

Set whether you use inside or outside slop.

  • Inside: Lets you configure multiple levels of Inside slop to determine when to reprice the quoted outright legs based upon movement in the market.
  • Outside: Lets you configure multiple levels of Outside slop to determine when to reprice the quoted outright legs based upon movement in the market.
Advanced Slop Sets an unlimited number of adjustable ranges with an inside and outside Slop level for each range for each leg of the spread.
Hedging Properties

Payup Ticks

Indicates the number of ticks Autospreader can adjust the price of the limit order to fill the spread order.  Payup Ticks values can be between -9999 and 9999. Enter a positive value to adjust the price into the market, or enter a negative value to adjust the price away from the market. Generally, a positive value is more aggressive and may prevent you from getting legged; whereas a negative value moves away from the market and submits an order that may not get filled, but may result in a better spread price.

Example: You buy one ES Dec-Mar calendar spread at 6.00 and the quote leg fills at 2134.00. Payup Ticks are set to "-2" for the hedge leg and the contract ticks in ".25" increments. Instead of entering a sell order in the hedge leg for 2128.00 to achieve the spread price, Autospreader adjusts the price 2 ticks away from the market and enters an order at 2128.50. Using this same example but with Payup Ticks set to positive "2", Autospreader adjusts the spread price 2 ticks into the market and enters a hedge order at 2127.50.

Payup Ticks are also configurable from the Spread pane for each spread leg using the Autospreader MD Trader sidebar.

Hedge Round

Automatically sends a hedge order when your quoted order quantity is more than halfway filled. When disabled, the entire quantity must be filled before the hedge is sent. This setting is intended to be used for spreads with quoting orders more than double the quantity of the hedge order.

Once the entire hedge order fills and there is a quoting order working in the market, the quoting order is now the unhedged leg of the spread and will not reprice. It will be identified by the non-standard orange color bar.

Example: You are quoting 11 contracts and hedging 1. With Hedge Round enabled, a hedge order is sent when 6 of the 11 contracts fill. When disabled, all 11 contracts need to fill before 1 lot is sent.

Pre Hedge Rule

Evaluate and trigger a rule before sending a hedge order into the market.

Note: When you set a Pre or Post rule for a spread leg in the Autospreader configuration, Autospreader automatically activates it and applies it to every hedge order.

Post Hedge Rule

Evaluate and trigger a rule after sending a hedge order into the market.

Note: When you set a Pre- or Post- rule for a spread leg in the Autospreader configuration, Autospreader automatically activates it and applies it to every hedge order.

Order Properties

Queue Holder Orders

Indicates the number of multiple orders per leg to submit in order to maintain your position in the queue when requoting to a new price level.

Default Reload Quantity

Indicates the portion of the spread order quantity to disclose to the market in separate orders until the total quantity is filled.

Default Reload Offset

Sets the Reload order to enter the market at a set number of ticks from the previously disclosed spread order.

Ticking Information displays calculated tick size based on the contract tick size and Spread Multiplier of the spread legs. You can use this display to review the ticking relationship between the selected products and the effect on the spread with a one-tick move in an outright leg.

Tick Information
Field Description

Minimum Tick Increment

(Uneditable field)

Displays the minimum tick size for instruments in the spread legs. The value is defined by the exchange.

Example: Some instruments may tick in 64ths, while others may tick in 32nds.

Multiplier

(Uneditable field)

Displays the values entered in the Spread Multiplier field.

Delta

(Uneditable field)

Displays a value representing the effect on the spread with a one-tick move in an outright leg.

Override Tick Size

Lets you override the value displayed in the Calculated Tick Size field. You can view a greater range of prices without reducing the view of the total quantity available.

By enabling Override Tick Size, you can specify a greater tick size to fit your needs.

Calculated Tick Size

(Uneditable field)

Displays the calculated minimum tick size of the spread.

If the products making up the legs of the spread tick at different increments, the Calculated Tick Size field displays the minimum tick size for the spread.