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Autospreader

The Rules Pane Field Descriptions

Adding a rule

To add a rule:

  1. Right-click the bottom half of the Hedge Manager window and click Add Rule from the context menu. -or- Move an Autospreader spread from the Autospreader Manager or Market window using the drag-and-drop method.

A new row appears.

  1. Fill out the columns with the rules you want to automatically apply to legged hedge orders.
  2. Click Active.

You successfully added a rule.

The Rules Pane lets you predefine a rule that will automatically apply to a legged hedge order.

Warnings!

  • Since there is only one Hedge Manager window, changes you make to it will automatically override a Hedge Manager window saved in your workspace.
  • Rules are only active when the Hedge Manager window is open. Closing Hedge Manager deactivates all rules.

Notes:

  • If you manually reprice a working hedge order under the control of an assigned rule, the rule continues to apply as it would have had you not manually repriced the hedge order.
  • You must mark a rule Active for it to be in effect.
  • You can have more than one rule active for the same leg of the same spread.
  • When closing the Hedge Manager window, it prompts you to save or not save rules you modified.

The Rules pane window has the following columns:

Spread and Leg

ColumnDescription

Spread

The name of the spread for which you want to create a rule.

Select the spread name from the drop-down menu.

Leg

Any leg associated with the selected spread.

Select the leg name from the drop-down menu. Selecting All creates rules for all legs of the spread.

Note: Legs appear in the same order as they appear in the spread configuration.

Active

A checkbox that activates the rule defined in that row. Only one rule can be active for any given leg of a spread.

More than one rule can be active for a contract if that contract is not part of the same spread.

  • Trigger
Trigger

The conditions to which Hedge Manager reacts and initiates an action. The available triggers are:

  • Diff Qty
  • Opposite Qty
  • Ticks Away
  • Qty Ratio
  • Time (ms)
  • Custom
TriggerDescription

Diff Qty

Total quantity of working orders at the opposite inside market minus the quantity starting at the level of the working hedge order.

Example: In the screen below...

...ignoring position in queue, your 1 unfilled hedge order is, worst case, 85 lots away from the inside offer. If your Diff Qty is set as <= 15, the rule triggers. (100-85=15)

TriggerDescription

Opposite Qty

The inside market quantity opposite the working hedge order.

Example: In the screen below...

…the quantity of the inside market opposite the working hedge order is 100. If your Opposite Qty is set as <= 100, the rule triggers.

TriggerDescription

Ticks Away

The number of ticks away from fully crossing your working hedge order.

Example:In the screen below...

...your working 50 lot hedge order is 4 ticks away from filling the total quantity. If your Ticks Away is set as >= 4, the rule triggers.

TriggerDescription

Qty Ratio

The ratio of orders between the working hedge order and the opposite inside market. (i.e., quantity ratio)

This works similar to Diff Qty, except it uses the percentage of the contracts as opposed to the differential.

Example: In the screen below...

...ignoring position in queue, your 1 unfilled hedge order is, worst case, 85 lots away from the inside offer. If your Qty Ratio is set as <= 118%, the rule triggers. (100/85=118%)

TriggerDescription

Time (ms)

The number of milliseconds before an action is automatically taken.

Note: 1000 milliseconds = 1 second. Max is 99999 milliseconds = 99 seconds.

Example: You select a Time trigger and enter a Value of 5,000 milliseconds. A 5 second countdown begins as soon as the hedge order is legged. When 5 seconds elapse, the defined Action triggers. 

TriggerDescription

Custom

When selected, enables the Hedge Rule Builder button in the row and allows for the creation of custom rules using the Hedge Rule Builder Overview interface.

  • Equality
Equality
ColumnDescription

Equality

The Equality operator compares the value you enter in the Value column with the actual value in the current market. The Action executes when the comparison is true. Operators are: 

  • Less than: <
  • Less than or equal to: <=
  • Greater than: >
  • Greater than or equal to: >=

Equality applies to all Triggers except Time.

  • Value
Value
ColumnDescription

Value

The value of the Trigger. An Action is taken immediately when the actual market is less than, greater than, or equal to the value you enter in this column for all Triggers except Time.

Note: When Qty Ratio is selected as the Trigger the value is interpreted as a percentage. When Time is selected as the Trigger the value is interpreted in milliseconds

Example: If you set the Qty Ratio Value to < or <= 50% and the current depth in the market is at 45%, action is taken. If you set the Qty Ratio Value to < or <= 40% and the current depth in the market is at 45%, no action is taken.

  • Action
Action

The action to take on the hedge order when the rule is triggered.

ActionDescription

Fill w/Lmt

Cancel the working hedge order and send a limit order at a price to fill the entire working quantity.

Cross Inside

Cancel the working hedge order and send a limit order to cross at the best inside market price.

Payup

Cancel the working hedge and replace with a limit order working at the payup price you specify in positive or negative ticks.

Note: Selecting the Payup action enables the Payup and Repeat fields in the Rules pane.

Join Best

Cancel the working hedge order and send a limit order at the same side best inside price or an offset of the best inside price.

Note: Selecting the Join Best action enables the Offset and Repeat fields in the Rules pane.

Do Not HedgeNo hedge orders will be sent upon quoting order fills. When Do Not Hedge is set, a synthetic spread price will not be generated upon completion of the spread order.
Send Mkt OrderSends a Market Order for the hedge rather than a Limit order.
  • Notification
Notification

The way you are alerted when a rule is triggered.

Tip: You can set a Notification without setting an Action.

ColumnDescription

Flash

The Spread and Leg cells for the related row in the Working Orders pane blink gray for 10 seconds.

Sound

Plays a sound you set under the Hedge Manager event in the Sounds tab on the Properties menu.

See the Sounds tab if needed.

Flash & Sound

Both the Flash and Sound attributes alert you to the Trigger.

  • Payup
Payup
ColumnDescription

Payup

The payup value when you select the Payup Action.

  • Repeat
Repeat
ColumnDescription

Repeat

The number of times to repeat a Trigger when you choose Payup as your Action.

Example 1: In the screen above, a repeat value of 10 means when the Qty Ratio is less than or equal to 25%, you will payup 1 tick up to 10 times or until the unhedged order completely fills.

Example 2: If you set the Time as a trigger with a value of 10000 ms, Payup as the action with a value of 1, and Repeat with a value of 10, you will payup 1 tick every 10 seconds 10 times or until the unhedged order completely fills.

  • Edit and Formula
Edit and Formula

ColumnDescription

Edit

Click to edit the formula using Hedge Rule Builder.

FormulaDisplays the formula that has been created for the spread.