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Autospreader

Pre-Trade Risk-Checking

When an Autospreader order is entered, all potential outright orders, including all quoting and all possible hedge orders, are position risk-checked before being submitted into the market. If any of the potential orders fails the risk check, no orders are placed and the whole synthetic spread order is pulled.

Once your Autospreader order passes the risk-check and is working in the market:  

  • Removing the spread order deletes all quoting and position reserve orders for that spread.
  • If position reserve orders are changed in any way (e.g., deleted).
  • Non-legged spread orders, including all their quoting orders, are deleted .
  • Legged spread orders are not deleted, hedge orders remain working, but their quoting orders are deleted.
  • Two-legged spread example

Two-Legged Spread Example: You configure a two-legged spread with a 1 to 1 ratio and quoting in both legs. You enter a spread order to buy one spread. All possible orders, the two quoting orders and the two hedge orders are submitted and position risk-checked. The resulting worst case position for this example is long two contracts in Leg A and short two contracts in Leg B. This amount must be allowed by pre-trade risk, otherwise the spread is not allowed.

  • Three-legged spread example

Three-Legged Spread Example: For multi-legged spreads, the position reserve order quantity will be combined into a single hedge for the same contract.

You configure a three-legged spread with a 1, -1, 1 ratio and quoting in all three legs. You enter a buy order in the spread: a buy order in leg A, a sell order in Leg B and a buy order in Leg C. Along with the three quoting orders, three hedge orders are submitted and position risk-checked as held orders, a position reserve aggregated sell order quantity of two in Leg A and Leg C and a position reserve aggregated buy order quantity of two in Leg B. The resulting worst case position for this example is long three contracts in Leg A and short three contracts in Leg B and long three contracts in Leg C. This amount must be allowed by pre-trade risk, otherwise the spread is not allowed.

  • Queue Holder example

Queue Holder Example: For spread configurations using Queue Holder, the position reserve order quantities for different quoting leg prices are combined into one held order.

You configure a two-legged spread with a 1 to 1 ratio, quoting in both legs, and a Queue Holder setting of two. You enter a buy order in the spread: three buy orders in Leg A and three sell orders in Leg B, resulting in a total of six working orders at six different price levels per spread order. Along with the submitted quoting orders, consolidated hedge orders are submitted and position risk-checked as held orders, a position reserve sell order quantity of three in Leg B and a position reserve buy order quantity of three in Leg A. This amount must be allowed by pre-trade risk, otherwise the spread is not allowed.

Notes:

  • The Display Position Reserve in Order Book and Audit Trail property in the Orders tab on the Properties menu determines whether the position reserve orders display in the Order Book and Audit Trail.
  • In the Order Book, the position reserve row background color is orange.
  • The Audit Trail specifically notes when risk-checking rejects an order with messages like: 

WCP12L > PLMT10

  • WCP= Worst Case Position
  • PLMT= Position Limit
  • The message reads: Worst Case Position of 12 long is greater than Position Limit of 10