Using Sniper Orders
Sniper is an Autospreader order type that will only submit outright leg orders into the market when all the legs of the spread can cross the market to attempt a complete spread fill at the desired spread price. Sniper orders can provide the following benefits:
- Reduced messaging that may improve system performance as Autospreader is not repeatedly quoting the market.
- Compliance with Exchanges that may have limits on quoting.
When a leg order is submitted, it enters the market and is immediately filled to the extent possible. The remaining balance of the order is left working in the market as a resting Limit order. The resting balance of Sniper orders does not get managed by Hedge Manager but can be managed in ADL using the ASE Order Block. Please see the ASE Order Block help for more details.
Sniper orders can be used in conjunction with Reload orders and can be submitted from either the Autospreader MD Trader window or the X_TRADER Market Grid.
Submitting a Sniper Order from MD Trader
The Sniper order type is set up as an order type button (SNP) and displays in the Autospreader MD Trader. Sniper and Reload orders can be selected together by clicking both the SNP and RLD order buttons.
To submit a sniper order in MD Trader:
- Launch the spread from the Autospreader Manager.
- Select an order quantity.
- Select the SNP button in the Autospreader MD Trader spread window.
- Submit the order.
After selecting the SNP button and selecting your price in the price ladder, a spread order is submitted and displays as a working order, but no quoting orders will be submitted for the spread. When hovering over the buy and sell columns in the Autospreader MD Trader price ladder, the cursor is highlighted to show that SNP has been selected; subsequent orders are submitted as Sniper orders. To remove the Sniper order type function, click the SNP button.
Submitting a Sniper Order from the Market Grid
The Sniper order type displays as “Sniper” in the Modifier section drop down menu in the Market Window Order Pane. When Sniper is selected and a spread order is submitted, the spread order displays as a working order, but no quoting orders will be submitted for the spread.
To submit a sniper order in the Market Window:
- Launch the spread in the Market Window.
- Highlight the spread in the Market Grid.
- Select the Sniper order modifier from the drop down menu in
the Modifier section of the Order Pane
- Submit the order.
Life Span of a Sniper Order
The life span of a Sniper order consists of the following phases:
- Filled (Bought or Sold)
Example of a Pending Sniper Order
In this example, a spread is created with a 1 x -1 spread ratio and a 30 lot spread Buy order is submitted as a Sniper order with Payup Ticks of -5 in the Hedge Leg (CME ES Sep13 contract). Autospreader achieved the Sniper order spread price and submitted the leg orders into the market. The order in the Quoting Leg (CME ES Jun13 contract) is immediately filled.
The Hedge leg shows a resting Limit order 5 ticks from the inside market, which reflects the Payup Ticks setting of -5 set for this leg. The spread remains working with one Pending outright order remaining in the market.
As shown in the following figure, the working Sniper parent and leg orders have a color bar that is unique to Sniper (similar to the orange color bar that represents legged hedge orders).
The Sniper color displays for the parent spread and legs only when there are Sniper leg orders working in the market. This will override the user-defined color for leg orders with the intention that any working Sniper leg order can be differentiated from non-Sniper working Autospreader leg orders.
Display of Sniper Orders in Order Management Windows
After the spread order is submitted with the Sniper modifier, it displays as a working order in the Order and Fill Window, where “Sniper” is displayed in the Modifier column and “Reload” (if selected) appears in the Advanced column.
A Sniper Order resembles a regular Spread Order in the Orders and Fills Window, Order Book, and Parent Order Book columns with the following exceptions:
- Link Type: Displays “ASN” as the child leg order link type.
- Work Qty: Displays Sniper spread units that have not yet been triggered into the market.
- Pending Qty: Displays Sniper spread units that have been triggered into the market, but have not been completely filled.
- Filled Qty: Displays Sniper spread units that have been completely filled.
Configuration Parameters Impact
The following Autospreader configuration parameters impact the use of Sniper orders (parameters not listed do not impact Sniper order functionality).
Queue Holder orders are not supported with Sniper Orders. In addition, Pre-Hedge and Post-Hedge rules setup for the leg will not be applicable to the Sniper limit orders because Sniper limit orders are not hedge orders.
Offset Volume Multiplier and Base Volume Lean
The per-leg settings, Offset Volume Multiplier (OVM) and Base Volume Lean (BVL) will be applied to the legs to determine the market quantities needed before submitting the outright leg orders.
The Payup tick values setup for the leg will be applied to the Sniper Limit orders prior to submission.
The Quoting Mode settings All or None, All or None w/ Resubmit, and Dynamic Inside Lean will be applied to the spread order.
- All Or None or All Or None With Resubmit: The engine will walk the depth of each leg until the minimum hedge quantity (determined by Base Volume Lean and Offset Volume Multiplier) is satisfied, and then use the resulting prices to determine whether the desired spread price is currently available. When All or None w/ Resubmit is set, the orders are sent as All or None, but the ‘Resubmit’ behavior is not supported.
- Dynamic Inside Lean: The quantity at the inside market is used to determine the leg order quantity that is submitted into the market for partial fills.
Using Reload with Sniper Orders
The Reload order type can be used in conjunction with a Sniper order. New Reload spread orders are submitted only after the previous Sniper order is completely filled. This means that any new Sniper spread orders will not be submitted until all components from the previously-submitted spread, including working and pending units, are either filled or deleted.