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ICE Gateway

Support for User-Defined Strategies

Overview

The ICE Gateway supports creating a User-Defined Strategy (UDS) using the client trading application.

Strategy Types

The ICE Gateway supports creating two basic UDS types: Covered andCombo.

  • Covered: A strategy where options and futures are traded as a spread. These strategies require a futures contract price and delta. The legs of the spread also can be spreads or exchange-defined and user-defined strategies.
  • Combo: Any options spread where the legs are a combination of outright options, exchange-defined options strategies, or listed user-defined options strategies.

Data Flow for Creating a UDS

The following is a sample data flow for creating a Covered or Combo UDS using X_TRADER®:

  • For a Covered UDS creation request, X_TRADER® sends a Strategy Type of Covered to the Order Server. A message for the request is logged in the Audit Trail.
  • For a Combo UDS creation request, X_TRADER® sends a Strategy Type of “Combo” to the Order Server. A message for the request is logged in the Audit Trail.
  • For a Combo or Covered UDS the Order Server validates the request and forwards it to the exchange, then sends a message to X_TRADER® indicating the request has been sent. If the Order Server denies the request, it logs a failure message in the Audit Trail in X_TRADER® explaining the reason for the rejection.
  • The exchange accepts or rejects the UDS creation request and sends the corresponding message to the Order Server. Some examples of why the exchange rejects a request are:
    • The strategy already exists.
    • The content or format of the creation request message was incorrect.
    • The underlying products are not available for trading, or the market is closed.
  • The Order Server logs a message in the Audit Trail in X_TRADER® indicating whether the Combo or Covered strategy was accepted or rejected by the exchange.
  • The Price Server creates the Combo or Covered UDS contract and makes it available for trading and quoting.