Page History: Strategy Editor-Legs Tab

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Page Revision: 2016/08/01 10:23

Legs

1. Market Generation Mode: For use when Leg's Fixed Market shows No Market.

   Adjacent Expiries:

   *Expiries with the same maturity are matched across all legs.

   Sequential Expiries:

   *The closest expiries are matched followed by the matching of the second closest expiries and so on. This matching continues until all expiries are exhauseted for any of the constituent legs.

   Nearest Adjacent Expiries:

   *Matches expiriees of most proximity to the expiry of the preceeding leg until the same expiry is reached or the expiry is of longer maturity.

   Sequential Calendars:

   *Matches expireies sequentially to expiries of larger maturity for 2-legged strategies. It creates forward marching caledar strategies.

2. Fixed Market (optional): Optional fixed market for this leg. This is useful when creating specialized spreads.
3. Leg Side: Is this leg bought or sold relative to the spread.
4. Trade Ratio: How many units of this leg should be bought/sold for a single spread trade.
5. Leg Multiplier: Multiplier to apply to this leg's price when computing the spread quotation.
6. Leg Slop: Number of ticks to trade through to improve chances of getting a fill on the leg.


TIP:Leg Slop submits the leg order at a degraded or reduced price in order to improve the chance of filling the leg. The spreader watches the markets and when conditions are met to submit the leg orders, the leg orders with slop defined will be submitted at adjusted prices. For example, +2 leg slop will adjust a buy price of 10 up to 12 and will adjust a sell price of 10 down to 8. Leg payup kicks in if a leg becomes leaning (did not fill, but the other leg did). This is different than slop because now that the leg is leaning, the order will be submitted to fill it as soon as the market hits the adjusted price.


7. Leg Payup: Number of ticks to trade up on a leaning leg in order to improve chances of filling it.


TIP:Leg payup kicks in if a leg becomes leaning (did not fill, but the other leg did). This is different than slop because now that the leg is leaning, the order will be submitted to fill it as soon as the market hits the adjusted price.


8. Leg Order Type: The order type used for this leg orders when submitting to the market.

   LimitIC: Submits this leg order as a Limit order and a ImmediateAndCancel (IC) time type. (Default.)
   Limit: Submits this leg order as a Limit order and a Normal time type. If the leg market moves, this limit leg order may not be filled promptly and may even work the market indefinitely. In such case, the strategy order will remain working even if the strategy order is displayed as having met the market. Other legs of the strategy could also be filled leading to an unbalanced strategy.
   Market: Submits this leg order as a Market order and a Normal time type. A strategy with a Market order type in any of its legs is effectively a Strategy Market order even if other legs use a LimitIC (or Limit) order type. Having a LimitIC (or Limit) on a leg, just fixes the submit price of that specific leg but *not* the submit price of legs with a market order type. Per a leg market order type, strategy fills may not meet the submit limit price of the strategy order. The Market order type can be used to enter a leg market that is not transacted promptly with the LimitIC or Limit order types.")
9. Leg Order Type Payup: The order type used for this leg orders when submitting to the market under a payup condition.

   LimitIC: Submits this leg order as a Limit order and a ImmediateAndCancel (IC) time type. (Default.)
   Limit: Submits this leg order as a Limit order and a Normal time type. If the leg market moves, this limit leg order may not be filled promptly and may even work the market indefinitely. In such case, the strategy order will remain working even if the strategy order is displayed as having met the market. Other legs of the strategy could also be filled leading to an unbalanced strategy.
   Market: Submits this leg order as a Market order and a Normal time type. A strategy with a Market order type in any of its legs is effectively a Strategy Market order even if other legs use a LimitIC (or Limit) order type. Having a LimitIC (or Limit) on a leg, just fixes the submit price of that specific leg but *not* the submit price of legs with a market order type. Per a leg market order type, strategy fills may not meet the submit limit price of the strategy order. The Market order type can be used to enter a leg market that is not transacted promptly with the LimitIC or Limit order types.")
10. Snipe Volume Multiplier: Adjusts the volume margin that must be available in this leg before the initial snipe is attempted on the order.
11. Reverse Strategy Leg Slop: Number of ticks to trade through to improve chances of getting a fill on a reverse strategy leg order.
12. Remove Market: Left click this button to bring up a menu to move the leg up, move leg down, or remove the leg.
13. Add Remove Move Leg: Click the button to bring up a menu to add, remove, move new leg.

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