4.3.72 - 10 Apr 2017

Modified on 2017/04/13 12:44 by Ryan Byrne (CTS) — Categorized as: Uncategorized

Enhancements in this version:

Updated Volume Profile study available
New chart study summary options and searchable studies
New Fills window available
Options Pro now offers series linking
General enhancements in Options Pro
TradeSniper now offers division across products
New settings for TradeSniper execution

Updated Volume Profile study available¶

The Volume Profile study has been improved to allow the display of prior session volume profiles in addition to the current session profile. For detailed instructions on how to configure the improved study, follow this link.

New chart study summary options and searchable studies¶

Chart studies are now searchable. At the top of the study picker simply start typing the name of a study to quickly find it in the list below. The chart study summary (1) now has added configuration settings. To make changes to the settings, click the chart properties (2), then click the tab with the product name (3) and find the Summaries section (4).

New Fills window available¶

New Fills window offers a different layout for displaying filled orders. A single order with fills at different prices is grouped in this window to provide a simple view of individual fill prices as well as the overall average fill price.

Options Pro now offers series linking¶

Options Pro users can now link one series to another in Model Management. This is helpful for products that are fungible or closely related that may have different electronic trading hours or thinner markets in one product, i.e. e-mini S&P options and big S&P options. To link one series to another, open Model Management for the "child" series. Under the Series tab (1) find the Link To Parent section (2) and click the "Select Series" box in the "Link" field. This will provide a list of related series that can be linked. Select the desired series and click OK. The Link field will now show the name of the Parent Series, indicating that the link succeeded. To save it, click Apply or OK in Model Management. To remove the link, simply click the series name in the Link field, select "no link," and click OK. Note that any changes made to the parent series will be made in real time to any and all child series.

General enhancements in Options Pro¶

A new column has been added to the FaST Board. The "Time" column updates to the most recent time that a strategy trades or is RFQed. The FaST Board can be sorted by Time to create a running list of all activity in selected products, similar to the screens in the CME option pits.
The Account Net report in Portfolio Analysis has a new right-click menu option. "Account Risk Settings" will display a pop-up with the selected account's risk settings that have been determined by a firm administrator. If no values have been set then this window will display "not set."
Model Management window position and size can now be saved. Simply open model management, move and resize it as desired, then save your workspace to ensure that each new Model Management window will open in the same place and at the same size.
Removed series can now be permanently deleted by selecting "purge."
All option sheet windows can handle multiple option sheets. Simply click the Add a New Sheet button near the top left of the option sheet window (see item 1 in the image below) to select new sheets to add. The new option sheet picker can add or remove multiple sheets at once. This picker also shows the current days to expiration and the last trading date.
New pull down menus in the upper left of Model Management define which series is used for analysis and which is used for trade. The analysis series is the series used for all calculations in Portfolio Analysis while the trade series is used in all Sheets, Contract Windows, Solvers, FaST Boards, Saved Strategies Windows, and Option Contract History. In most applications we recommend that Analysis Series and Trade Series be set to the same series.

TradeSniper now offers division across products¶

TradeSniper can now create ratio spreads that divide one product by another, and product spreads that multiply one product by another. This can be useful for creating synthetic currency pairs or for relating any two products in terms of their price ratio or product. To use division, open the Spread tab (1) of the spread editor and choose Ratio (2) as the Quotation Method. To use multiplication, open the Spread tab (1) of the spread editor and choose Product (2) as the Quotation Method.

New settings for TradeSniper execution¶

TradeSniper now offers two new features for execution, both of which are found in the Legs tab (1) of the spread editor. Wait For Full Volume (2) tells TradeSniper to wait for the full desired volume in that leg to be present in the market before submitting orders. In the screenshot below, the Trade Ratio (3) for each leg is five, meaning this spread will buy/sell five contracts of each leg per one strategy order. With Wait For Full Volume checked for both legs, TradeSniper will wait to submit orders until five contracts are present at the proper bid and offer levels in each leg before submitting the orders. By not trying to pick off smaller orders as they are available this can help conceal your execution plan from the market until it can be executed in full. Expired Order Iterations (4) tells TradeSniper to attempt any missed orders again a minimum of three times before considering the strategy to be failed. This improves the chances of getting filled at the desired price without the need for payup orders. As a result, payup orders have been removed from the spread configuration.