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Autospreader Version 7.12.

X
Feature Guide

Document Version 7.12.X.DV1 January 10, 2013

Trading Technologies International, Inc.

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Trading Technologies International, Inc.

Table of Contents

Table of Contents
2 WHAT'S NEW IN AUTOSPREADER 7.12.X
WHAT'S NEW IN AUTOSPREADER 7.12.4 WHAT'S NEW IN AUTOSPREADER 7.12.3 WHAT'S NEW IN AUTOSPREADER 7.12.2 WHAT'S NEW IN AUTOSPREADER 7.12.1 WHAT'S NEW IN AUTOSPREADER 7.12
RELOAD ORDERS IN THE MARKET GRID

7
8 9 10 11 12
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CHAPTER 1: AUTOSPREADER OVERVIEW


AUTOSPREADER COMPONENTS
THE MANAGER D IALOG BOX ALTERING SPREADS USING THE L EG VIEW SHOW ERRORS THE CONFIGURATION D IALOG BOX CONFIGURATION D IALOG BOX F IELD D ESCRIPTIONS Top Pane Basic Properties Advanced Properties Tick Information Advanced Settings button/General tab Advanced Settings button/Dynamic tab THE MD TRADER PANES Using the Autospreader Spread Pane Using the Autospreader Leg Panes THE HEDGE MANAGER WINDOW The Working Pane Field Descriptions The Rules Pane Field Descriptions Hedge Manager Context Menus HEDGE RULE BUILDER OVERVIEW L AUNCHING HEDGE RULE BUILDER THE HEDGE RULE BUILDER WINDOW F ORMULA BUILDING BLOCKS CREATING AND EDITING RULES WORKING WITH THE RULES L IBRARY ACTIVATING AND D EACTIVATING HEDGE RULES UNDERSTANDING PRE AND POST HEDGE RULES

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13
14 16 20 21 21 22 24 28 30 31 32 33 34 34 35 35 38 45 45 47 48 52 54 59 62 66

CHAPTER 2: CREATING SPREADS


M ULTI-LEGGED SPREADS CREATING A SPREAD USING THE M ARKET GRID CREATING A SPREAD USING DRAG-AND -DROP ADDING LEGS TO AN EXISTING SPREAD

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68 69 70 71

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DELETING LEGS FROM AN EXISTING SPREAD OPENING AN EXISTING SPREAD REPLACING AN EXPIRED CONTRACT ACTIVATING A CUSTOM PRICING M ODEL PROTECTING YOUR SPREADS UNDERSTANDING QUOTING M ODE OPTIONS SPECIFYING A M INIMUM H EDGE QUANTITY TRADING IN YIELD
YIELD F IELD D ESCRIPTIONS

72 72 73 73 74 75 76 77
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CHAPTER 3: TRADING SPREADS


PRE-TRADE RISK-CHECKING TRADING ON AN AUTOSPREADER STRATEGY ENGINE TRADING IN THE M ARKET GRID CHANGING CUSTOMERS OVERRIDING THE TICK SIZE DO NOT H EDGE EXAMPLE USING RELOAD ORDERS
OFFSETS PROCEDURES

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81 83 87 88 88 89 91
92 94

FREEZING AUTOSPREADER ORDERS


F REEZING ORDERS EXAMPLE D O NOT HEDGE F ROZEN EXAMPLE

96
100 101

USING QUEUE H OLDER


ENABLING QUEUE HOLDER ORDERS SETUP TASKS Max Price Move and Max Order Move Do Not Cross Inside Market and Delete All QUEUE HOLDER EXAMPLES Quoting in Both Legs Moving Away from the Inside Market Moving Toward the Inside Market BENEFITS OF QUEUE HOLDER ORDERS Regular Autospreader orders Queue Holder order Regular Autospreader order Queue Holder order

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103 105 105 106 107 107 108 108 109 109 109 109 109

USING DYNAMIC PAYUP TICKS


D YNAMIC PAYUP TICK SETUP TASKS L INKING TO D YNAMIC PAYUP TICKS D YNAMIC PAYUP TICKS EXAMPLE

110
111 114 115

INSIDE SMART QUOTE


SETTING THE INSIDE SMART QUOTE USING SMART QUOTE L IMIT Setting a Smart Quote Limit

117
118 119 120

USING BASIC SLOP


SETTING THE SLOP VALUE

121
122

USING ADVANCED SLOP


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Table of Contents

CALCULATING INSIDE AND OUTSIDE ADVANCED SLOP CALCULATING ADJUSTABLE RANGE

124 126

CHAPTER 4: IDENTIFYING MESSAGES


KEY SERVER AVAILABILITY QUOTING IN ILLIQUID M ARKETS M INIMUM H EDGE QUANTITY

128
128 128 128

INDEX

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What's New in Autospreader 7.12.X


Trading Technologies continues its effort to provide you with the quickest, most efficient and versatile trading software with the release of Autospreader 7.12.X.
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Autospreader 7.12.4 Autospreader 7.12.3 Autospreader 7.12.2 Autospreader 7.12.1 Autospreader 7.12

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What's New in Autospreader 7.12.X

What's New in Autospreader 7.12.4


Trading Technologies continues its effort to provide you with the quickest, most efficient and versatile trading software with the release of Autospreader 7.12.4. The 7.12.4 release provides no new functionality in Autospreader.

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Autospreader Feature Guide

What's New in Autospreader 7.12.X

What's New in Autospreader 7.12.3


Trading Technologies continues its effort to provide you with the quickest, most efficient and versatile trading software with the release of Autospreader 7.12.3. The 7.12.3 release provides no new functionality in Autospreader.

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What's New in Autospreader 7.12.X

What's New in Autospreader 7.12.2


Trading Technologies continues its effort to provide you with the quickest, most efficient and versatile trading software with the release of Autospreader 7.12.2. The 7.12.2 release provides no new functionality in Autospreader.

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What's New in Autospreader 7.12.X

What's New in Autospreader 7.12.1


Trading Technologies continues its effort to provide you with the quickest, most efficient and versatile trading software with the release of Autospreader 7.12.1. The 7.12.1 release provides no new functionality in Autospreader.

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What's New in Autospreader 7.12.X

What's New in Autospreader 7.12


Trading Technologies continues its effort to provide you with the quickest, most efficient and versatile trading software with the release of Autospreader 7.12.
Autospreader Enhancements include: Reload Orders in Market Grid You can now enter Reload orders from the Market Grid.

Reload Orders in the Market Grid


Reload orders let you execute a total spread order quantity by splitting the spread order into smaller disclosed quantities. You can now submit this order type from the Market Grid. To submit this order type, select Reload from the Advanced Settings section and enter the Disclose Qty and Offset amount.

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Chapter 1: Autospreader Overview


Autospreader consists of multiple MD Trader windows and is designed to facilitate the automatic trading of calendar and inter-product spreads.You define the legs of the spread, the relationships, and parameters between them. Then, Autospreader displays the implied market for the spread based on the outright legs. You enter orders in the spread pane and Autospreader works the legs to achieve the spread setting parameters. Because the panes of Autospreader are MD Trader windows, most MD Trader functionality is available for each Autospreader pane. Refer to The MD Trader Panes on page 33 for exceptions. Note: When trading spreads in simulation mode certain restrictions apply, refer to Trading in Simulation Mode. To open Autospreader: From the Control Panel, click the Window menu and choose Autospreader. - or From the Control Panel, click the You successfully opened Autospreader. icon.

Autospreader Components
The following components make up Autospreader:
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The Manager dialog box The Configuration dialog box The MD Trader panes Hedge Manager

The Manager dialog box is your interface for all of your created spreads. It is takes you to the Configuration dialog box where you can create new spreads, edit existing spreads and set specific spread trading parameters to suit your trading style. The MD Trader panes are what you actually use to trade your created spreads. Finally, the Hedge Manager window lets you monitor legged orders and create rules to automate how Autospreader handles and hedges your open position. Note:In addition to trading spreads using MD Trader, you can drag and drop spreads from the Autospreader Manager window to the Market Grid.

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The Manager Dialog Box


The AutospreaderManager dialog box is your interface for previously created spreads.

Autospreader Manager Spread View


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The buttons in this dialog include:


Button New Edit Clone Hedge Manager Delete Description Opens a new instance of the AutospreaderConfiguration dialog box, used to create a new spread. Opens the AutospreaderConfiguration dialog box, populated with the spread information for the selected spread. Duplicates the selected spread and adds it to the list. The word copy is added to the end of the spread title. Opens the Hedge Manager window, letting you view and make changes to your hedge orders. Deletes the selected spread from the workspace.

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Your spread launching options include:


Option Description The drop-down box lets you choose which window to launch the spread into and whether you want to launch the corresponding legs. You can launch your spread in:
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MD Trader Market Grid Autotrader

The radio buttons let you choose if you want to launch the spread from your local desktop machine or a specific synthetic server. Refer to Trading on an Autospreader Strategy Engine on page 83 for more information on the synthetic server. Launch Opens the selected spread with the launching options you specified. Note: Hold the Shift or Ctrl keys to select multiple spreads.
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The tabs in this dialog include:


Tab Leg View Description Shows view of all associated legs, sorted by spread name. Spread View Shows standard view of all the spread names.

Refer to Altering Spreads using the Leg View on page 16.

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Altering Spreads using the Leg View


The Autospreader Manager dialog box has two tabs called, Spread View and Leg View.

Autospreader Manager Spread View

Autospreader Manager Leg View

The Spread View tab lists the spreads you have created. The Leg View tab displays all the legs included in your spreads. The Leg View is a grid window. The legs are color-coded by spread name and can be filtered by the column headings. The column headings are:
Columns on by Default Spread Name (not editable) Leg (blank and not editable) Based On Contract Spread Ratio Spread Multiplier Hidden Columns Coupon (%) Settlement Date Maturity Date

Use the Show/Hide Columns option in the context menu to reveal the hidden columns. In addition, you can use this option to reorder the editable columns. You can resize the Autospreader Manager dialog box, apply standard X_ TRADERfilters, as well as, sort by double-clicking column headers. In addition, you can edit all the columns with a white background.

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Some columns are editable using drop-downs. Others can be typed in. The Leg View tab also supports Excel-style multi-edit, whereby you can click the lower-right corner of a cell and drag it downward. This action copies the value of the first cell into the cells in the drag selection range. Once you edit a cell, it is highlighted. The following buttons determine how your changes are handled:

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Apply:Applies your highlighted changes. Restore:Restores the highlighted changes to their original value. Show Error Log:Displays any problems with changes you attempted to apply.

If changes you make to a spread configuration are invalid the changes are not applied and the error will get listed in the Error Log. Refer to Show Errors on page 20. Follow these procedures:
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Changing a spread Changing values using click-and-drag Reordering columns Sorting spread legs

Also refer to Filtering Overview. To change a spread: 1. From the Autospreader Managerdialog box, click the Leg View tab at the bottom of the screen. 2. You can make changes to:
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The Based on field

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The Contract field

The hidden columns:Spread Ratio, Spread Multiplier, Coupon, Settlement Date, Maturity Date.

Changes you make highlight green until they are applied.

3. Click Apply to make the changes. - or Click Restore to undo the changes. You successfully changed a spread. To change values using click-and-drag: 1. From the Autospreader Managerdialog box, click the Leg View tab at the bottom of the screen. 2. Click the cell whose value you want to apply to other cells. 3. Move your cursor to the lower-right corner of the cell. The cursor becomes a crosshair.

3. Click and hold the mouse button. 4. Drag the cell downward covering the cells to which you want to apply the value. 5. Release the mouse button. You successfully changed values using click-and-drag.
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To reorder columns: 1. Right-click the Leg View tab to access the context menu. 2. Click Show/Hide Columns. The Column Configuration dialog box appears.

3. Click the column name you want to move. 4. Click the up or down arrow to reorder the column. Note:The Sort checkbox puts the columns in alphabetical order. 5. Click OK. You successfully reordered columns. To sort spread legs: 1. Double-click the column heading you want to sort the spread legs. The spread legs sort in ascending order based on the column you clicked.

2. Double-click the column heading again to sort in descending order. You successfully sorted spread legs.

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Show Errors
Click the Show Error Log button to see mistakes you may be making while changing spread legs.

In the example above, a duplicate leg was added to the same spread. You can not apply an erroneous change to a spread.

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The Configuration Dialog Box


The AutospreaderConfiguration dialog box controls the behavior of the spread as it trades. After you add legs to this window, configure the optimal spread parameters based on your needs and click OK to save them. To leave this window without saving your changes, click Cancel. Note:You can open an Autospreader Configuration dialog box even if the spread has working orders. You cannot, however, edit a spread configuration while it has working orders.

Configuration Dialog Box Field Descriptions


After you add legs to this window, configure the optimal spread parameters based on
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your needs and click OK to save them. To leave this window without saving your changes, click Cancel. The AutospreaderConfiguration dialog box breaks into the following sections: l Top Pane l Basic Properties l Advanced Properties l Tick Information
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Advanced Settings

Top Pane

Field Spread Name Based On

Description Sets the spread name as it appears in the Autospreader Manager dialog box and the spread MD Trader. Sets how prices are displayed. Your options are:
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Implied Price: Prices display the implied price of the spread. Example:Leg A Price (*) User-Defined Multiplier Leg B Price (*) User-Defined Multiplier= Implied Price

Implied Price w/ Fractions : Prices for CBOT Treasury products display in their native formats (32nds, half 32nds, and quarter 32nds). Net Change: Prices display based on the individual legs' net change from the previous day settlement. Example: Leg A Net Change (*) User-Defined Multiplier Leg B Net Change (*) User-Defined Multiplier = Net Change price Note: If you base spread prices on Net Change, you disable calculations in the Tick Information section. The Calculated Tick Size defaults to 25/100. You can still use the Override Tick Size to change it.

Ratio: Prices display as a percentage ratio (divides Leg A price by Leg B price). Note:The Ratio setting is for two-legged spreads. Yield: Prices display in yield. When enabled, a set of properties appear under Advanced Properties letting you set your yield parameters for each leg. Refer to Trading in Yield on page 77.

Spread LTP

Determines how the last traded spread price is calculated:

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Field

Description
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Bid to Bid/Ask to Ask: The last traded price on the current leg matches with the most recently known best bid or best ask on the other legs. On by default. Last to Last: The last traded price of the spread legs.

Leg Color

Selects the color of working spreads and corresponding leg orders in MD Trader, the Market Grid, and the Floating Order Book. Note:When an offsetting hedge order is not immediately executed, the working order displays in a non-standard orange color. This color is not configurable. The color black indicates there are orders with more than one color at a given price level.

Slop Set whether you use basic slop, advanced slop or an inside smart quote. Settings l Basic Slop: Lets you configure one level of Inside and Outside slop to determine when to reprice the quoted outright legs based upon movement in the market. Refer to Using Basic Slop on page 121 for more information.
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Advanced Slop: Lets you set an unlimited number of Inside and Outside slop levels for each leg of the spread. Adds a row to the bottom of Basic Properties . Refer to Using Advanced Slop on page 123 for more information. Inside Smart Quote: Lets you set legs to requote only when they are a set number of ticks away from the inside market. The maximum and default setting is 99. The minimum setting is 1. Adds a row to the bottom of Basic Properties . Refer to Setting the Inside Smart Quote on page 118 for more information. If you are buying the spread, this applies to spread prices ABOVE your current bid. (i.e., worst price) If you are selling the spread, this applies to spread prices BELOW your current offer. (i.e., worst price) If you are buying the spread, this applies to spread prices BELOW your current bid. (i.e., best price) If you are selling the spread, this applies to spread prices ABOVE your current bid. (i.e., best price)

Inside
(Used with Basic Slop Only)

Defines the worst price you will accept for the spread.
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Outside Defines the best price you will accept for the spread.
(Used with Basic Slop Only)
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Basic Properties

Field Delete ( ) Contract Customer Account

Description Deletes the corresponding leg of a spread. Note: If a leg is deleted here, open MD Trader legs remain open. Displays the contract name. Use the drop-down list to select a different contract from the product series. Displays available customers. Note: If needed, you can change the Account field in the Market Window Order Pane for Autospreader spread orders.

Active Quoting Sets whether Autospreader actively quotes the leg. If unchecked, orders for that leg are only sent when the other leg fills. Enabled by default. Note: You can enable Active Quoting on up to 3 legs. Consider Own Orders Offset Hedge Prevents Autospreader from getting into an infinite quoting loop with your own orders when no other orders are present. Sets Autospreader to send a Limit or Market order for the offsetting leg(s) as soon as the quoting leg of the spread fills. Note: When creating spreads for the SFE exchange, you can set Market Limit as your offset hedge order type.

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Field Payup Ticks

Description Indicates the number of ticks Autospreader can adjust the price of the limit order to fill the spread order. Used when you select Limit orders in the Offset with field. Indicates the quantity of each leg in relation to the others. A negative sign (-) before the number indicates a short leg. Values entered in the Spread Ratio field do not affect the spread price. Weights the value of the leg price to calculate the spread price. Leg A Price (*)Leg A Spread Multiplier - Leg B Price (*)Leg B Spread Multiplier = Spread Price Note: The multiplier can be a whole number, decimal number, or fraction. Fractional representation optimizes ticking accuracy. Example: A Spread Multiplier of 0.333333 displays as 1/3 in the Tick Information section.

Spread Ratio

Spread Multiplier

Offset Volume Lets you define a multiple of the order quantity of one leg, which Autospreader Multiplier uses to determine the price at which it quotes the other leg. The field accommodates decimals up to three places. Example: If the quantity on the second leg of the spread is 10 and the trader assigns an offset volume multiplier of 2, Autospreader determines the price level at which 20 contracts of cumulative market quantity exists on the second leg and uses this to determine the price at which it quotes the first leg of the spread. This feature helps prevent legging risk. (i.e., filled on one leg but not the other.) Note: If you want to lean only against the inside market and not lean on multiple levels of depth you can set the Offset Volume Multiplier to 0 and the Base Volume Lean to 1. Refer to Protecting your Spreads on page 74. Base Volume Lean Defines a minimum quantity required for quoting orders to lean against. Note: If you want to lean only against the inside market and not lean on multiple levels of depth you can set the Offset Volume Multiplier to 0 and the Base Volume Lean to 1. Refer to Specifying a Minimum Hedge Quantity on page 76. Quoting Mode Defines the quoting mode option for each leg.
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All or None: If the hedge market quantity drops below the minimum hedge quantity, the associated quoting order will be pulled from the market and will not be resubmitted even if sufficient hedge market volume reappears at some later time. This is the default setting. All or None w/ Resubmit: If the hedge market quantity drops below the minimum hedge quantity, the associated quoting order will be pulled from the market and will be resubmitted if sufficient hedge market volume reappears at a later time.

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Field

Description
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Dynamic Inside Lean: Leans on only the inside market of the hedge legs and, therefore, only considers the size of the hedge legs inside market. If that volume is less than the Minimum Hedge Quantity, the quoting order will be reduced to the largest size that could be fully hedged at the inside market of the hedge leg(s).

Refer to Understanding Quoting Mode Options on page 75. Use Lets orders reprice using Cancel/Replace rather than the Change. Disabled by Cancel/Replace default. Queue Holder Orders Defines the number of outright leg orders placed at consecutive price levels away from the inside market in addition to the single quoted order for each leg. Refer to Using Queue Holder on page 102. Note:Queue Holder is only available with two-legged spreads. Inside Smart Quote (Visible when Inside Smart Quote is the Slop Setting.) Smart Quote Limit Reduces excessive quoting away from the inside market. When enabled, working orders only requote when they are a user-defined number of ticks away from the inside market. The maximum and default setting is 99. The minimum setting is 1. Refer to Inside Smart Quote on page 117. Defines a limit, in ticks, a quoting order is allowed to work away from the price level that matches the spread differential. Refer to Using Smart Quote Limit on page 119. Advanced Slop Used to create a range in the Adjustable Range field, and then set an unlimited number of Inside and Outside slop levels for each leg of the spread. (Visible when Advanced Slop Example: When working close to the inside market, you may want Slop set to reprice your outright order with each price update. Likewise, when working is the Slop away from the inside market, you would not want Slop set to continually reprice Setting.) your outright leg. This reduces the overall transaction count for the spread and maintains the queue position of the orders. Pre Hedge Rule Evaluate and trigger a rule before sending a hedge order into the market. Note: When you set a Pre or Post rule for a spread leg in the Autospreader configuration, Autospreader automatically activates it and applies it to every hedge order. Refer to Activating and Deactivating Hedge Rules on page 62 Post Hedge Rule Evaluate and trigger a rule after sending a hedge order into the market. Note: When you set a Pre or Post rule for a spread leg in the Autospreader configuration, Autospreader automatically activates it and applies it to every hedge order. Refer to Activating and Deactivating Hedge Rules on page 62

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Advanced Properties

Field Consider Implied

Description Determines whether or not your leg orders will lean on implied prices and quantities. This property works in conjunction with the implied settings on the Trading tab in the main X_TRADER Properties menu.
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When the Consider Implied checkbox is checked for a leg, Autospreader will use both direct and implied prices for hedging into that market. When the Consider Implied checkbox is not checked for a leg, Autospreader will only use direct prices for hedging into that market.

Note:If the Consider Implied option is selected, but the implied options on the Trading tab are not selected, your spread legs will not consider implieds. Hedge Round Automatically sends a hedge order when your quoted order quantity is more than halfway filled. When disabled, the entire quantity must be filled before the hedge is sent. This setting is intended to be used for spreads with quoting orders more than double the quantity of the hedge order. Once the entire hedge order fills and there is a quoting order working in the market, the quoting order is now the unhedged leg of the spread and will not reprice. It will be identified by the non-standard orange color bar. Example: You are quoting 11 contracts and hedging 1. With Hedge Round enabled, a hedge order is sent when 6 of the 11 contracts fill. When disabled, all 11 contracts need to fill before 1 lot is sent. Max Price Move Max Order Move Defines the maximum number of ticks a leg price can move in a single price update before Autospreader pulls the order. The maximum setting is 9999. The minimum setting is 1. Defines the maximum number of ticks a quoted leg order can reprice in a single update before Autospreader pulls the order. The maximum setting is 9999. The minimum setting is 1.

Note: The difference between the Max Move settings is, Max Price Move lets you define a price move threshold in the leaning (hedging) leg and Max Order Move lets you define an order move threshold in the quoting leg. Proper settings in both Max Move properties can help prevent legging risks in volatile markets. Cancel/Replace Lets you specify how you want your orders sent when there is a change in for Quantity quantity.

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Field

Description When you enable this property, orders are sent via Cancel/Replace in place of Change for changes in quantity. When you disable this property, reductions in order quantity use Change.

1/Price

The 1/Price per leg setting divides 1 by the leg price and the resulting value is used for spread price display. With this setting enabled, the user-defined price column displays the price as a decimal value 1 divided by the decimal equivalent of the price. Your spread must have Based On set as Implied Price for 1/Price to be supported. Example: If the current exchange price of Leg A is 1.0948 and the 1/Price is enabled in Leg A, the leg value used for the spread price display would be the result of 1/1.0948 or .9134088. Enabling 1/Price on the AutospreaderConfiguration screen also enables it on the MDAdvanced tab on the Properties menu. There, you can further alter the look of the user-defined price in the Price formatting section. Note:This property will create a price column that is in ascending order, rather than descending order. You can use the Invert Price column setting to flip MD Traderso this column appears in descending order.

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Tick Information

Ticking Information displays calculated tick size based on the contract tick size and Spread Multiplier of the spread legs. You can use this display to review the ticking relationship between the selected products and the effect on the spread with a onetick move in an outright leg.
Field Minimum Tick Increment (Uneditable field) Multiplier (Uneditable field) Delta (Uneditable field) Displays a value representing the effect on the spread with a one-tick move in an outright leg. Displays the values entered in the Spread Multiplier field. Description Displays the minimum tick size for instruments in the spread legs. The value is defined by the exchange. Example: Some instruments may tick in 64ths, while others may tick in 32nds.

Override Tick Lets you override the value displayed in the Calculated Tick Size field. You can Size view a greater range of prices without reducing the view of the total quantity available. By enabling Override Tick Size, you can specify a greater tick size to fit your needs. Calculated Tick Size (Uneditable field) Displays the calculated minimum tick size of the spread. If the products making up the legs of the spread tick at different increments, the Calculated Tick Size field displays the minimum tick size for the spread.

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Advanced Settings button/General tab

To display the General tab, click the Advanced Settings button.


Field Description Do not cross Prevents a quoted leg order from crossing the inside market price (buy offer or inside market sell bid) with the submission of a spread order. When enabled, the mouse cursor changes to a circle with a slash if positioned over a crossed market spread price. Delete All when change crosses market Lets Autospreader delete quoting orders when spread orders are repriced and cross the inside market. When enabled, Autospreader will submit and cross the first quoting order and immediately delete all non-cover orders (i.e., any additional quoted orders). Example: While quoting in both Leg A and Leg B, you drag the spread order to a crossing price. When Leg A order crosses the market, a hedge order is sent in the other leg(s), and the quoting order in Leg B is deleted. Lean on Non- Takes advantage of markets that support reduced tick spreads, including implied Tradable prices at non-tradable tick sizes (e.g., tick prices). Prices When enabled, Autospreader considers the quantity available at the better price when selecting the ideal quoting price. Autospreader also rounds toward the inside market when hedging if a quantity is available at a better, but nontradable price. Delete All Hedge Orders on ASOrder Delete Determines whether legged hedge orders are also deleted when deleting the Autospreader spread order.

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Advanced Settings button/Dynamic tab

To display the Dynamic tab, click the Advanced Settings button. Then, click the Dynamic tab.
Field Description Freeze/Unfreeze You can stop Autospreader orders from requoting to a new price level when the leaning market(s) reprice. This is done by exposing the Dynamic Settings tabs from the MD Trader spread pane context menu. The Freeze buttons are on the Quote tab. Alternatively, you can enable Use Hot Key . This makes the F key active for freezing and unfreezing all quoting legs of the spread. Refer to Freezing Autospreader Orders on page 96 for more information. Enable Dynamic Payup Ticks Enables the ability to dynamically override the Payup Tick value assigned in the Payup Ticks field with a value from -99 to 99.
F2 and F11 are the hotkeys for Dynamic Payup Ticks, and can be assigned to

any two legs at a time. The hotkeys toggle Dynamic Payup Ticks on or off each time the key is pressed. Refer to Using Dynamic Payup Ticks on page 110 for more information. Note: Dynamic Payup Ticks can also be enabled and set in the Dynamic Settings window. To access, right-click on the main Autospreader MD Trader and click Dynamic Settings from the context menu.

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The MD Trader Panes


Autospreader spread and leg panes are identical in function and display to MD Trader. Refer to MD Trader Field Descriptions in the X_TRADER User Manual.

Note: MD Trader is protected by U.S. Patents Numbers 6,766,304 and 6,772,132. For exceptions, refer to:
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Using the Autospreader Leg Pane Using the Autospreader Spread Pane

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Using the Autospreader Spread Pane Use the Spread pane to trade your legs in the appropriate markets. Trading via the Spread pane is identical to placing trades using MD Trader. However, Autospreader uses the parameters you set in the Autospreader Configuration dialog box to determine the prices at which the legs are traded. You can also access the Hedge Manager window from the MD Trader spread pane. The following MD Trader properties do not apply in the Spread pane of Autospreader:
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Show Customer Account Name Enable Order Types properties Liquidate Display Average Price of Position

Using the Autospreader Leg Panes However, whenever you trade the spread, all working orders in the leg panes have a vertical color bar on the left side of the Working Quantity column. This color bar designates the working order as being part of the spread and uses the Leg Color ID you assigned to the particular spread you are trading in the Autospreader Configuration dialog box. Notes:
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Hedge orders are color-coded in a non-standard orange color. This color is not configurable. When there is more than one color at a given price level, you will see the color black, to indicate overlap. Autospreader does not support restricted orders. The controls are disabled on the Spread pane and the Trading tab on the Properties menu.

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The Hedge Manager Window


The Hedge Manager window assists you when you have been legged using Autospreader. From it, you can monitor working hedge orders and create rules that will automatically take action on your open Autospreader position.

The Hedge Manager window consists of two panes:


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Working Orders pane:Displays legged hedge orders and contains buttons where users can take manual action on these orders. Rules pane:Lets you define triggers and rules that automatically take action on a legged hedge order.

To access the Hedge Manager window: From the Control Panel, click the Window menu and choose Hedge Manager. - or From the Control Panel, click the icon.

You successfully accessed the Hedge Manager window. The Working Pane Field Descriptions The Working Pane displays working hedge orders and contains buttons where users can take manual action on hedge orders. By default, once hedge orders fill or are deleted, the rows persist in the Working pane until you remove them manually. The Autospreader tab on the Properties menu lets you uncheck the property that makes filled and deleted hedge order rows persist. Refer to the Autospreader Properties Tab in the X_TRADER User Manual. In addition, you can click and drag the column headings to reorder them, and save the new arrangement to your workspace.

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Spread and Leg

Column Description Spread Leg The name of the spread associated with the hedge order. The contract name of the working hedge order.

Notes:
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The Buy orders appear in blue. Sell orders appear in red. The Spread and Leg cells are shaded dark gray when the hedge order is under the control of an automated rule.

Working Details

Column Working

Description The current working quantity of the hedge order.


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When the order completely fills, the cell displays Filled. When the order is deleted, the cell displays Deleted.

Price

The current price of the working hedge order. A dark gray background indicates the price on the order just changed. You can turn this setting off or change the duration on the Autospreader tab on the Properties menu. The positive number of price levels needed to fill the entire hedge order. Example:Assume the unfilled hedge order is a resting bid for 20 contracts at the inside market price of 100. Assume the inside offer price is 101 with a quantity of 10, and the next offer price is 102 with quantity 30. Given these assumptions, ticks away would be 2, which is to say this order is two ticks away from what it would take to completely fill your order. The size of the initial order. This does not update. Tip:Subtract Working from Total Qty to get your number of partial fills.

Ticks Away

Total Qty

SpreadKey The Site Order Key (SOK) of the parent spread.

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Action Buttons

Note:For Payup, Cross Inside and Fill w/Limt, the button is yellow when there is enough volume to fully fill the working hedge order. If there is not enough volume, the button turns gray.
Column Description Del MDT Payup A button that deletes the working hedge order. A button that launches MD Trader with the working hedge order. A button that cancels the working hedge order and replaces it with a limit order working at the payup price you specify. The spinner control to the right has a default value of 1. You can change payup tick values in positive or negative ticks. Then, you must click the Payup button to resend the hedge order at the payup price. Cross Inside A button that sends a Limit order for the total size of the working hedge order to cross at the best inside market price. If market liquidity is less than the size of the working hedge order, you can still send the hedge. When this occurs, the order fills as much as possible and remains resting at the price level the order was sent. Fill w/Lmt A button that sends a Limit order to for the total size of the working hedge order at the price level that would sweep the market of available liquidity. If market liquidity is less than the size of the working hedge order, you can still send the hedge. When this occurs, the order fills as much as possible and the order remains resting in the market. Clear Rows Abutton at the top of the screen that permanently removes all rows containing nonworking Filled or Deleted orders from the Working Orders pane.

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Hidden columns
Column Description Location The computer that submitted the order:
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TT: Your desktop ASE: An Autospreader SEserver

Del All

A button that deletes all working orders and all quoting orders associated with the parent Spread Order Key. Example:Assume that the Working Orders pane contains two rows representing working hedge orders for the same parent spread order. If you click the Del All button in one of the rows both spread orders are deleted, including all quoting and hedge orders.

TTOrder A TT generated unique number used to track orders. Key

The Rules Pane Field Descriptions The Rules Pane lets you predefine a rule that will automatically apply to a legged hedge order. Warnings!
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Since there is only one Hedge Manager window, changes you make to it will automatically override a Hedge Manager window saved in your workspace. Rules are only active when the Hedge Manager window is open. Closing Hedge Manager deactivates all rules.

Notes:
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If you manually reprice a working hedge order under the control of an assigned rule, the rule continues to apply as it would have had you not manually repriced the hedge order. You must mark a rule Active for it to be in effect. You can have more than one rule active for the same leg of the same spread. When closing the Hedge Manager window, it prompts you to save or not save rules you modified.

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To add a rule: 1. Right-click the bottom half of the Hedge Manager window and click Add Rule from the context menu. -orMove an Autospreader spread from the Autospreader Manager orMarket window using the drag and drop function. Anew row appears.

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2. Fill out the columns with the rules you want to automatically apply to legged hedge orders. 3. Click Active. You successfully added a rule. Spread and Leg

Column Description Spread The name of the spread for which you want to create a rule. Select the spread name from the drop-down menu. Leg Any leg associated with the selected spread. Select the leg name from the drop-down menu. Selecting All creates rules for all legs of the spread. Note: Legs appear in the same order as they appear in the spread configuration. Active A checkbox that activates the rule defined in that row.

Trigger The conditions to which Hedge Manager reacts and initiates an action. The available triggers are:
l l l l l l

Diff Qty Opposite Qty Ticks Away Qty Ratio Time (ms) Custom
Description Total quantity of working orders at the opposite inside market minus the quantity starting at the level of the working hedge order.

Trigger Diff Qty

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Example:In the screen below... ...ignoring position in queue, your 1 unfilled hedge order is, worst case, 85 lots away from the inside offer. If your Diff Qty is set as <= 15, the rule triggers. (10085=15)

Trigger Opposite Qty

Description

The inside market quantity opposite the working hedge order.

Example:In the screen below... the quantity of the inside market opposite the working hedge order is 100. If your Opposite Qty is set as <= 100, the rule triggers.

Trigger Ticks Away

Description The number of ticks away from fully crossing your working hedge order.

Example:In the screen below... ...your working 50 lot hedge order is 4 ticks away from filling the total quantity. If your Ticks Away is set as >= 4, the rule triggers.

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Trigger Qty Ratio

Description The ratio of orders between the working hedge order and the opposite inside market. (i.e., quantity ratio) This works similar to Diff Qty, except it uses the percentage of the contracts as opposed to the differential.

Example:In the screen below... ...ignoring position in queue, your 1 unfilled hedge order is, worst case, 85 lots away from the inside offer. If your Qty Ratio is set as <= 118%, the rule triggers. (100/85=118%)

Trigger Time (ms)

Description The number of milliseconds before an action is automatically taken. Note:1000 milliseconds = 1 second. Max is 99999 milliseconds = 99 seconds.

Example:You select a Time trigger and enter a Value of 5,000 milliseconds. A 5 second countdown begins as soon as the hedge order is legged. When 5 seconds elapse, the defined Action triggers.
Trigger Custom Description When selected, enables the Hedge Rule Builder button in the row and allows for the creation of custom rules using the Hedge Rule Builder interface.

Equality
Column Description Equality The Equality operator compares the value you enter in the Value column with the actual value in the current market. The Action executes when the comparison is true.Operators are:
l l l l

Less than:< Less than or equal to:<= Greater than:> Greater than or equal to:>=

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Column Description Equality applies to all Triggers except Time.

Value
Column Description Value The value of the Trigger. An Action is taken immediately when the actual market is less than, greater than, or equal to the value you enter in this column for all Triggers except Time. Note:When Qty Ratio is selected as the Trigger the value is interpreted as a percentage. When Time is selected as the Trigger the value is interpreted in milliseconds

Example:If you set the Qty Ratio Value to < or <= 50% and the current depth in the market is at 45%, action is taken. If you set the Qty Ratio Value to < or <= 40% and the current depth in the market is at 45%, no action is taken. Action The action to take on the hedge order when the rule is triggered.

Action Fill w/Lmt Cross Inside Payup

Description Cancel the working hedge order and send a limit order at a price to fill the entire working quantity. Cancel the working hedge order and send a limit order to cross at the best inside market price. Cancel the working hedge and replace with a limit order working at the payup price you specify in positive or negative ticks. Note: Selecting the Payup action enables the Payup and Repeat fields in the Rules pane.

Join Best

Cancel the working hedge order and send a limit order at the same side best inside price or an offset of the best inside price. Note: Selecting the Join Best action enables the Offset and Repeat fields in the Rules pane.

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Notification The way you are alerted when a rule is triggered. Tip:You can set a Notification without setting an Action.

Column Flash Sound Flash & Sound

Description The Spread and Leg cells for the related row in the Working Orders pane blink gray for 10 seconds. Plays a sound you set under the Hedge Manager event in the Sounds tab on the Properties menu. Both the Flash and Sound attributes alert you to the Trigger.

Payup
Column Payup Description The payup value when you select the Payup Action.

Repeat
Column Repeat Description The number of times to repeat a Trigger when you choose Payup as your Action.

Example 1: In the screen above, a repeat value of 10 means when the Qty Ratio is less than or equal to 25%, you will payup 1 tick up to 10 times or until the unhedged order completely fills.

Example 2: If you set the Time as a trigger with a value of 10000 ms, Payup as the action with a value of 1, and Repeat with a value of 10, you will payup 1 tick every 10 seconds 10 times or until the unhedged order completely fills. Edit and Formula

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Column Edit Formula

Description Click to edit the formula using Hedge Rule Builder. Displays the formula that has been created for the spread.

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Hedge Manager Context Menus In the Hedge Manager window, the Working Orders pane and Rules pane each have their own context menus. Right-click in each pane to access the context menu.
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Working Orders pane context menu Rules pane context menu Find Control Panel: Displays the Control Panel. Show Rules:Displays the bottom Rules pane when it is hidden. Hide Rules:Hides the bottom Rules pane when it is displayed. Show/Hide Columns:Lets you select which columns to show.

The available menu options for the Working pane include:


l l l l

The available menu options for the Rules pane include:


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Find Control Panel: Displays the Control Panel Add Rule:Adds another row to the Rules pane. Delete Rule(s):Removes the selected rule(s)from the Rules pane. Clone Rule(s):Copies and pastes an existing rule for easy editing.

Hedge Rule Builder Overview


The Hedge Manager window includes Hedge Rule Builder, which helps you create simple or complex rules using a drag-and-drop interface. Hedge Rule Builder provides a collection of building blocks that helps you specify actions to take on a hedge order. The following Hedge Rule Builder window shows a formula that pays up one tick to try to fill a hedge order if it has been in the market for more than five seconds.

Hedge Rule Builder window

Hedge Rule Builder provides additional functionality and flexibility you can use to:

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Assemble basic or complex rules using an intuitive drag-and-drop approach. Create more detailed and specific formulas that can react to multiple triggers using prices and quantities. Create a library of rules that you can re-use with the same or different spreads, so you can create a formula once and apply to any spread.

For example, you can create a rule that triggers after a hedge order has rested in the market for five seconds (first trigger), which then determines how far away the leg is from the inside market (second trigger). Based on the condition, the rule either uses payup ticks (first action) or crosses the inside market (second action).

Hedge Rule Builder window

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Launching Hedge Rule Builder


The Hedge Rule Builder can be accessed from either the Hedge Manager window or the Autospreader Configuration window. To access from the Hedge Manager window You can access the Hedge Rule Builder by clicking the Rule Builder icon in the main Hedge Manager window or in an individual rule, as shown in the following Hedge Manager window.

Hedge Manager window

To access from the Autospreader Configuration window You can access Hedge Rule Builder from the Autospreader Configuration window. For each leg in the spread, you can click either the Pre Hedge Rule or Post Hedge Rule field to display the Hedge Rule Builder window, as shown in the following illustration.

Autospreader Configuration window

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The Hedge Rule Builder Window


The Hedge Rule Builder window is where you construct and manage your rules. The following illustration and table describe the sections of the Hedge Rule Builder window.

1. Formula Building Blocks The top section of the Hedge Rule Builder window contains the building blocks you can use to create formulas for your rules.

Blocks

Description Conditionally executes a statement depending on the value of an expression. Use this to create more complex nested rules. Example: IF Time>5000[ms] THEN Payup [Tick 1, Payup 0] ELSE CrossInside Use the parentheses to build a rule with multiple operators. Example: (Ticks Away > 5) Note: All values in parentheses will be evaluated first. Use this to execute a statement that does not satisfy a condition. In the example below, the statement is valid if the AskPrc is less than or equal to 5. Example: NOT (AskPrc > 5) Use this to form a logical conjunction of two expressions. Example: (Ticks Away > 5) AND (Time>5000[ms]) Use this to form a logical disjunction of two expressions. Example: (Ticks Away > 5) OR (Time>5000[ms]) Less than operator. Example: Ticks Away < 5

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Blocks

Description Less than or equal to operator. Example: Ticks Away <= 5 Greater than operator. Example: Ticks Away > 5 Greater than or equal to operator. Example: Ticks Away >= 5 Equal to operator. Example: Ticks Away == 5 Not equal to operator. Example: Ticks Away <> 5 Addition operator. Example: Ticks Away + 2 Subtraction operator Example: Ticks Away - 2 Multiplication operator. Example: Ticks Away * 2 Division operator. Example: Ticks Away / 2 Use this to differentiate adding or subtracting based on hedge orders that are buys or sells. For more information, refer to Formula Building Blocks. Use this to differentiate greater than or less than based on hedge orders that are buys or sells. For more information, refer to Formula Building Blocks. Contains market prices and quantities from the hedge leg that can be incorporated into a formula rule. For more information, refer to Hedge Leg Fields. Use this to enter a time in milliseconds that can be incorporated into a formula rule. Example: Time>5000[ms] Use this to enter a value that can be incorporated into a formula rule. Use this button to specify an action to take when the condition is true. For more information, refer to Available Actions.

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Note:Hedge Rule Builder uses the following precedence when evaluating rules with multiple operators:
1. Constant values, parentheses, negation operator (-), Time action 2. Multiplication and division operators (*, /) 3. Addition and subtraction operators (+, -, +/-) 4. Logical comparison operators (<, >, <=, >=, >/<) 5. Equality comparisons (==, <>)

2. Formula Canvas The formula canvas provides the working area for your formula. You drag and arrange the formula building blocks into the different areas in the canvas until you create a well-formed formula. The initial canvas includes the following sections:
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If section, where you define the conditions that trigger the rule. Then section, where you define what actions to take when the If condition evaluates to TRUE. Else section, where you optionally define actions to take when the If condition evaluates to FALSE.

Tip: If you need to modify or delete an item on the canvas, you can right-click the item and select Modify or Delete from the items context menu. The following canvas shows a formula that uses only the If and Then sections.

Hedge Rule Builder canvas

The canvas uses the background color to indicate whether the current rule is valid formula. When a part of a rule contains a syntax or logic error, the canvas changes the background color to red for the rule and for the components that are invalid. For example, the red background in the following canvas indicates problems with the Then section, which also makes the entire rule invalid.

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Hedge Rule Builder canvas

3. Formula Status The Status area beneath the canvas updates the status of the formula as you build it. When the current state of a rule is complete and syntactically correct, the Status area shows Valid Formula; otherwise, it displays information explaining why the formula is not valid. Example: Then >> Then must contain a single action or an If/Then/Else statement 4. Control Buttons The bottom of the window provides buttons to manage the working formula and to access rules in the rules library.
Button Description Removes all blocks from the canvas. Saves the current formula to your rules library. Loads a rule from your rules library to the canvas. Accepts or cancels the rule.

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Formula Building Blocks


In addition to the standard mathematical operations, the Hedge Rule Builder provides the following special actions that take into account whether the hedge order is a Buy or a Sell order.
Action Description Automatically adds or subtracts expression values, as follows: l + For buy hedge orders, - for sell hedge orders l + For sell hedge orders, - for buy hedge orders Automatically uses greater/less than comparisons for expression values, as follows: l > For buy hedge orders, < for sell hedge orders l > For sell hedge orders, < for buy hedge orders

To illustrate, suppose you want to re-price a hedge order if the price of the working hedge order is too far away from the inside market. Instead of writing separate rules for Buy and Sell orders, you can use these Buy/Sell operators to handle both types of orders. In the following example, you want to take action when the price of the working hedge order is six or more price levels away from the same-side inside market.

Hedge Rule Builder window

If the hedge leg is a Buy order, the +/- operator causes the rule to look at the inside market price on the Bid side and subtracts 5 from the price; for a Sell order, it looks at the inside market on the Ask side and adds 5 to the price. Then the rule uses the >/< operator to compare the expression and determine whether to pay up 3 ticks if this adjusted price is greater than five price levels away from the inside Bid price or inside Ask price. The following table lists the information of an order you can use to trigger a rule.
Field AskPrc AskQty BidPrc Description Inside market Ask price Inside market Ask quantity Inside market Bid price

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Field BidQty DiffQty

Description Inside market Bid quantity Total quantity of working orders at the opposite inside market minus the quantity starting at the level of the working hedge order Note: Refer to Understanding Pre and Post Hedge Rules when using this field in Pre or Post Hedge rules.

HedgePrc HedgeWorkingQty LTP LTQ OppositePrc OppositeQty QtyRatio

Price of the working hedge order Total quantity of all the hedge orders from the same spread order working at the same price level Last traded price Last traded quantity Inside market price opposite the working hedge order Inside market quantity opposite the working hedge order Ratio of orders between the working hedge order and the opposite inside market Note: Refer to Understanding Pre and Post Hedge Rules when using this field in Pre or Post Hedge rules.

MinimumPriceIncrement The minimum tradable price increment for the leg.

SameSidePrc SameSideQty TicksAway

Inside market price on the same side as the working hedge order Inside market quantity on the same side as the working hedge order Positive number of price levels necessary to completely fill the working hedge order

The following table describes the actions a triggered rule can take.
Action Payup Description Converts the price of a working hedge order to a price specified by the number of positive or negative payup ticks. You can also specify a number of times to repeat the payup action if the order is not completely filled and is still working, as long as the rule evaluates to true. For example, if a rule includes a Time trigger set to 10000 ms with a payup action for one tick and a repeat value of three, the working hedge order pays up one tick every ten seconds for a total of three times unless the order completely fills. Fill w/Limit Cross Inside Join Best Cancels the working hedge order and sends limit order at a price sufficient to fill the entire working quantity. Cancels the working hedge order and sends a limit order to cross at the best bid or ask price. Cancels the working hedge order and sends a limit order at the same side best inside price or an offset of the best inside price. The Join Best offset defines the price levels from the best inside market: Positive offsets are price levels away from the best inside market and negative offsets are price levels better than the best inside market. Notify Provides visual and audio clues to alert you that a rule triggered.

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Creating and Editing Rules


Every hedge rule contains three components: If, Then, and Else. The If and Then components are required for every formula, while the Else component is optional. When creating a formula, you need to drag formula blocks into each section to create the logic and actions for the formula. Tip: If you place blocks in the wrong order, you can rearrange them by dragging them to another position within the same section. For example, if you place the > block after the Value block, you can just drag it between the Field and Value blocks. To help you understand how to use the formula blocks, this procedure walks you through the process of creating the If section for a formula. In this example, you create a rule that triggers to send a notification when the number of ticks a legged order is away from the market exceeds five. To create an If-Then rule using Ticks Away: 1. Open the Hedge Rule Builder window. 2. Click and drag the Field block to the If section. The Field dialog appears.

Field dialog box

3. In the Field drop-down, select Ticks Away; click OK. The TicksAway building block is added to the If section.

Hedge Rule Builder window

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4. Click and drag the > block to the If section.

Hedge Rule Builder window

5. Click and drag the Value block to the If section. The Value dialog appears.

Value dialog box

6. Enter a value, and click OK. The value is added to the formula. The If condition is complete.

Hedge Rule Builder window

7. Click and drag the Action block to the Then section, and set the values as shown:

Action dialog box

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8. Click OK. The green background indicates the formula is valid.

Hedge Rule Builder window

You successfully created an If-Then rule using Ticks Away. You can use this procedure when you want to create a rule that is not tied to a specific spread shown in the Hedge Manager window. To create a generic rule not tied to a specific spread: 1. From the Hedge Manager window, click the Hedge Rule Builder icon. The Hedge Rule Builder window appears. 2. Specify the If condition by dragging blocks into the field. The following example uses several building blocks to create a compound condition that triggers only when an order is legged for more than five seconds and is more than five ticks away from the market.

Hedge Rule Builder window

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3. Specify the Then condition by dragging blocks into the field. This example uses a Payup action of one tick that repeats once and flashes a notification.

Hedge Rule Builder window

4. If desired, specify the Else condition by dragging blocks into the field. 5. If the formula status is valid, click OK. You successfully created a generic rule not tied to a specific spread. You can also use the Hedge Rule Builder to create a formula for the rule of a specific spread in the Rules section of the Hedge Manager window. To create a formula for a specific spread: 1. In the Hedge Manager window Rules section, right-click and select Add Rule from the context menu. 2. In the rule row, specify values for the Spread and Leg fields. 3. In the rules row, select Custom from the Trigger drop-down. The Edit and Formula fields are enabled.

Hedge Manager window

4. Click the Hedge Rule Builder icon for the rule. The Hedge Rule Builder window appears.

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5. Specify the If condition by dragging blocks into the field. The following example sets the If condition to TicksAway > 8.0.

Hedge Rule Builder window

6. Specify the Then condition by dragging blocks into the field. In this example, you nest an additional If-Then block to react differently based on how long the order has been legged.

Hedge Rule Builder window

7. Complete the logic for the nested If-Then block:


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For the If section, check to see if the order has not been legged for five or more seconds. For the Then section, pay up one tick. For the Else section, cross the market.

8. If desired, specify the outer Else condition by dragging blocks into the field. In this example, you leave the section blank. 9. If the formula Status contains Valid Formula (the entire background is green), click OK.

Hedge Manager window

You successfully created a formula for a specific spread.


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Working with the Rules Library


Hedge Manager can store rules so that you can easily re-use them at different times and even for different spreads. To display the contents of the rules library: 1. Open the Hedge Rule Builder. 2. Click Load Rule. The Load Rule File dialog box displays.

Load Rule File dialog box

3. When viewing is complete, click Cancel. You successfully displayed the contents of the rules library. To save a rule to the rules library: 1. In the Hedge Rule Builder window, create a valid rule, such as the following which pays up one tick if it has been in the market for more than five seconds:

Hedge Rule Builder window

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2. Click Save Rule As. The Save Rule As dialog appears.

Save Rule As dialog box

3. In the Name field, type a name for the formula. 4. Click Save. Note: Hedge Manager rules are saved as a template and modifications to an existing saved rule will only apply to the rule at the location of where the rule was saved. For example, assume a rule is created, named and saved as OppQty100 in the Hedge Manager rules pane. If the rule OppQty100 was accessed and modified for a spread in the Autospreader configuration window, the saved changes would only apply to the rule in the Autospreader spread configuration and would not apply to the rule OppQty100 in the Rules pane. You successfully saved a rule to the rules library. To load a rule from the rules library: 1. Open the Hedge Rule Builder. 2. Click Load Rule. The Load Rule dialog displays.

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Load Rule File dialog box

3. Click to select the desired rule, and click Load. 4. The rule appears in the Hedge Rule Builder window. You successfully loaded a rule from the rules library. To delete a rule from the rules library: 1. Open the Hedge Rule Builder. 2. Click Load Rule. The Load Rule dialog displays.

Load Rule File dialog box

3. Click to select the desired rule, and click Delete. You successfully deleted a rule from the rules library.

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Activating and Deactivating Hedge Rules


After you created a hedge rule you can activate or deactivate them for your spreads. This can be done from the Hedge Manager window, Autospreader Configuration window, or the Dynamic Settings tab. In the example below, the Pre Hedge rule in Leg A and the Post Hedge rule in Leg B have been activated in the Dynamic Settings tab. All hedge orders in Leg A will be evaluated with the rule that was set in the Autospreader configuration before hedge orders are sent into the market. All hedge orders in Leg B will be evaluated with the rule after the hedge orders are sent into the market. No rules will be applied to Post hedge orders in Leg A and Pre hedge orders in Leg B.

Dynamic Settings tab

To activate a rule from the Hedge Manager window 1. Open the Hedge Manager window. 2. In the Rules section of the window, locate the desired spread and click to enable (or disable) the Active check box.

Hedge Manager window

You successfully activated a rule from the Hedge Manager window.

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To activate a rule from the Autospreader Configuration window: 1. Open the Autospreader Configuration window. 2. For the desired spread leg, click the Pre Hedge Rule or Post Hedge Rule field. The Hedge Rule Builder window appears.

Autospreader Configuration window

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Chapter 1: Autospreader Overview

3. In the Hedge Rule Builder window, define or load a valid formula. Click OK. The rule appears in the field and is automatically activated.

Autospreader Configuration window

4. Repeat the process for each spread leg rule you want to activate. 5. When finished, click OK to close the window and apply the rules to the spread. You successfully activated a rule from the Autospreader Configuration window.

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To activate a rule from the Dynamic Settings tab:

1. Launch the desired spread. 2. Right-click the spread pane and click Dynamic Settings from the context menu. 3. Click the Rules tab. The Rules tab becomes active.

Activated and deactivated rules on the Rules tab

4. Click to enable each leg rule type you want to activate. You successfully activated a rule from the Dynamic Settings tab.

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Chapter 1: Autospreader Overview

Understanding Pre and Post Hedge Rules


Autospreader allows you to create and apply Pre and Post Hedge rules to the individual legs of a spread using the per-leg settings in the Autospreader configuration. You can set up Pre Hedge rules for any hedge leg to be evaluated and trigger a rule before sending a hedge order into the market after a quoting order fill. You can apply Pre Hedge rules only to spread legs in the Autospreader configuration. For example, you could create a Pre Hedge rule that applies a negative payup tick to the hedge order when the best inside market quantity at the crossing market is greater than some specified value. The following illustration shows a formula that applies a negative payup tick to the hedge order price if the quantity on the opposite side inside market is greater than 50. When a quoting order fill generates a hedge order, Autospreader immediately evaluates the Pre Hedge rule. If the rule evaluates to true (OppositeQty > 50, in this case), Autospreader sends the hedge order using the specified negative payup tick. Otherwise (OppositeQty <=50), it sends the order as a normal hedge order as specified in the Autospreader configuration.

Hedge Rule Builder window

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Using the DiffQty or QtyRatio Fields in Pre and Post Hedge Rules It is important to note that Pre Hedge rules behave differently than Post Hedge rules when they include the DiffQty or QtyRatio fields. When the DiffQty or QtyRatio fields are used for a Post Hedge rule, all the depth starting at your working hedge order and including your hedge order quantity is compared with the quantity at the opposite inside market. When DiffQty or QtyRatio fields is used for a Pre Hedge rule, only your hedge order quantity is compared with the quantity at the opposite inside market. For example, if a Pre Hedge rule is set with DiffQty or Qty Ratio fields and your hedge order is quantity is 5 and the opposite inside market quantity is 10, the DiffQty would be 5 and the Qty Ratio is 2 or 200%. If you want to compare the difference of both sides of the market without your own order, you can compare using Opposite Qty and Same side Qty fields. For example, create the following rule in Hedge Rule Builder: 'If Opposite Qty - Same side Qty is > x, then take action'. Notes:
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When a Pre Hedge rule evaluates to true, the action defined in the rule overrides any of the standard payup ticks set for the leg in the Autospreader configuration. The payup ticks set for the leg in the configuration apply only when the Pre Hedge rule evaluates to false. When you set a Pre or Post Hedge rule for a spread leg in the Autospreader configuration, Autospreader automatically activates it and applies it to every hedge order. Pre Hedge rules can only apply to spreads that are either launched in Desktop mode or launched to an Autospreader SE 7.2 server or higher. Spreads launched to a preAutospreader SE 7.2 server will not support the Pre Hedge rule functionality and Pre Hedge rules will not be applied to a hedge order.

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Chapter 2: Creating Spreads

Chapter 2: Creating Spreads


Follow these procedures to create and manage your spreads:
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Creating a New Spread using Drag-and-Drop Creating a New Spread using the Market Grid Adding Legs to an Existing Spread Deleting Legs from an Existing Spread Opening an Existing Spread Replacing an Expired Contract Specifying a Minimum Hedge Quantity Activating a Custom Pricing Model Configuring a spreads parameters and the values associated with them are dependent on the products you trade for each leg of the spread. Autospreader and Autotrader orders are automatically deleted when you exit X_TRADER.

Notes:
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Multi-Legged Spreads
Hedging logic for multi-legged spreads is as follows:
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Once a quote leg is filled on a multi-legged spread, the prices at which orders are sent on the remaining legs are based on prices Autospreader was leaning on at the time of the fill, rather than the current market. Hedging logic for partial fills on multi-legged spreads is the same as for two-legged spreads.

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Creating a Spread using the Market Grid


To created a new spread from the Market Grid: 1. Start X_TRADER and open up a connection to the exchange(s) on which the spread product (s) trade. 2. Select products from the Market Explorer, and open a Market window for those products. 3. In the Market Grid, click at least two products to select them. Notes:
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Hold down the CTRL key to select multiple products. You can add up to ten legs per spread and actively quote on up to three of the legs.

4. Right-click on a selected product in the Market Grid to open the context menu. 5. Click Autospreader. The Autospreader Configuration dialog box appears. Notes:
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The contracts that form the spread legs populate Autospreader in the order in which they appear in the grid. To change this order, use the leg drop-down list to select a different contract. If needed, you can manually expand the size of the Autospreader Configuration dialog box to view as many legs as possible. Or, you can use the horizontal scroll bar to view and edit the other legs.

6. Set the spread parameters in the Autospreader Configuration dialog box. Refer to the Configuration Dialog Box Field Descriptions on page 21. 7. Click OK. The Autospreader Manager dialog box opens. 8. From the Autospreader Manager dialog box, click the spread you want to trade to highlight it. 9. Click Launch. Autospreader opens with the selected spread and you can begin trading. You successfully created a new spread from the Market.

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Creating a Spread using Drag-and-Drop


To create a new spread using drag-and-drop from the Market window: 1. Start X_TRADER and open up a connection to the exchange(s) on which the spread product (s) trade. 2. Select products from the Market Explorer, and open a Market window for those products. 3. From the Control Panel, click the Window menu and choose Autospreader. - or From the Control Panel, click the 4. Click New. The Autospreader Configuration dialog box opens. 5. In the Market Grid,with the cursor over the contract you want, click and hold the mouse button. 6. Continue holding the mouse button and drag the cursor to he Autospreader Configuration dialog box. When the cursor leaves the window, it changes to a circle with a diagonal line through it. When the cursor enters a window, it changes to include a plus [+ ] sign. 7. Release the mouse button. This is the first leg of the spread. 8. Repeat Steps 5-7 for as many legs as you want to add. Note: You can add up to ten legs per spread and actively quote on up to three of the legs. 9. Set the spread parameters in the Autospreader Configuration dialog box. Refer to the Configuration Dialog Box Field Descriptions. 10. Click OK. The Autospreader Manager dialog box opens. 11. From the Autospreader Manager dialog box, click the spread you want to trade to highlight it. 12. Click Launch. Autospreader opens with the selected spread and you can begin trading. You successfully created a new spread in Autospreader. icon.

The Autospreader Manager dialog box appears.

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Adding Legs to an Existing Spread


To add legs to an existing spread: Note:You can add up to ten legs per spread and actively quote on up to three of the legs. 1. Start X_TRADER and open up a connection to the exchange(s) where the spread products are traded. 2. Select products from the Market Explorer, and open a Market window for those products. 3. From the Control Panel, click the Window menu and choose Autospreader. - or From the Control Panel, click the icon.

The Autospreader Manager dialog box displays. 4. Select the name of the spread and click Edit. The Autospreader Configuration dialog box displays. Tip: Manually expand the size of this box if you can not view all the fields. 5. From the Market Grid, click to select the contract you want to add. 6. Drag and drop the contracts to the Autospreader Configuration dialog box. 7. Edit the settings to manipulate the behavior of the spread. 8. Click OK. The spread window and various legs of the spread display. You successfully added legs to an existing spread.

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Chapter 2: Creating Spreads

Deleting Legs from an Existing Spread


To delete legs from an existing spread: 1. From the Control Panel, click the Window menu and choose Autospreader. - or From the Control Panel, click the icon.

The Autospreader Manager dialog box displays. 2. From the Autospreader Manager dialog box, click the spread containing the leg you want to delete. 3. Click Edit. The Autospreader Configuration dialog box displays.

4. Click the Delete button in the specified leg column. When a leg is deleted, the MD Trader window for that spread leg is not automatically closed. You successfully deleted legs from an existing spread.

Opening an Existing Spread


To open a previously saved Autospreader spread: 1. Start X_TRADER and open up a connection to the exchange(s) where the spread products are traded. 2. Select products from the Market Explorer, and open a Market window for those products. 3. From the Control Panel, click the Window menu and choose Autospreader. - or From the Control Panel, click the icon.

The Autospreader Manager dialog box appears. 4. From the Manager window, click to select one of the configured spreads. 5. Click Launch. Autospreader opens with the selected spread and is ready to begin trading. You successfully opened a previously saved Autospreader spread.

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Replacing an Expired Contract


Autospreader has controls in place to prevent you from trading expired contracts. When contracts expire and roll to the next expiration month, the Autospreader Configuration dialog box marks them as "Expired" and allows you to choose another contract using a dropdown list.

Notes:
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If you save the spread while expired contracts exist, you are prompted to confirm the configuration. If you launch a spread that contains expired contracts in it, Autospreader prevents you from trading that expired contract.

To replace an expired contract: 1. Click the down arrow in the Contract field next to the contract that reads "Expired. 2. Click the related contract you want to place in the spread. You successfully replaced an expired contract.

Activating a Custom Pricing Model


You can use your own personalized custom pricing models in MD Trader and Autospreader. For information on creating and activating Custom Pricing Models, see the Documents section of the Development Support Website at: http://www.tradingtechnologies.com/dts.

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Protecting your Spreads


The Offset Volume Multiplier protects you from being legged (i.e., filled on one leg but not the other). It does this by allowing you to define a multiple of the order quantity that the hedge leg that must be available in order for Autospreader to quote at a particular price. The order quantity times the Offset Volume Multiplier is used by the quoting leg(s) to determine where to quote. This field accommodates decimals up to three places and is set to 1 by default. Example: Quote Against a Minimum of Two Times the Size of the Hedge Order Quantity You want to quote against a minimum of two times the size of the hedge order quantity. Entering a value of 2 in the Offset Volume Multiplier field in the hedge leg will cause Autospreader to determine the price level at which two times the size of the order quantity exist in the hedge leg in order to determine the price at which it will quote in the other leg. Example: Quote Against a Minimum of One-Half the Size of the Hedge Order Quantity You want to quote against a minimum of one-half the size of the hedge order quantity. Entering a value of .5 in the Offset Volume Multiplier field in the hedge leg will cause Autospreader to determine the price level at which one-half the size of the order quantity exist in the hedge leg in order to determine the price at which it will quote in the other leg.

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Understanding Quoting Mode Options


A quoting order for a spread can only be submitted into the market if its associated hedge market(s) has a current quantity that meets or exceeds the minimum hedge quantity requirement. The Quoting Mode setting in the Autospreader Configuration window defines how quoting orders react to changes in the minimum hedge quantity. There are three options available:
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All or None: If the hedge market quantity drops below the minimum hedge quantity, the associated quoting order will be pulled from the market and will not be resubmitted even if sufficient hedge market volume reappears at some later time. This is the default setting. Note: Spread configurations created in versions of X_TRADER prior to 7.11.1 will be run as All or None by default.

All or None w/ Resubmit: If the hedge market quantity drops below the minimum hedge quantity, the associated quoting order will be pulled from the market and will be resubmitted if sufficient hedge market volume reappears at a later time. Note: The spread order will persist and remain working even though no quoting orders are working in the market; quoting orders will automatically be resubmitted if sufficient hedge quantity returns.

Dynamic Inside Lean: This option only leans on the inside market of the hedge legs and, therefore, only considers the size of the hedge legs inside market. If that volume is less than the minimum hedge quantity, the quoting order will be reduced to the largest size that could be fully hedged at the inside market of the hedge leg(s). Notes:
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The quoting order quantity will only increase when a full or partial fill has occurred in the quoting leg and the hedge legs inside market quantity has increased to accommodate a larger quoting order. The spread order will persist and remain working even though no quoting orders are working in the market; quoting orders will automatically be resubmitted if sufficient hedge quantity returns. If the quoting order is decreased due to reduced liquidity in the hedge legs inside market, that quoting orders size will not automatically be increased if the hedge legs market volume subsequently increases. Successive downward quantity reductions can occur in the quoting leg in cases where the hedge liquidity trends downward.

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Specifying a Minimum Hedge Quantity


A quoting order for a spread can only be submitted into the market if the associated hedge market(s) have a current quantity that meets or exceeds the minimum quantity to lean against. Use the Base Volume Lean and Offset Volume Multiplier to quantify the minimum hedge quantity needed to lean against using the following formula: (Order Quantity) * (Offset Volume Multiplier) + (Base Volume) = Minimum contracts needed to lean against Examples:
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An order quantity of 10 with an Offset Volume Multiplier of 1 and a Base Volume Lean of 25 needs 35 contracts available to lean against. An order quantity of 100 with an Offset Volume Multiplier of 2 and a Base Volume Lean of 10 needs 210 contracts available to lean against. An order quantity of 20 with an Offset Volume Multiplier of 0 and a Base Volume Lean of 100 needs 100 contracts available to lean against.

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Trading in Yield
You can trade fixed income and interest rate spreads as a difference in yield using the Based On property in the Autospreader Configuration dialog box.

You define the Yield properties for each leg of the spread. The properties are identical in function to the User-Defined Price (UDP) column in MD Trader. The configured spread prices display in yield in the spread pane. The legs display the defined yield in the UDP column in MD Trader.

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Yield Field Descriptions


Property Yield Type Description Displays price as a percentage representing annual rate of return.
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No Conversion: The instrument price is in yield. Conversion not necessary. Yield to Maturity : The spread price is based on the rate of return if held until the maturity date. An algorithm calculates the price accurate to six decimal places. All fields are required unless otherwise noted. (100-Price): The yield is calculated by subtracting the instrument price from 100. Calculation for the Euribor. ((10000-Price)/100): The yield is calculated by subtracting the instrument price from 10000 and dividing the result by 100. Calculation for the Eurodollar. (((10000-(Price+Strip Base))/100): Eurodollar Strip type yield, a base (settlement) is added to the instrument price before the Eurodollar conversion. Calculation for the exchange traded Strip, Pack or Bundle. ((100000-Price))/1000): 30 Day Fed Fund. The yield is calculated by subtracting the instrument price from 100000 and dividing the result by 1000. Custom Pricing Model: A pricing model you activated in X_TRADER. For information on creating, registering, and activating Custom Pricing Models, see the Development Support Website at http://www.tradingtechnologies.com/dts

Convert to 365 Strip Base Coupon Frequency Coupon (%) Day Count Type

Converts 360 days to 365 days. Average settlement price of the contracts in an exchange traded Strip, Pack or Bundle. The Strip Base is added to the instrument price before the conversion. Number of coupons per year. (Annual, Semi Annual, Quarterly, Monthly) Default value is Semi Annual. Annual interest rate (as a decimal). Must be greater than 0.1 and less than 100.00 and accurate to four digits. Default value is 0.1. The convention used for counting the days between two dates. The default value is Actual/Actual.
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Actual: The real number of days between two dates. Leap year counts for 366 days. 360: The year has 360 days. 365: The year has 365 days. 30: If the second date falls on the 31st of the month it is changed to the 30th only if the first date falls on the 30th or 31st. 30E: If the second date falls on the 31st of the month it is always changed to the 30th.

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Settlement Date

The date the trade settles. Must be less than the maturity date and greater than today.

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Property Maturity Date Futures Conversion Factor (Optional) EOM Convention Optional

Description The redemption date of the bond. Must be greater than the settlement date and greater than today. The factor by which the futures price is multiplied if the specified bond is delivered against it. Must be greater than 0.1 and less than 5.0 and accurate to four digits. Determines whether coupon payments always occur on the last day of the month if the settlement date falls on the last day of the month. Available when Yield to Maturity is the Yield Type. Enables the following options:
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First Coupon Date: The first real coupon date. Must be less than the maturity date and be a valid coupon date. (Must be specified if the bond has an odd first coupon period and the settlement date falls within this odd first coupon period) Dated Date: The date upon which interest accrual begins. Must be less than the first coupon date. (Must be specified if the bond has an odd first coupon period and the settlement date falls within this odd first coupon period)

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Chapter 3: Trading Spreads

Chapter 3: Trading Spreads


Autospreader provides many different options for trading the spreads you create. Among the procedures covered here are: Note: When trading spreads in simulation mode certain restrictions apply, refer to Trading in Simulation Mode.
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Pre-Trade Risk-Checking Trading on an Autospreader Strategy Engine Trading in the Market Grid Changing Customers Overriding the Tick Size Freezing Autospreader Orders Queue Holder Setup Tasks Using Dynamic Payup Ticks Setting the Inside Smart Quote Using Smart Quote Limit Using Basic Slop Using Advanced Slop

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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:
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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):
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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: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: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: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
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be allowed by pre-trade risk, otherwise the spread is not allowed. Notes:


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The Display Position Reserve in Order Book and Audit Trail property in the Autospreader 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
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WCP= Worst Case Position PLMT= Position Limit The message reads: Worst Case Position of 12 long is greater than Position Limit of 10

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Trading on an Autospreader Strategy Engine


The Autospreader Manager window gives you the option of launching your spreads on and trading from an Autospreader Strategy Engine (Autospreader SE). Autospreader SE is a server-class product designed to reduce latency when performing userdefined synthetic spread trading. By placing servers in close geographic proximity to the markets being traded, Autospreader SE contributes to reduced legging and more successful synthetic spread fills. Before you can trade from Autospreader SE, you must log on to it. You log on to it the same way you log on to a TT exchange gateway.
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Logging on to an Autospreader SE Launching a spread on an Autospreader SE

To log on to an Autospreader SE: 1. In the bottom right-hand corner of your desktop, in the system tray, double-click the 2. From the Guardian menu bar, click the File menu and choose Trader Login. The TT Exchange Login dialog box appears. icon.

3. Select the Autospreader SE server from the Exchange List. 4. Enter the login data provided by your X_TRADER Administrator. 5. Click Login.

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After your password is authenticated, a checkmark appears in the box to the left of the Autospreader server name. 6. Click Close. 7. From the Guardian menu bar, click the File menu and choose Exit to exit Guardian. You successfully logged into an Autospreader SE.

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To launch a spread on an Autospreader SE: 1. From the Control Panel, click the Window menu and choose Autospreader. - or From the Control Panel, click the icon.

The Autospreader Manager dialog box appears. 2. From the Manager window, click to select one of the configured spreads. 3. Click the Specific Server radio button.

The highlight bar over your configured spreads changes from the default color to green.

4. If you are logged onto more than one Autospreader SE, select the appropriate server from the drop down list. 5. Choose which window to launch the spread into and whether you want to launch the corresponding legs.

6. Click Launch. Autospreader opens with the selected spread on the Autospreader SE. You successfully launched a spread on an Autospreader SE.

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Chapter 3: Trading Spreads

Notes:
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Spread orders cannot be submitted from the desktop Autospreader until it has received confirmation from the server. The MD Trader quantity controls and the Market Grid contract row appear maroon to indicate the non-tradable state until the confirmation is received. All spreads launched onto a server display the server name as a part of the spread name. For example, the spread "ES_NQ" launched to the server "ASE-A" will display as "ASE-A ES_NQ." Spread configurations can run on multiple servers as well as on the local client at the same time. You can save the spread and the server you launch it on as a part of your workspace. When you open the workspace, all spread configurations automatically relaunch on the appropriate servers. All Autospreader spreads launched onto an Autospreader SE will use the X_TRADER global property settings that apply to Autospreader. This includes the Implied settings.

For more information on Autospreader SE, including its architecture, installation and configuration, refer to The Autospreader Strategy Engine SAM.
In general, traders should not use Algo SE as a replacement for Autospreader SE. However, there are only two conditions under which you should use Algo SE for launching spreads:
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The trader is using ADL to submit Autospreader SE orders, and wishes to have the ability to manually trade out or submit an Autospreader order as a complement to his ADL-driven spread trading, or The trader requires the Avoid Orders That Cross functionality for Autospreader orders. Autospreader SE does not support this X_TRADER property, whereas Algo SE does. Thus, prior to the release of Algo SE, traders wishing to use this functionality were restricted to running their Autospreader orders from their X_ TRADER desktop computers. With Algo SE, these traders may now launch and submit Autospreader spread orders to an Algo SE, since it will abide by the Avoid Orders That Cross setting in X_TRADER.

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Trading in the Market Grid


You can view and trade your Autospreader spreads in the Market Grid. To do so, drag and drop your spreads from the Autospreader Manager window into the Market Window.

Once in the Market Grid, Autospreader spreads are grouped together and displayed below all other Product Types. You can trade your spreads using the Order Entry and Floating Order Entry panes. In addition, with the Top of Book color property enabled in the Trading tab, your spread orders will highlight when a working leg order is at the inside market.

Notes:
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You can only drag and drop spreads in the Market Grid from the Autospreader Manager window. The Depth option in the Market Grid is disabled for rows containing Autospreader spreads. Selecting MD Trader from the Market Grid context menu will only launch the MD Trader for the spread and not the legs. To launch the spread and leg orders, use the Autospreader Manager window. You can display a spread in Market Grid and enable and use Dynamic Settings from the spread's MD Trader. Inapplicable context menu options, such as launching Quote Board, are disabled. You can change customers for a spread in the Market Grid by using the Customer Selection List.

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Changing Customers
You can trade a single Autospreader spread for multiple customers.
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In the Market Grid, you simply use the Customer Selection box to change customers. In the MD Trader spread pane you do this by enabling the Customer account name property on the MDDisplay tab.

This feature, prevents you from having to create the same spread for different customers in the Autospreader Configuration window.

To change customers in MD Trader: 1. From the Autospreader spread pane, right-click to access the context menu and choose Properties. 2. Click the MDDisplay tab. 3. Click to select the Customer account name property. 4. Click OK. 5. On the spread pane, click the down arrow next to the customer name to choose another customer. You successfully changed customers. To change customers in the Market Grid: In the Order Entry pane, click the down arrow next to the customer selection box to choose another customer. You successfully changed customers.

Overriding the Tick Size


Override Tick Size specifies the tick size of your spread and lets you view a greater range of
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prices. The Override Tick Size setting is located at the bottom of the Autospreader Configuration window. Example: Below are two Net Change spread displays with identical settings other than the tick size; one is displaying the default Calculated Tick Size and the other is displaying the values set in the Override Tick Size fields. For spread prices based on Net Change, the Calculated Tick Size defaults to 25/100.

Do Not Hedge Example


In the Dynamic Settings tabs, the Do Not Hedge option lets you determine whether to send
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hedge orders while Autospreader orders are working. Autospreader is designed to send a hedge order into the other legs of the spread upon a quoting order fill depending on your spread ratio. With Do Not Hedge enabled, hedge orders will not get sent after quoting order fills.

The Dynamic Settings tabs appear under the MD Trader spread pane.

Example: Your spread configuration is setup to trade a 5 x 5 spread ratio and you enter a spread order quantity of 1. You enable the Do Not Hedge setting in the Dynamic Settings tabs. You receive a partial fill of 3 lots in a quoting leg, but with Do Not Hedge enabled, a hedge order for 3 lots is not sent in the other leg. While the spread is working you disable the Do Not Hedge setting. You receive a 2 lot fill in a quoting leg and a hedge order for 2 lots is sent in the other leg

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Using Reload Orders


Reload is an order that lets you execute a total spread order quantity by splitting the spread order into smaller disclosed quantities. When a disclosed spread order quantity is filled, the next disclosed quantity order is submitted until the entire spread order quantity fills. Reload orders can be used in conjunction with Sniper orders and can be submitted from either MD Trader or the Market Grid. When quoting in more than one leg and one of the leg orders is filled, the remaining quoting orders will continue to work in the market to keep your queue position for the next disclosed spread order quantity. Note: Algos cannot be used in conjunction with the Reload feature.

Example:A Reload spread order with a quantity of 10 can be disclosed to the market 2 at a time.

Once submitted, the MD Trader the spread pane shows a working quantity of 2 (W=2) and an undisclosed quantity of 8 (U=8).

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Offsets
You can set the Reload order to enter the market at the same price or a set number of ticks from the previously disclosed spread order. Examples:
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A Reload Offset of 0 will submit the new spread order at the same price as the previous spread order. A Reload Offset of 1 will submit the spread order at a price 1 tick from the previous spread order away from the market. A Reload Offset of -1 will submit the spread order 1 tick from the previous spread order toward the market.

In the example above, a Reload offset of 1 is set for the 10 lot Reload spread order that is working a 2 lot disclosed quantity at spread price of -0.0800 (W: 2 U: 8 B: 0). Once the 2 lot disclosed quantity is completely filled at -0.0800, a new 2 lot disclosed quantity is automatically submitted at spread price of -0.0825 (W: 2 U: 6 B: 2). You can set the Reload Offset on the MDProperties screen which is accessed from the spread pane's context menu. In addition, you can also set the Reload Offset on the fly from the Dynamic Settings Order tab, which is also accessed from the spread pane's context menu. The Reload Offset is applied to new spread order submissions and the offset values cannot get modified for existing Reload orders working in the market.

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Procedures
To set up a Reload order in MD Trader: 1. Launch the Autospreader spread you want to trade. 2. Right click the spread pane to access the context menu. 3. Click Properties. The MDProperties window appears. 4. Under Enable Order Types, click to select the Reload property. 5. In the Default Reload Quantity field, type the quantity you want to disclose to the market upon each Reload order submission. 6. In the Default Reload Offset field, type the number of ticks you want to offset when your Reload disclosed quantity is submitted into the market. 7. In the Order Buttons section, ensure RLDappears as a selected Order Type. 8. Click OK. You successfully set up a Reload order in MD Trader. To submit a Reload order in MD Trader: 1. On your spread pane, click the RLD button. The quantity field splits into two columns. 2. In the left quantity field, type the total order quantity. 3. In the right quantity field, type the disclosed order quantity. When you click the RLD button, it highlights yellow and the mouse cursor changes to RLD, indicating a Reload order will be placed. 4. Click the MD Trader grid at the appropriate price level to place your order. You successfully submitted a Reload order in MDTrader.

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To submit a Reload Order in the Market Grid 1. Drag and drop spread(s) into the Market Grid from the Autospreader Manager window. 2. Click a bid or ask cell in the appropriate instrument row. The price seeds in the Order Pane and the contract information immediately appears in the Order Summary field. 3. Add or change any necessary information (e.g., quantity, price). 4. From the Advanced Setting click the ellipsis display the settings. 5. Click to select Reload. 6. From the Parameters section enter the Disclose Qty and Offset. Note: The preview pane to the right displays a preview of the order. 7. To execute, click Buy or Sell. You successfully submitted a Reload order in the Market Grid. to

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Freezing Autospreader Orders


You can freeze working orders in Autospreader without losing your spot in the queue. This allows you to react to a rapidly changing market, freezing and unfreezing orders when needed.

Notes:
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The hot key function freezes all legs when the Autospreader pane has focus. Frozen orders do not requote with price updates. The Do Not Hedge Frozen Orders option lets you configure whether or not you hedge frozen orders upon fills and partial fills. You can toggle this option using the Dynamic Settings tabs while you are trading. Orders immediately resume quoting when you unfreeze them. Freezing Autospreader orders using the mouse Freezing Autospreader orders using the "F" hotkey Preventing Hedges on Frozen Orders

Follow these procedures to freeze orders in Autospreader:


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To freeze Autospreader orders using the mouse: 1. From the MD Trader spread pane right-click to access the context menu and click Dynamic Settings. 2. Click the Quote tab. 3. In Autospreader, click the Frz All button to freeze all working orders in all Autospreader panes.

- or Click the Frz <leg> button that corresponds to the Autospreader pane containing orders you want to freeze. The frozen working orders are color-coded on the right-side of the cell to indicate they are frozen. 4. To unfreeze, click the corresponding Unfrz <leg> button. All working orders in the Autospreader pane and legs are color-coded on the left-side of the cell to indicate they are no longer frozen. You successfully frozen Autospreader orders using the mouse. To freeze Autospreader orders using the F hot key: 1. From the Autospreader Configuration dialog box, click the Advanced Settings button. 2. In the Advanced Setting dialog box, ensure the Use Hot Key option is selected. 3. Click OK to exit the Advanced Settings dialog box. 4. Click OK to exit the Autospreader Configuration dialog box. 5. Click the Autospreader pane to obtain focus. 6. Press the F key on the keyboard. All working orders in the Autospreader pane and legs are color-coded on the right-side of the cell to indicate they are frozen. 7. To unfreeze, press the F key on the keyboard. All working orders in the Autospreader pane and legs are color-coded on the left-side of the cell to indicate they are no longer frozen. You successfully frozen Autospreader orders using the F hotkey.

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To prevent hedge orders from being sent for frozen orders: 1. Right-click the MD Trader spread pane and click Dynamic Settings. The Dynamic Settings tab appears.

2. When you want to prevent hedge orders from being sent after a frozen order is filled, click the Do Not Hedge Frozen Orders option. You successfully prevented hedge orders from being sent for frozen orders.

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Freezing Orders Example


You can freeze Autospreader orders to avoid losing your position in the queue.

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Do Not Hedge Frozen Example


When the Do Not Hedge Frozen Orders option is enabled, any frozen quoting order that receives a fill will not send hedge orders. All non-frozen quoting orders will still send hedges upon a fill. Note:The Do Not Hedge option disables hedge orders for all working orders. Therefore, when Do Not Hedge is enabled, the Do Not Hedge Frozen Orders option is grayed out.

The Dynamic Settings tabs appear under the MD Trader spread pane.

Example: You freeze a 10 lot order and are partially filled on 4 lots with the Do Not Hedge enabled. The 4 lot will not be hedged. You now unfreeze the remaining 6 lot order and it gets filled. The 6 lot is hedged because it is now a regular working Autospreader order. In addition, hedge order quantities are adjusted when quoted orders receive partial fill. Example:
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Your spread is:Leg A Buy 8, Leg B Sell 4. You freeze Leg A with Do Not Hedge enabled. Leg A partial fills 4, leaving a remaining order of 4 working. Leg B hedge quantity adjusts to 2. If you unfreeze Leg A and fill the remaining 4, an adjusted hedge of 2 contracts is sent in Leg B.

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Using Queue Holder


Queue Holder lets Autospreader use multiple orders per leg to maintain your position in the queue when requoting to a new price level. The standard quoting order enters the outright market at the price determined by the spread price. The Queue Holder orders enter at consecutive price levels away from the inside market. When Autospreader receives a price update, the order queue rotates. Whether the queue rotates toward or away from the inside market depends on which side of the inside market the new price appears.

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Notes:
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When a Queue Holder order is filled, an offsetting hedge order is sent and remaining Queue Holder orders on both legs are deleted. However, it is possible for all of your Queue Holder orders to get filled if the market is swept before X_TRADER recognizes the fills and processes the delete. The Queue Holder function only works on spreads with two legs. When a spread contains more than two legs, the Queue Holder property is disabled. You can manually drag and drop Queue Holder orders to new price levels. In the case of a partial fill, the remaining Queue Holder orders are reduced by the filled amount. You can set up to 10 queue holder orders per leg. Algos cannot be used in conjunction with the Queue Holder feature.

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Enabling Queue Holder Orders


You can enable Queue Holder orders in one of two ways:
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Enable in the spread configuration Enable on the fly

If you choose to enable Queue Holder orders on the fly, you will launch spreads with no QHbutton and enable it manually by accessing Properties from the context menu on the Autospreader spread pane. Queue Holder order values set in the spread configuration also appear by default in the Dynamic Settings window in the Queue Holder per leg value fields. Notes:
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Existing Autospreader spread configurations set with Queue Holder orders will automatically appear with the QH button enabled. Algos cannot be used in conjunction with the Queue Holder feature.

To enable Queue Holder in the spread configuration: 1. From the AutospreaderManager dialog box, click the spread in which you want to enable Queue Holder and click Edit. 2. Under Basic Properties, next to the Queue Holder Orders field, type how many extra orders you want to trail your quoting order.

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3. Click OK. Once enabled, a QHbutton appears on the spread pane and is shaded yellow. This indicates the next order you place in the spread pane will submit trailing Queue Holder orders in the associated legs.

You can stop sending Queue Holder orders by clicking the QH button. You successfully enabled Queue Holder orders on the fly. Note:Using this method, the default number of Queue Holder orders sent for each leg is 2. To enable Queue Holder orders on the fly: 1. Launch the Autospreader spread you want to trade. 2. Right click the spread pane to access the context menu. 3. Click Properties. The MDProperties window appears. 4. Under Enable Order Types, click to select the Queue Holder property.

5. Click OK. Once enabled, a QHbutton appears on the spread pane and is shaded yellow. This indicates the next order you place in the spread pane will submit trailing Queue Holder orders in the associated legs.

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You can stop sending Queue Holder orders by clicking the QH button. You successfully enabled Queue Holder orders on the fly. To change the number of Queue Holder orders sent: 1. Right-click the spread pane to access the context menu. 2. Click Dynamic Settings. 3. Click the Order tab. 4. Under the Queue Orders section, indicate how many Queue Holder orders you want to trail your submitted order for each leg.

You successfully changed the number of Queue Holder orders sent.

Setup Tasks
Please consider using the following Autospreader properties when you enable Queue Holder:
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Max Price Move Max Order Move Do Not Cross Inside Market Delete All when change crosses market

Max Price Move and Max Order Move

Set proper values in both the Max Price Move and Max Order Move fields. These fields help prevent legging risks by pulling working orders during volatile price moves.

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Do Not Cross Inside Market and Delete All

Enable both Do not cross inside market and Delete all when change crosses market. These properties help to prevent giving up edge on both the quoted and hedge orders. By default, Delete all when change crosses market is off. We recommend you select both options.

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Queue Holder Examples


Here are some examples of how Queue Holder works:
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Quoting in both legs Moving away from the inside market Moving toward the inside market

Quoting in Both Legs

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Moving Away from the Inside Market Price movement away from the inside market will remove the Queue Holder order closest to the inside market and place a new order at a price level at the end Queue Holder trail.

Moving Toward the Inside Market Price movement toward the inside market will remove the Queue Holder order at the end of the trail and place a new order at a price level toward the inside market.

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Benefits of Queue Holder Orders


The following examples illustrate the challenges regular Autospreader orders can have versus Autospreader orders using Queue Holder. Regular Autospreader orders

Queue Holder order

Regular Autospreader order

Queue Holder order

You can take advantage of your position in the queue by:


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Freezing their order Scalping out of position Working hedge leg by using negative Payup Ticks

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Using Dynamic Payup Ticks


The Dynamic Settings tabs lets you enter and apply Payup Ticks to a working Autospreader order. Payup Tick values can be between -99 and 99.

Overview of Dynamic Payup Ticks Characteristics:


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When in use, the Dynamic Settings tabs override the Payup Ticks setting on the Autospreader Configuration window. Any leg can be assigned to either hot key, but only two legs can be assigned per spread. The hot keys for Dynamic Payups are F2 and F11, which work as toggle switches each time you press the key.

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The background color on the Payup Ticks field turns yellow when the Dynamic Payup Tick is in use. Changing focus to another window while Dynamic Payups are enabled, disables the hotkeys.

Dynamic Payup Tick Setup Tasks


Follow these procedures to use dynamic payup ticks:
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Enabling Dynamic Payup Ticks Using Dynamic Payup Ticks Linking to the Payup Ticks Field

To enable Dynamic Payup Ticks in Autospreader: 1. From the Control Panel, click the Window menu and choose Autospreader. - or From the Control Panel, click the icon.

The Autospreader Manager dialog box appears. 2. Launch an existing spread or click New to create a new one. The Autospreader Configuration dialog box appears. 3. Click the Advanced Settings button. The Autospreader Advanced Settings dialog box appears.

4. Click to select the Enable Dynamic Payup Ticks checkbox. The value of your Payup Tick for the function key and corresponding leg is set but can be altered as you view the market in Autospreader. 5. Click OK. 6. On the Autospreader Configuration dialog box, click OK. Note: You must click OK to exit the Autospreader Configuration dialog box for the Dynamic Settings window to be enabled. You successfully enabled Dynamic Payup Ticks in Autospreader.

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To use Dynamic Payup Ticks: 1. From the Autospreader Configuration dialog box, click the Advanced Settings button. 2. In the Advanced Setting dialog box, ensure the Enable Dynamic Payup Ticks option is selected. 3. Click OK to exit the Advanced Settings dialog box. 4. Click OK to exit the Autospreader Configuration dialog box. 5. On the spread pane, right-click to access the context menu and click Dynamic Settings. The Dynamic Settings tabs appear. 6. In the Dynamic Settings tabs, set the number of Payup Ticks you want to use with each function key. Note: Alternatively, this value can be linked from Excel. (Refer to Linking to Dynamic Payup Ticks on page 114) 7. Choose the leg pane you want to use the Payup Ticks on. 8. Press the function key (F2 or F11) that corresponds to the number of Payup Ticks you want to use. The Payup Ticks field turns yellow, indicating the dynamic payup ticks are active. 10. To deactivate the dynamic payup ticks, press the function key (F2 or F11) again. The Payup Ticks field is no longer yellow, indicating Autospreader has discontinued using your Dynamic Payup Ticks. You successfully used Dynamic Payup Ticks. To link to the Payup Ticks field: 1. Copy a cell from Excel. 2. Right-click in the Spread pane and click Dynamic Settings. The Dynamic Settings tabs appear. 3. Right-click in the Payup Ticks field under the function key you want to paste the cell. 4. Click Past Link. You successfully linked to the Payup Ticks field.

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Linking to Dynamic Payup Ticks


You can create a link from Excel to the Dynamic Settings window using copy and paste. A red outline around the field indicates the value is linked.

To create a link to the Dynamic Settings tabs: 1. Open the Excel spreadsheet from which you want to create a link. 2. Right-click the cell whose value you want to link to and click Copy. 3. In X_TRADER, on the Autospreader spread pane, right-click to access the context menu and click Dynamic Settings. The Dynamic Settings tabs appear. 4. Right-click the Payup Ticks field you want to link to. 5. Click Past Link. You successfully created a link to the Dynamic Settings tabs.

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Dynamic Payup Ticks Example


The Dynamic Settings tabs let you enter and apply Payup Ticks to a working Autospreader order. In this example:

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Inside Smart Quote


Like Slop, the Inside Smart Quote reduces excessive quoting away from the inside market. When enabled, your legs only requote when they are a set number of ticks away from the inside market. You determine what that number is for each leg in the spread.

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Setting the Inside Smart Quote

Smart Quote Description Setting 1 2 thru 99 Quotes do not adjust toward the inside market unless the new quote price is the inside market. You are quoting (n-1) ticks away from the inside market. Your quotes move when they are within (n-1) ticks of the inside market. The smaller the number (n), the less movement and extraneous quoting in your spreads. Example 1: When set to 2, Autospreader adjusts the quote order price when the price is the inside market and one tick away from the inside market. Example 2:When left at the default of 99, Autospreader adjusts the quote order price at every price level 98 ticks away from the inside market.

To set inside smart quote: 1. From the Control Panel, click the icon.

2. In the Autospreader Manager window, click a spread in which you want to use smart quotes and click Edit. The Autospreader Configuration dialog box appears. 3. Click the Slop Settings field and click Inside Smart Quotes. The Inside Smart Quote row appears under Basic Properties. 4. In the Inside Smart Quote field, type the number ticks you want to set for each leg. 5. Click OK. You successfully set the inside smart quote.

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Using Smart Quote Limit


Along with the Inside Smart Quote setting, you can define a limit in ticks a quoting order is allowed to work away from the price level that matches the spread differential. This new setting is called, Smart Quote Limit.

When Inside Smart Quote and Smart Quote Limit are defined for a spread, quoting orders will only reprice only when they are a set number of ticks away from the inside market (Inside Smart Quote) or when the distance between the quoting order price and the spread differential price exceeds the Smart Quote Limit value. Both Inside Smart Quote settings and Smart Quote Limit settings can override each other and orders can re-quote based on user settings.
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Notes: Smart Quote Limit


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Is defined for each leg of the spread. Ranges from 0-99 (Default is 99) A value of 0 represents the spread differential price level and the quoting order will always requote to the price that matches the spread differential. Disables Slop and Advanced Slop when enabled. Setting a Smart Quote Limit

Example:You have an Inside Smart Quote setting of 1 for Leg A. You enter a spread order which submits a quoting order in Leg A 5 price levels away from the inside market. The quoting order in Leg A will not requote toward the inside market unless the new quote price is the inside market price. However, the quoting order in Leg A can and will reprice away from the inside market. In this example, the quoting order reprices and is now 10 price levels away from the inside market. With an Inside Smart Quote setting of 1, the quoting order will not requote toward the inside market unless the new quote price is the inside market price, which is now 10 price levels away. With the Smart Quote Limit, you can define a limit in ticks that a quoting order is allowed to work away from where it normally would be working without Inside Smart Quote.

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To set smart quote limit: 1. From the Control Panel, click the icon.

2. In the Autospreader Manager window, click a spread in which you want to use smart quotes and click Edit. The Autospreader Configuration dialog box appears. 3. Click the Slop Settings field and click Inside Smart Quotes. The Inside Smart Quote row appears under Basic Properties. 4. In the Inside Smart Quote field, type the number ticks you want to set for each leg. 5. In the Smart Quote Limit field, type the number ticks you want to set for each leg. 6. Click OK. You successfully set the smart quote limit.

Using Basic Slop


The implementation of Slop results in the creation of a price range above and/or below the spread order entry price at which you are willing to be filled. Because Autospreader will not reprice the quoted outright legs while your spread price remains within the Slop range, Slop can minimize the excessive quoting that occurs in the individual legs of a working spread order. When Slop is used, the price differential of the spread changes as the prices in the outrights move. As the markets in the outright legs change and the spread price moves out of the slop threshold, Autospreader reprices the quoted outrights to maintain the spread differential price that was entered into the Autospreader pane. By establishing a Slop range you:
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Minimize requoting in the outrights Maintain your position in the queue Avoid excessive quoting penalties imposed by some exchanges

Basic Slop uses one level of inside Slop and outside Slop to determine when to reprice the quoted outright legs based upon movement in the market.
Definition Inside Slop When Buying, Slop applies to When Selling, Slop applies to spread prices spread prices BELOW the current offer ABOVE the current offer

The worst price you will accept ABOVE the current bid for the spread BELOW the current bid

Outside The best price you will accept Slop for the spread

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Setting the Slop Value


Entering spread values in the Slop fields creates a price range above and below your spread order entry price, telling Autospreader not to requote the outrights until this range is breached. The number or value you give to Slop depends on your individual spread. Each spread has its own tick value based on the multiplier and tick size in each leg. Once you determine the tick value of your spread, you can decide the Slop value. Example: Say you want to create a price range three price levels above the spread bid or offer and three price levels below the spread bid or offer. First, determine the minimum tick size of the spread, which is based on each leg's multiplier and tick size. In this example .05 is the minimum tick increment for this spread. Three price levels in .05 increments is .15. By typing .15 in both the Inside Slop and Outside Slop fields, you create a range three prices levels above and three prices levels below your working spread price.

If you enter an order to buy one spread for .25 with both Inside Slop and Outside Slop set at .15, you create a range from .10 to .40, which is three spread price levels above the bid of .25 and three spread price levels below the bid of .25. If the spread price remains within a range of .10 to .40, Autospreader will not reprice the working leg orders. Within this quoting range you are willing to pay as high as .40 or as low as .10 for the spread.

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Using Advanced Slop


Advanced Slop lets you create an unlimited number of adjustable ranges and set an inside and outside Slop level for each range in each leg of the spread. This lets you define a more specific setting based on the price movements and characteristics of each individual spread. Example: When you are working close to the inside market, you can set your Advanced Slop to reprice your outright leg with each price update. Likewise, when working away from the inside market, you can set Advanced Slop to reprice your outright leg less frequently. Note:The Adjustable Range field in column 1 uses the current inside market of the spread and cannot be edited. In subsequent columns, the Adjustable Range lets you define ranges in the spread where more Slop settings take effect. To define a spread range, use spread prices to set the number of price levels away from the best Bid or Offer. To use the Advanced Slop feature: 1. Create a spread or open an existing spread. 2. On the AutospreaderConfiguration window, in the Slop Settings field, click Advanced Slop.

The Advanced Slop property appears at the bottom of the Basic Properties list. 3. Click theSettings drop-down. The following dialog box displays.

Notes:
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The Adj. Range field indicates the spread price at which the Slop settings take effect. Column 1 uses the current inside market of the spread and cannot be edited. Each leg has its own individual Advanced Slop settings. Rather than setting Slop for the entire spread, as you do with Basic Slop, you can set unlimited Slop ranges for one or all of the legs in your spread.

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4. Set the Inside and Outside Slop under column 1. 5. Click Add Level. 6. In the Adj. Range field, type the spread price at which the next Slop settings take effect. 7. Set the Inside and Outside Slop under column 2. 8. Repeat steps 5-7 as needed. 9. Click OK when you have set all advanced slop levels. 10. Repeat steps 3-9 for each leg in which you want to define Slop. You successfully set up the Advanced Slop feature.

Calculating Inside and Outside Advanced Slop


To calculate the Inside and Outside Slop settings for each leg, use the Delta.

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Examples:

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Calculating Adjustable Range


To determine the Adj. Rang setting, use the Override Tick Size or Calculated Tick Size.

Examples:

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Chapter 4: Identifying Messages


There are a couple instances in which Autospreader may send you an error message that you do not immediately understand. The messages covered include:
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Key Server Availability Quoting in Illiquid Markets Minimum Hedge Quantity

Key Server Availability


X_TRADER requires a Key Server be available when placing orders. When no Key Server is available, orders generated by Autospreader and Autotrader are not sent. When this occurs, the following message is written to the Audit Trail: Unable to acquire site order key from key server. Warning! For Autospreader hedge orders, a random key will be sent if no Key Server generated key is available.

Quoting in Illiquid Markets


To prevent an infinite quoting loop against itself, Autospreader uses its own orders to determine if a market is illiquid. This logic is implemented in the following ways:
If... Then... Autospreader enters your orders, and your orders are the only The order is rejected and the orders in the market for any of the legs, on the side on which Auto- following message appears: spreader is leaning Quoting not allowed against an illiquid market. Autospreader has orders working in the market, and then its The working orders are pulled, and orders become the only orders in the market on the side on which the following message appears: it is leaning Quoting not allowed against an illiquid market. Removing spread orders. A spread quoting order has been filled Hedge orders are NOT pulled or rejected regardless of market liquidity.

Minimum Hedge Quantity


X_TRADER can only submit a quote into the market if its associated hedge market(s) have a current quantity that meets or exceeds its minimum hedge quantity. When this requirement is not met, the following message is written to the Audit Trail: Cannot
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quote all legs of the spread because there is insufficient hedge quantity.

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Index A
Accessing an existing spread 72 autospreader 13 hedge rule builder 47 Activating custom pricing models 73 Adding legs to spreads 71 Adjust for depth 74 Advanced Settings in Autospreader dynamic payup ticks 110 freezing orders 96 Advanced Slop 123 Autospreader 13 accessing the hedge rule builder 47 activating and deactivating hedge rules 62 adding legs to a spread 71 advanced slop 123 and md trader 33 calculating adjustable range 126 changing customers 88 components 13 configuration dialog box overview 21 creating and managing spreads 68 creating a new spread using drag-and-drop 70 creating a new spread using the market grid 69 creating generic hedge rule 54 creating hedge rules 54 creating if-then hedge rule 54 creating spread formula 54 deleting legs from a spread 72 do not hedge frozen orders example 101 dynamic payup ticks 110 example 115 linking to 114 setup tasks 111 dynamic settings tab 62 expired contracts 73 freezing orders 96 freezing orders example 100 hedge manager context menu 45 rules pane 38 working pane 35 hedge manager overview 35 Autospreader Feature Guide Trading Technologies International, Inc. - 131 -

Index:Base volume lean Hedge manager

hedge rule builder 45 hedge rule builder rules library 59 hedge rule builder window 48 hedging logic 68 hedging orders example 89 identifying messages 128 inside smart quote 117 inside smart quote limit 119 key server availability 128 manager dialog box overview 14 opening existing spreads 72 overriding the tick size 89 protecting your spreads 74 quoting in illiquid markets 128 relating to md trader 33 reload 91 risk-checking 81 specifying minimum quantity to lean against 76 spread pane 34 ticking worksheet 22 trading on an autospreader strategy engine 83 trading spreads 80 trading spreads in the market grid 87 understanding pre and post hedge rules 66

Custom pricing models 73

D
Deleting legs from spreads 72 Do not hedge 89 Do not hedge frozen orders 101 Dynamic Payup Ticks 32, 110 enable 110 example 115 linking to 114 setup tasks 111 use 110

E
Enabling dynamic payup ticks 111 queue holder 103 Example calculating inside and outside slop 124 freezing orders 100 Examples adjustable range 126 do not hedge frozen orders 101 dynamic payup ticks 115 hedging spread orders 89 queue holder 107, 109 Expired Contracts in Autospreader 73

B
Base volume lean 76

C
Calculating adjustable range 126 Calculating inside and outside slop 124 Changing customers in autospreader 88 Cloning rules 45 Configuration dialog box 21 and expired contracts 73 grid pane 30 ticking worksheet 22 Context Menus hedge manager 45 Contracts needed to lean against 76 Creating multi-legged spreads 68 spreads 68 - 132 -

F
Field Descriptions manager dialog box 14 ticking worksheet 22 Freezing orders example 100

H
Hedge manager context menu 45 overview 35 rules pane 38 working pane 35

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Hedging autospreader logic 13 do not hedge frozen orders example 101 spread orders example 89

autospreader 13 Orders dynamic payup ticks 110 linking 114 Overriding the tick size 89

I
Identifying messages 128 Illiquid Markets 128 Index 131 Inside Smart Quote 117 setting 118 smart quote limit 119

P
Pricing models 73 Protecting your spreads 74

Q
Queue holder enabling 103 examples 107, 109 setup tasks 102, 105 Quoting illiquid markets in autospreader 128 Quoting Mode Options 75

K
Key Server Availability 128

L
Leaning specifying minimum amount 76 Leg view 16 show errors 20 Linking dynamic payup ticks 111 Linking to Dynamic Payup Ticks 114

R
Reload orders 91 Risk-checking spreads 81 examples 81 Rules pane in hedge manager 38

M
Manager dialog box 14 field descriptions 14 leg view 16 show errors 20 Market Grid trading autospreader spreads 87 Max order move 105 Max price move 105 minimum hedge quantity 128

S
Server trading 83 Setting inside smart quote 117-118 inside smart quote limit 119 slop value 122 smart quote limit 120 Slop 123 adjustable range 126 calculating 124 setting the value 122 using basic 121 Smart Quote 117 Smart Quote Limit 119 setting 120 Spread LTP 22

O
Offset volume multiplier 74 Opening an existing spread 72 Autospreader Feature Guide

- 133 Trading Technologies International, Inc.

Index:Spreads Yield

Spreads adding legs in autospreader 71 changing using the leg view 16 creating in autospreader 68 deleting legs in autospreader 72 dynamic payup ticks 110 linking 114 freezing orders 96 hedging logic 68 reload 91 risk-checking 81 specifying minimum quantity to lean against 76 trading in autospreader 80 trading in the market grid 87 trading on an autospreader strategy engine 83 Strategy engine autospreader 83

T
Table of contents iii Ticking Worksheet 22 Trading in yield 77 spreads 80 reload 91 risk-checking 81 spreads in the market grid 87 spreads on an autospreader strategy engine 83

U
Using advanced slop 123 basic slop 121 dynamic payup ticks 110 queue holder 102, 105, 107

W
Working pane in hedge manager 35

Y
Yield 77

- 134 Trading Technologies International, Inc.

Autospreader Feature Guide