Hedge Rounding
- Added the ability to round to the nearest future in the outright and spread hedger; ask support to enable this if interested.
Analytics
- Added putwing and callwing pump quantities; units are radians for now. Also laid groundwork for put/call pump response
- Wing pumps will have to be set up in the AW slave symbols. This is accomplished by visiting each AW slave symbol (spxw, spxq, ewx, sp, etc) and setting the pump columns yellow numbers to 0.0 and the blue factor at the bottom to 1.0
- Made ThirtyDayDays (Vega Normalization Days) easier to set from master symbol. Users must address each slave symbol's Model Params form and set the blue factor to 1.0 and the yellow shift to 0.0. Then type 30 (or your normalization preference in the master (say spx's) ThirtyDayDays field. If you do not do this, your vegas will be NaN
- New StdVol Modes: Setting StdVol = 0.0 will link stdvol to ATM Vol as in previous versions, setting stdvol < 0.0 will cause the polynomial to fit factors of ATM, not the actual vols. This will ensure that an option set to 1.2 times ATM will always be 1.2 times ATM as the market moves around. Remember that Std Vol is the vol used to convert raw strikes to standard strikes (or standard deviations)
- New Model Parameter: Poly Order Lim allows advanced users to limit the order of the vol polynomial; if not set or zero, the default order is the sum of the total number of activated call and put points.
Reports/Streams
- prepub_drivervsatmatlastrolloverproxy_spx is now available in the system as the last-rolled-over set of vol factors and ATMs. The current set is in risk_calcengine_spx_option_drivervsatm
Sheets
- Sheets now have zooming in/out functionality that is controlled by the +, - buttons at the top, respectively.
Ladder
- Ladder for futures now show Open, Low, High and Change for the day.
Spread Tickets
- Spread Tickets titles can be displayed more succinctly by going to Preferences (from the sheets)->Spread UI->ShowDetailedTitle and setting it to false.
- Unit greeks for the legs in the spread can be hidden by going to Preferences (from the sheets)->Spread UI->ShowUnitGreeks and setting it to false.
- Driver/Future size in spread header cane be hidden by going to Preferences (from the sheets)->Spread UI->ShowHeaderDriverSize and setting it to false.
- Legs can be added and removed while existing legs can be modified in a spread ticket, by right clicking on a spread leg, and bringing up the new Spread Edit Window.
- Fixed a bug where if SpreadInitializationAction was set to SingleClickSystem, then removing a leg was causing the spread to be reverted to a 'known' spread.
Spread Market Data Sheets
- Spreads can now be filtered for multiple strategies and multiple groups.
- Spreads can now be filtered through the find text box at the top. User can enter partial or full expirations/strikes to narrow down the list.
- By default, this window is launched with the "Active BBO" checked.
- Spread window is more streamlined now. The default settings offer a sleaker view. BBO resulting in positive edges are displayed in bold fonts in the default settings.
- Spread window also supports right click actions.
Orders Form
- Order Form now support right click operations now for Cancelling/Modifying orders.
Reports
- When reports are frozen, swiping across rows/columns produces a sum at the bottom.
- Reports support right click operations now for Exporting Data, Printing etc.
Launcher
- Deleting a workspace or closing a window can now be undone using the 'Undo' menu under Workspaces.