News Blue Trading Systems Blog, Events, and Highlights

Details

Published: 26 February 2014

Analytics

• Added $ Strd Move to display the equivalent straddle price shift of all vol moves
• Added Slope, Curv, PTSlope, CT Slope Graphs
• Added RR One Month and RR Cascade Shifts
• Reconcile Report now shows the difference between the theoretical marks (at pnl time) and the settlement price as well as their $ difference for each position

Sheets

• Expiration header for sheets can now (alternatively) show the difference between straddle and the market data mid point straddle. This view can be enabled by going to Preferences->Main UI->StraddleDisplay and setting the value to StraddleTheoVsMarket.
• Visibility for BBO Size for options can now be controlled independently of the BBO price.
• Spreads can also optionally show theta, adjusted vega, oev and slope vega.
• Trades Ticker shell module now has a unique icon, tickets.
• Improved performance for tabbed Option Sheets.

Spreads

• Performance improvements generally and specially for tabbed forms.

Electronic Eye UI

• Performance improvements for tabbed forms.

Algo Orders

• Added EdgeOrder Parameters: Side, Quantity, Edge (that is the edge from theo), Better, AutoHedge
• Added TimeSliceOrder Parameters: Side, Minutes, Quantity, offset (offset from bid/ask), Cross, AutoHedge

Hedger For Spreads

• This release includes a simple hedger for spreads. Residual spread delta is hedged via the front driver contract of a spread. For indexes, this is the Anchor Month, for commodities, it's the nearest driving future of the package.

Expiration Day

• The expiration process is nearly automated, on expiration day the Expire Options form will be initialized with all non-cash settled expiring symbols and the appropriate underlying and exercise values associated with them (the expiration process for cash settled options is performed from AW). If everything looks correct, the user can simply click 'OK' to expire the options. If the user wishes to change/remove/add any values, he may do so with ease in the newer, sleeker expiration form. There is also a preview button which the user may press to view all in-the-money positions that are set to expire.

Reconcile Report and Position Import

• Users may list more than one file, if need be, to create the aggregate positions when viewing the reconcile report or importing trades.
• Settlement prices from clearing files can be saved to the database from the reconcile report window. These values will be used in PnL reports for active positions that do not have live reference prices.

Orders/Trades

• The Orders and Trades menus on the Launcher have been merged.

Details

Published: 10 February 2014

Fixed

• [Launcher] Removed obsolete TradeLogWatcher menu option from Trades menu
• [Trade ticker] Fixed an issue where some trades would be missing from the trade ticker
• [Misc] Many other small bugs were fixed in this release. Please contact This email address is being protected from spambots. You need JavaScript enabled to view it. for the full list

Features

• Click trade windows instigated from the TradeTicker form, can have their price defaulted to the price of the double clicked ticker trade. This behavior can be set by going to the sheets, getting the Preferences dialog up (upper left corner), going to the Trading IO tab, and setting “UseTradePriceForTickerOrders” to True.
• Users can now save workspaces. Named sets of open windows and their positions can be saved and call them back at will. The first time this feature is used old old settings will automatically be loaded and can be saved through the new Workspaces menu on the Launcher
• New Electronic Eye form
  • The EE can be turned on or off by the radio button in the top left. The ON state results in the background of the group box (holding the radio buttons) to turn to light green.
  • Strike, Delta, Expiration and other filters at the top are streamlined for better use of space.
  • Strikes (both calls and puts) can be enabled/disabled simultaneously by swiping across the strike or expiration column and clicking on “Enable Strikes”/“Disable Strikes” respectively.
  • Similarly Calls and Puts can be enabled/disabled individually by swiping across the call theo/delta and put theo/delta columns respectively.
  • Users can add default edge and size quantities per symbol that will then appear in edge or size setting context menu. This can be done for a symbol by bringing up a sheet for that symbol, clicking the preference button on the top left corner, going to the Trading UI tab, and entering comma separated values for PredefinedEEEdges and PredefinedEESizes, for example 0.0, 0.25, 0.50, 0.75, 1.0, 2.0, 5.0 for edges and 1, 5, 10, 25, 50, 100, 200, 1000 for sizes.
  • Direct IOC orders can be sent from the EE controller form without bringing up a click trade ticket. This can be done by double clicking on the market price or size and an order set to trade against that market it sent out. The size for the order is once again controlled by the Trading UI tab in the sheet preference window, under the name DirectIOCOrderSize. The value is 0 by default.
  • The default colors and fonts for the EE controller form are changed to make it easy to detect the conditions the user is interested in
  • Calls and puts that are not enabled for EE have their theos striked out. They change to a yellow background with black font once they are enabled Bid and Ask prices that cross the theo are bolded EE prices that are ready to trade (cross the opposing market price) have a yellow background

Details

Published: 08 November 2013