News Blue Trading Systems Blog, Events, and Highlights

Details

Published: 26 September 2014

Details

Published: 02 September 2014

Changes

Spread Eye

• Fixed bug that required user to turn off all spreads at the close of the session.

Sheets

• Beta sheets now allow the user to set off alerts based on market trades/ticker. This can be done by bringing up a Setting Window (Right click-> "Sheet Settings->SettingsWindow..."), navigating to the Alerts, and then to the "Trade Alerts" section. The user can then set the size, time for the alert to stay active, and the color of the alert.

Electronic Eye Controller

• To eliminate confusion, selection-swipe based actions are only allowed if a single column is swiped/selected (ex selecting both edge and size columns will NOT bring up the menu).

Reports

• There is a new report called DayPNLTrader that breaks down the Day PNL and Greeks per trader. Additionally, the trader data can be expanded to view the PNL and Greeks trade by trade.

General Shell

• Performance improvements.

Details

Published: 28 July 2014

Changes

New Sheets

A new, more powerful version of the sheets is out as beta in this version. The main features of the Beta Sheets are:

• One sheet can contain multiple symbols, ex the es monthly and weeklies at CME can cohabitate in one sheet, ditto for the spx/w at CBOE.
• There is a new right click menu that offers quick navigation and toggling visibility on select columns described below.
• Expiration navigation - Right click anywhere within a sheet and a menu will pop up listing the expirations (with the current expiration being bolded). Click on the desired expiration to quickly scroll to it.
• ATM centering - Right click anywhere within a sheet and a menu will pop up with ATM as an option. Clicking on this ATM option will center the ATM strike vertically in the window.
• ATM strikes can also be navigated to by clicking on the mouse wheel (or on the center mouse button).
• Yet another quick way to scroll to the ATM strike is by clicking on the button in the expiration header (if visible, see below) that says "ATM"
• All open spreads can be minimized once by clicking "Minimize All Open Spreads"
• Settings window can be brought up, as well as zooming in and out.
• The right click menu additionally offers an easy way to enable/disable certain columns. This can be done by going to the "Sheet Settings" sub menu and clicking on the column name. The check mark indicates its current visibility.
• All the right click menu features are also offered via toolbars at the top. These toolbars are disabled by default but can be enabled by going to the Settings Menu, navigating to "Sheet Layout" in the settings window and setting "Show Settings Header" and "Show Expiration Navigator" to true. This requires a restart of the shell (please note, restart of the entire shell, NOT just of the sheet).
• SHIFT + mouse wheel will now scroll the sheets horizontally one expiration at a time
• The settings window is better organized now and related settings are grouped into categories
• Background and Text color for alternate expirations can be configured distinctly. This can be done by bringing up the Settings window, navigating to Display Parameters, selecting an item (for example Call Delta), and choosing different colors for Alternating Background/Text Color 1 and 2.
• Settings for the current sheets can be imported to the new sheets. This can be done by bringing up the Setting window, clicking on the "Import Old Settings" in the bottom-left, choosing a symbol whose setting you want to import, and hitting OK. This will load the settings in the Setting window, hitting OK in the Setting window will load the setting to the new sheet.
• One symbol can also be expanded across multiple sheets, ex the es front month(s) with more details (visible greeks, bbo etc) in one sheet and the back months in another.

Reports

• Reports have a "Resize Columns to Fit" menu (right click context menu), that minimizes the column width to fit the data as tightly as possible.
• Fixed the bug where the right click context menu was not visible if the report had no rows.

Spread Windows

• Spread windows can now optionally show the gamma adjusted theo as the spread total theo, for tied spreads (the gamma adjusted theo is the number that shows in a silver font right above the Mult drop down box; it will continue to show there). This option is turned off by default and can be turned on by Sheets->Preferences->Spread UI->ShowAdjustedPriceForTiedSpreads.

Click Trading Ticket

• Click trading ticket for outrights now shows the greeks for the option; delta, gamma, vega, theta
• The ticket now also shows the edge computed in terms of where the fill will be hedged. This is the number in parentheses at the bottom right of the ticket.

Electronic Trading

• The electronic trading system now has a built in safeguard where the engines will be turned off if an electronic fill can not be added to the TradeLog

Graphs

• Added dots on the shape / atm time series graphs

Analytics - Rebuild

• Provided functionality to reduce PnL impact on rebuild by fitting the pre-rebuild vols on to the post-rebuild x-axis.
• For completely PnL invariant rebuilds, use F-Float = 1.0 and SVR = 1.0 (See Below)
• This only works in Standard Strike mode

Analytics (PLEASE READ)

• Disambiguated several aspects of the vol model:

1) Standard Strike Mode

Standard Strike Mode is now signaled by a parameter on the extreme right of Poly Vol Form, Stdk Mode. Set this column to 1.0 and remove the -10.0 shift from Horiz Shift (remember the slaves) to restore your system to normal working state if you're already in standard strike mode. Ignore if you're in delta mode.

2) Factor Float

Added a parameter underneath Order Lim called F-Float:

• A Value of 0.0 (the default) means that the P1, P2, etc factors are factors of the yellow ATM input column plus the shifts. This means that as vol response changes vol level, these level changes are additive in that a 1% up move in volatility adds 1% to each strike on the board (assuming an SVR factor of 1.0).

Example 0
ATM vol is 10%, the -2sd put vol is 13% (1.3 times ATM), the market moves down such that ATM vol rises by 1% to 11%, the -2sd put also rises 1% to 14%

• A Value of 1.0 means that the P and C factors are factors of the responded, shifted, final atm vol, thus if the user set's the -2 sd put to be 1.3, the -2 put is always 1.3 times atm vol, as the market moves up or down. In this mode a vol shift (due to underlying move or manual intervention) of 1% would move the -2 put up 1.3%.

Example 1
ATM vol is 10%, the -2sd put vol is 13% (1.3 times ATM), the market moves down such that ATM vol rises by 1% to 11%, the -2sd put rises 1.3% to 14.3%

3) Standard vol

Standard vol, the vol by which standard strikes are calculated, can now bet set to a constant, or set to float with ATM vol by setting it to -1% in the Std Vol Column. Please note that all greeks that change ATM Vol (delta, gamma, vega, theta) will now have a dynamic standard vol if this parameter is set to -1.0%. In a low vol environment, close to expiration, this floating Standard Vol could cause trouble in these iterative greeks; please see the next entry about the addition of Black Scholes greeks in the risk report

Risk

• Added Black Scholes Delta, Vega and Gamma and OEV in risk report, DeltaNoVR, VegaNoVR, GammaNoVR, OEVNoVR respectively. Please contact Ops to display in your Risk Viewer.

Details

Published: 02 July 2014

Changes:

Spreads

• Zero price spreads are now tradable at CBOE

Analytics

• New mode in Model Params form called Smart Roll Offset allows intelligent linking of Roll Offset Parameter across cash and futures options. To enable this mode, set Smart Roll Offset to a value greater than 1.0, make sure to link the slave symbols.

Rho Report

• To access a Eurodollar / Libor based rho exposure report, go to Admin->RiskViewer, Help->Open Config-> Rho_SP

Zero Price Spreads at CBOE

• Bug disallowing zero price spreads at CBOE fixed.

Electronic Eye Shut Off

• Electronic Eye now only counts its own trades toward the fills per time window shut off. Previously, all firm trades were counted.

High DPI

• Fix to ensure window position is saved correctly on high DPI displays.
• Fix to ensure drag/drop of tabs works as expected on high DPI displays.

Sheets

• Standard strikes can now be displayed in the sheets, by going to the Preferences->Main UI and setting ShowStandardStrike to true.

Ticker

• In the trade ticker UI, trades of sizes >= 200 are lit up a red color for 5 seconds. This will only happen to newly opened trade ticker windows.