Decimal Ratios in Autospreader

Decimal Ratios in Autospreader

Patrick Rooney Patrick Rooney

Patrick Rooney

Power, gas, & environmentals trading | Nodal Exchange

发布日期: 2016年11月22日
+ 关注

Decimal Ratios allow users to create more precise spread definitions when creating synthetic spreads in Autospreader. When using ratios in Autospreader, it can become very difficult, if not impossible, to send an Autospreader order that will generate an order quantity in one of the legs that matches your requirements. 

Consider a U.S. Treasury futures spread between 5-Year T-Notes (ZF) and 10-Year T-Notes (ZN). The proper ratio ratio between these contracts may fluctuate, but for our example, let’s assume that the proper ratio is 1 ZF contract to 0.625 ZN contracts. In whole numbers that would require a ratio of 8 ZF to 5 ZN. It would be impossible to execute an order for 100 ZF as the Autospreader order could be 12, equal to 96 ZF, or 13, equal to 104 ZF.

Read more about this new spreading logic in the TT platform on the TT Community webpage. We include a link to an instructional video there.



要查看或添加评论，请登录

Patrick Rooney的更多文章

  • Pits to Pixels - 30 Years of Markets
    2020年7月7日

    Pits to Pixels - 30 Years of Markets

    It's a big number. 30 years.

    46 条评论
  • We're building stuff. Here, there, everywhere, but will it be enough?
    2020年3月3日

    We're building stuff. Here, there, everywhere, but will it be enough?

    The move in #copper today was the forth piece in my productivity puzzle. Stuff is being built and a lot of it.

    1 条评论
  • Moving Average Block
    2018年3月1日

    Moving Average Block

    Gain insight on using the Moving Average block in your ADL algo. #TTtips "You can have the Moving AVG Block reference…

  • Trailing Stop Algo
    2018年2月28日

    Trailing Stop Algo

    Use the isBuy property in the MsgInfoExtractor block to build a single Library block for trailing sell and trailing buy…

  • Order Profiles
    2018年2月27日

    Order Profiles

    Create rules using Order Profiles to seed account, order quantity and other fields based on the selected instrument…

  • Field Block Index Property
    2018年2月26日

    Field Block Index Property

    Pull prices and quantities from price depth in ADL by using the Field block Property “Index” from the Lookup Type…

  • Options Risk Matrix
    2018年2月26日

    Options Risk Matrix

    See aggregated P&L and Greeks for your options positions and view multiple scenarios simultaneously with Options Risk…

  • TT Supports Options Risk #WhatIf
    2018年2月22日

    TT Supports Options Risk #WhatIf

    Use Options Risk to apply various ‘what if’ scenarios to open positions, based on underlying and volatility shocks…

  • TT Score Outlier Chart
    2018年2月21日

    TT Score Outlier Chart

    Easily identify suspicious trade activity in TT Score's Outlier chart. #Spoofing #TTtips The Outlier chart displays…

  • Moving Average Crossover Algo
    2018年2月14日

    Moving Average Crossover Algo

    Create a simple moving average cross trigger for your ADL algos. #TTtips The Moving Average block maintains an internal…

社区洞察

其他会员也浏览了