Trading Technologies Autospreader

Autospreader®

Version 7.12.X

Feature Guide

Document Version 7.12.X.DV1January 10, 2013

Trading Technologies International, Inc.

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Table of Contents

Table of Contents

2

WHAT'S NEW IN AUTOSPREADER® 7.12.X 7

WHAT'S NEW IN AUTOSPREADER® 7.12.4 8WHAT'S NEW IN AUTOSPREADER® 7.12.3 9WHAT'S NEW IN AUTOSPREADER® 7.12.2 10WHAT'S NEW IN AUTOSPREADER® 7.12.1 11WHAT'S NEW IN AUTOSPREADER® 7.12 12

RELOAD ORDERS IN THE MARKET GRID 12

CHAPTER 1: AUTOSPREADER® OVERVIEW 13

AUTOSPREADER COMPONENTS 13THE MANAGERDIALOG BOX 14ALTERING SPREADS USING THE LEG VIEW 16SHOW ERRORS 20THE CONFIGURATION DIALOG BOX 21CONFIGURATION DIALOG BOX FIELD DESCRIPTIONS 21

Top Pane 22Basic Properties 24Advanced Properties 28Tick Information 30Advanced Settings button/General tab 31Advanced Settings button/Dynamic tab 32

THE MD TRADER PANES 33Using the Autospreader Spread Pane 34Using the Autospreader Leg Panes 34

THE HEDGE MANAGERWINDOW 35The Working Pane Field Descriptions 35The Rules Pane Field Descriptions 38Hedge Manager Context Menus 45

HEDGE RULE BUILDEROVERVIEW 45LAUNCHING HEDGE RULE BUILDER 47THE HEDGE RULE BUILDERWINDOW 48FORMULA BUILDING BLOCKS 52CREATING AND EDITING RULES 54WORKING WITH THE RULES LIBRARY 59ACTIVATING AND DEACTIVATING HEDGE RULES 62UNDERSTANDING PRE AND POSTHEDGE RULES 66

CHAPTER 2: CREATING SPREADS 68

MULTI-LEGGED SPREADS 68CREATING A SPREAD USING THEMARKET GRID 69CREATING A SPREAD USINGDRAG-AND-DROP 70ADDING LEGS TO AN EXISTING SPREAD 71

Autospreader® Feature Guide - iii -


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DELETING LEGS FROM AN EXISTING SPREAD 72OPENING AN EXISTING SPREAD 72REPLACING AN EXPIRED CONTRACT 73ACTIVATING A CUSTOM PRICINGMODEL 73PROTECTING YOUR SPREADS 74UNDERSTANDINGQUOTINGMODEOPTIONS 75SPECIFYING AMINIMUM HEDGEQUANTITY 76TRADING IN YIELD 77

YIELD FIELD DESCRIPTIONS 78

CHAPTER 3: TRADING SPREADS 80

PRE-TRADE RISK-CHECKING 81TRADING ON AN AUTOSPREADER STRATEGY ENGINE 83TRADING IN THEMARKET GRID 87CHANGING CUSTOMERS 88OVERRIDING THE TICK SIZE 88DONOT HEDGE EXAMPLE 89USING RELOAD ORDERS 91

OFFSETS 92PROCEDURES 94

FREEZING AUTOSPREADERORDERS 96FREEZING ORDERS EXAMPLE 100DONOTHEDGE FROZEN EXAMPLE 101

USINGQUEUE HOLDER 102ENABLING QUEUE HOLDERORDERS 103SETUP TASKS 105

Max Price Move andMax Order Move 105Do Not Cross Inside Market and Delete All 106

QUEUE HOLDER EXAMPLES 107Quoting in Both Legs 107Moving Away from the Inside Market 108Moving Toward the Inside Market 108

BENEFITS OF QUEUE HOLDERORDERS 109Regular Autospreader orders 109Queue Holder order 109Regular Autospreader order 109Queue Holder order 109

USINGDYNAMIC PAYUP TICKS 110DYNAMIC PAYUP TICK SETUP TASKS 111LINKING TO DYNAMIC PAYUP TICKS 114DYNAMIC PAYUP TICKS EXAMPLE 115

INSIDE SMARTQUOTE 117SETTING THE INSIDE SMARTQUOTE 118USING SMARTQUOTE LIMIT 119

Setting a Smart Quote Limit 120USING BASIC SLOP 121

SETTING THE SLOP VALUE 122USING ADVANCED SLOP 123

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CALCULATING INSIDE AND OUTSIDE ADVANCED SLOP 124CALCULATING ADJUSTABLE RANGE 126

CHAPTER 4: IDENTIFYINGMESSAGES 128

KEY SERVER AVAILABILITY 128QUOTING IN ILLIQUIDMARKETS 128MINIMUM HEDGEQUANTITY 128

INDEX 131

Autospreader® Feature Guide - v -


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What's New in Autospreader® 7.12.XTrading Technologies continues its effort to provide you with the quickest, most efficient andversatile trading softwarewith the release of Autospreader® 7.12.X.

l Autospreader 7.12.4




l Autospreader 7.12

Autospreader® Feature Guide - 7 -


What's New in Autospreader® 7.12.X

What's New in Autospreader® 7.12.4Trading Technologies continues its effort to provide you with the quickest, most efficient andversatile trading softwarewith the release of Autospreader® 7.12.4.

The 7.12.4 release provides no new functionality in Autospreader.

- 8 - Autospreader® Feature Guide


















What's New in Autospreader® 7.12Trading Technologies continues its effort to provide you with the quickest, most efficient andversatile trading softwarewith 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 GridReload orders let you execute a total spread order quantity by splitting the spread order intosmaller disclosed quantities. You can now submit this order type from theMarket Grid. Tosubmit this order type, select Reload from theAdvanced Settings section and enter theDisclose Qty andOffset amount.



Chapter 1:Autospreader® Overview

Autospreader consists ofmultipleMDTrader windows and is designed to facilitate the automatictrading 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 spreadbased on the outright legs. You enter orders in the spread pane and Autospreader works the legsto achieve the spread setting parameters.

Because the panes of Autospreader areMDTrader windows, most MDTrader functionality isavailable 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 inSimulation Mode.

To open Autospreader:

From the Control Panel, click theWindowmenu and choose Autospreader.

- or -

From the Control Panel, click the icon.

You successfully opened Autospreader.

Autospreader ComponentsThe following components make up Autospreader:

l TheManager dialog box

l The Configuration dialog box

l TheMDTrader panes

l HedgeManager

TheManager dialog box is your interface for all of your created spreads. It is takes you to theConfiguration dialog boxwhere you can create new spreads, edit existing spreads and setspecific spread trading parameters to suit your trading style. TheMD Trader panes arewhatyou actually use to trade your created spreads. Finally, theHedge Managerwindow lets youmonitor legged orders and create rules to automate howAutospreader handles and hedgesyour open position.

Note: In addition to trading spreads using MDTrader, you can drag and drop spreads fromtheAutospreader Managerwindow to theMarket Grid.



Chapter 1: Autospreader® Overview

The Manager Dialog BoxTheAutospreader Manager dialog box is your interface for previously created spreads.

Autospreader Manager Spread View

l The buttons in this dialog include:

Button DescriptionNew Opens a new instance of the Autospreader Configuration dialog box, used

to create a new spread.

Edit Opens the Autospreader Configuration dialog box, populated with thespread information for the selected spread.

Clone Duplicates the selected spread and adds it to the list. The word ‘copy’ isadded to the end of the spread title.

HedgeManager

Opens the Hedge Managerwindow, letting you view andmake changes toyour hedge orders.

Delete Deletes the selected spread from the workspace.




l Your spread launching options include:

Option DescriptionThe drop-down box lets you choose which window to launch the spreadinto and whether you want to launch the corresponding legs.

You can launch your spread in:

l MD Trader

l Market Grid

l Autotrader

The radio buttons let you choose if you want to launch the spread fromyour local desktopmachine or a specific synthetic server.

Refer to Trading on an Autospreader Strategy Engine on page 83 for moreinformation 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.

l The tabs in this dialog include:

Tab DescriptionSpread View Shows standard view of all the spread names.

Leg View Shows view of all associated legs, sorted by spread name.

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




Altering Spreads using the Leg ViewTheAutospreader Manager dialog box has two tabs called, Spread View and LegView.

Autospreader Manager Spread View Autospreader Manager Leg View

The Spread View tab lists the spreads you have created. The Leg View tab displays allthe legs included in your spreads.

The Leg View is a grid window. The legs are color-coded by spread name and can befiltered by the column headings. The column headings are:

Columns on by Default Hidden ColumnsSpread Name (not editable) Coupon (%)Leg (blank and not editable) Settlement DateBasedOn Maturity DateContractSpread RatioSpreadMultiplier

Use the Show/Hide Columns option in the context menu to reveal the hidden columns. Inaddition, you can use this option to reorder the editable columns.

You can resize theAutospreader Manager dialog box, apply standard X_TRADER filters, as well as, sort by double-clicking column headers.

In addition, you can edit all the columns with a white background.




Some columns are editable using drop-downs. Others can be typed in. The Leg Viewtab also supports Excel-stylemulti-edit, whereby you can click the lower-right corner ofa cell and drag it downward. This action copies the value of the first cell into the cells inthe drag selection range.

Once you edit a cell, it is highlighted. The following buttons determine how yourchanges are handled:

l Apply: Applies your highlighted changes.

l Restore: Restores the highlighted changes to their original value.

l 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 appliedand the error will get listed in the Error Log. Refer to Show Errors on page 20.

Follow these procedures:

l Changing a spread

l Changing values using click-and-drag

l Reordering columns

l Sorting spread legs

Also refer to Filtering Overview.

To change a spread:

1. From theAutospreader Managerdialog box, click the Leg View tab at the bottom of thescreen.

2. You can make changes to:

l TheBased on field




l The Contract field

l The hidden columns: Spread Ratio, SpreadMultiplier, 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 theAutospreader Managerdialog box, click the Leg View tab at the bottom of thescreen.

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 themouse button.

4. Drag the cell downward covering the cells to which you want to apply the value.

5. Release themouse button.

You successfully changed values using click-and-drag.




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 tomove.

4. Click the up or down arrow to reorder the column.Note: The Sort checkbox puts the columns in alphabetical order.

5. ClickOK.

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.




Show ErrorsClick the Show Error Log button to seemistakes you maybemaking while changingspread legs.

In the example above, a duplicate leg was added to the same spread. You can notapply an erroneous change to a spread.




The Configuration Dialog BoxTheAutospreader Configuration dialog box controls the behavior of the spread as ittrades. After you add legs to this window, configure the optimal spread parametersbased on your needs and clickOK to save them. To leave this windowwithout savingyour changes, click Cancel.

Note: You can open an Autospreader Configuration dialog box even if the spread hasworking orders. You cannot, however, edit a spread configuration while it has workingorders.

Configuration Dialog Box Field DescriptionsAfter you add legs to this window, configure the optimal spread parameters based on




your needs and clickOK to save them. To leave this windowwithout saving yourchanges, click Cancel.

TheAutospreader Configuration dialog box breaks into the following sections:l Top Panel Basic Propertiesl Advanced Propertiesl Tick Informationl Advanced Settings

Top Pane

Field DescriptionSpreadName

Sets the spread name as it appears in the Autospreader®Manager dialog box and thespreadMD Trader.

BasedOn

Sets how prices are displayed. Your options are:

l Implied Price: Prices display the implied price of the spread.

Example: Leg A Price (*) User-DefinedMultiplier – Leg B Price (*) User-DefinedMultiplier= Implied Price

l Implied Price w/ Fractions: Prices for CBOT Treasury products display in theirnative formats (32nds, half 32nds, and quarter 32nds).

l Net Change: Prices display based on the individual legs' net change from theprevious day settlement.

Example: Leg A Net Change (*) User-DefinedMultiplier – Leg B Net Change (*)User-DefinedMultiplier = Net Change price

Note: If you base spread prices on Net Change, you disable calculations in theTick Information section. The Calculated Tick Size defaults to 25/100. You canstill use the Override Tick Size to change it.

l Ratio: Prices display as a percentage ratio (divides Leg A price by Leg B price).Note: The Ratio setting is for two-legged spreads.

l Yield: Prices display in yield. When enabled, a set of properties appear underAdvanced Properties letting you set your yield parameters for each leg.Refer to Trading in Yield on page 77.

SpreadLTP

Determines how the last traded spread price is calculated:




Field Descriptionl Bid to Bid/Ask to Ask: The last traded price on the current leg matches with themost recently known best bid or best ask on the other legs. On by default.

l Last to Last: The last traded price of the spread legs.

LegColor

Selects the color of working spreads and corresponding leg orders in MD Trader, theMarket Grid, and the Floating Order Book.

Note: When an offsetting hedge order is not immediately executed, the working orderdisplays in a non-standard orange color. This color is not configurable. The color blackindicates there are orders with more than one color at a given price level.

SlopSettings

Set whether you use basic slop, advanced slop or an inside smart quote.

l Basic Slop: Lets you configure one level of Inside andOutside slop to determinewhen to reprice the quoted outright legs based upon movement in the market.Refer toUsing Basic Slop on page 121 for more information.

l Advanced Slop: Lets you set an unlimited number of Inside andOutside sloplevels for each leg of the spread. Adds a row to the bottom of Basic Properties.Refer toUsing Advanced Slop on page 123 for more information.

l Inside Smart Quote: Lets you set legs to requote only when they are a setnumber of ticks away from the inside market. The maximum and defaultsetting is 99. The minimum setting is 1. Adds a row to the bottom of BasicProperties.Refer to Setting the Inside Smart Quote on page 118 for more information.

Inside

(Used withBasic SlopOnly)

Defines the worst price you will accept for the spread.

l If you are buying the spread, this applies to spread prices ABOVE your currentbid. (i.e., worst price)

l If you are selling the spread, this applies to spread prices BELOW your currentoffer. (i.e., worst price)

Outside

(Used withBasic SlopOnly)

Defines the best price you will accept for the spread.

l If you are buying the spread, this applies to spread prices BELOW your currentbid. (i.e., best price)

l If you are selling the spread, this applies to spread prices ABOVE your currentbid. (i.e., best price)




Basic Properties

Field DescriptionDelete ( ) Deletes the corresponding leg of a spread.

Note: If a leg is deleted here, open MD Trader legs remain open.

Contract Displays the contract name. Use the drop-down list to select a differentcontract from the product series.

CustomerAccount

Displays available customers.

Note: If needed, you can change the Account field in theMarket Window OrderPane for Autospreader spread orders.

Active Quoting Sets whether Autospreader actively quotes the leg. If unchecked, orders forthat leg are only sent when the other leg fills.

Enabled by default.

Note: You can enable Active Quoting on up to 3 legs.

Consider OwnOrders

Prevents Autospreader from getting into an infinite quoting loop with your ownorders when no other orders are present.

Offset Hedge Sets Autospreader to send a Limit or Market order for the offsetting leg(s) assoon as the quoting leg of the spread fills.

Note: When creating spreads for the SFE exchange, you can set Market Limitas your offset hedge order type.




Field DescriptionPayup Ticks 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 Offsetwith field.

Spread Ratio 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.

SpreadMultiplier

Weights the value of the leg price to calculate the spread price.

Leg A Price (*) Leg A SpreadMultiplier - Leg B Price (*) Leg B SpreadMultiplier= Spread Price

Note: The multiplier can be a whole number, decimal number, or fraction.Fractional representation optimizes ticking accuracy.

Example: A SpreadMultiplier of 0.333333 displays as 1/3 in the Tick Informationsection.

Offset VolumeMultiplier

Lets you define a multiple of the order quantity of one leg, which Autospreaderuses 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 traderassigns an offset volume multiplier of 2, Autospreader determines the pricelevel at which 20 contracts of cumulative market quantity exists on the secondleg and uses this to determine the price at which it quotes the first leg of thespread.

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 onmultiple levels of depth you can set the Offset Volume Multiplier to 0 and theBase Volume Lean to 1.

Refer to Protecting your Spreads on page 74.

Base VolumeLean

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 onmultiple levels of depth you can set the Offset Volume Multiplier to 0 and theBase Volume Lean to 1.

Refer to Specifying a Minimum Hedge Quantity on page 76.QuotingMode Defines the quoting mode option for each leg.

l All or None: If the hedge market quantity drops below the minimumhedge quantity, the associated quoting order will be pulled from themarket and will not be resubmitted even if sufficient hedge marketvolume reappears at some later time. This is the default setting.

l All or None w/ Resubmit: If the hedge market quantity drops below theminimum hedge quantity, the associated quoting order will be pulledfrom the market and will be resubmitted if sufficient hedge marketvolume reappears at a later time.




Field Descriptionl Dynamic Inside Lean: Leans on only the inside market of the hedge legsand, therefore, only considers the size of the hedge leg’s inside market.If that volume is less than the Minimum Hedge Quantity, the quotingorder will be reduced to the largest size that could be fully hedged at theinside market of the hedge leg(s).

Refer toUnderstanding QuotingMode Options on page 75.

UseCancel/Replace

Lets orders reprice using Cancel/Replace rather than the Change. Disabled bydefault.

Queue HolderOrders

Defines the number of outright leg orders placed at consecutive price levelsaway from the inside market in addition to the single quoted order for each leg.

Refer toUsing Queue Holder on page 102.

Note: Queue Holder is only available with two-legged spreads.

Inside SmartQuote

(Visible whenInside SmartQuote is theSlop Setting.)

Reduces excessive quoting away from the inside market.

When enabled, working orders only requote when they are a user-definednumber of ticks away from the inside market. The maximum and defaultsetting is 99. The minimum setting is 1.

Refer to Inside Smart Quote on page 117.

Smart QuoteLimit

Defines a limit, in ticks, a quoting order is allowed to work away from the pricelevel that matches the spread differential.

Refer toUsing Smart Quote Limit on page 119.

Advanced Slop

(Visible whenAdvanced Slopis the SlopSetting.)

Used to create a range in the Adjustable Range field, and then set an unlimitednumber of Inside andOutside slop levels for each leg of the spread.

Example: When working close to the inside market, you may want Slop set toreprice your outright order with each price update. Likewise, when workingaway from the inside market, you would not want Slop set to continually repriceyour outright leg.

This reduces the overall transaction count for the spread andmaintains thequeue position of the orders.

Pre HedgeRule

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 Autospreaderconfiguration, Autospreader automatically activates it and applies it to everyhedge order.

Refer to Activating and Deactivating Hedge Rules on page 62

Post HedgeRule

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 Autospreaderconfiguration, Autospreader automatically activates it and applies it to everyhedge order.

Refer to Activating and Deactivating Hedge Rules on page 62







Advanced Properties

Field DescriptionConsiderImplied

Determines whether or not your leg orders will lean on implied prices andquantities. This property works in conjunction with the implied settings on theTrading tab in the main X_TRADER Properties menu.

l When the Consider Implied checkbox is checked for a leg, Autospreaderwill use both direct and implied prices for hedging into that market.

l 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 theTrading tab are not selected, your spread legs will not consider implieds.

Hedge Round Automatically sends a hedge order when your quoted order quantity is morethan halfway filled. When disabled, the entire quantity must be filled before thehedge is sent. This setting is intended to be used for spreads with quotingorders more than double the quantity of the hedge order.

Once the entire hedge order fills and there is a quoting order working in themarket, the quoting order is now the unhedged leg of the spread and will notreprice. It will be identified by the non-standard orange color bar.

Example: You are quoting 11 contracts and hedging 1. With Hedge Roundenabled, a hedge order is sent when 6 of the 11 contracts fill. When disabled, all11 contracts need to fill before 1 lot is sent.

Max PriceMove

Defines the maximum number of ticks a leg price can move in a single priceupdate before Autospreader pulls the order. The maximum setting is 9999. Theminimum setting is 1.

Max OrderMove

Defines the maximum number of ticks a quoted leg order can reprice in a singleupdate before Autospreader pulls the order. The maximum setting is 9999. Theminimum setting is 1.

Note: The difference between the Max Move settings is,Max Price Move lets you define a pricemove threshold in the leaning (hedging) leg andMax Order Move lets you define an order movethreshold in the quoting leg. Proper settings in both Max Move properties can help preventlegging risks in volatile markets.

Cancel/Replacefor Quantity

Lets you specify how you want your orders sent when there is a change inquantity.




Field DescriptionWhen you enable this property, orders are sent via Cancel/Replace in place ofChange 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 isused for spread price display. With this setting enabled, the user-defined pricecolumn displays the price as a decimal value 1 divided by the decimal equivalentof the price. Your spread must have Based On set as Implied Price for 1/Price tobe supported.

Example: If the current exchange price of Leg A is 1.0948 and the 1/Price isenabled in Leg A, the leg value used for the spread price display would be theresult of 1/1.0948 or .9134088.

Enabling 1/Price on the Autospreader Configuration screen also enables it on theMD Advanced tab on the Properties menu. There, you can further alter the lookof the user-defined price in the Price formatting section.

Note: This property will create a price column that is in ascending order, ratherthan descending order. You can use the Invert Price column setting to flip MDTrader so this column appears in descending order.




Tick Information

Ticking Information displays calculated tick size based on the contract tick size andSpread Multiplier of the spread legs. You can use this display to review the tickingrelationship between the selected products and the effect on the spread with a one-tick move in an outright leg.

Field DescriptionMinimumTickIncrement

(Uneditablefield)

Displays the minimum tick size for instruments in the spread legs. The value isdefined by the exchange.

Example: Some instruments may tick in 64ths, while others may tick in 32nds.

Multiplier

(Uneditablefield)

Displays the values entered in the SpreadMultiplier field.

Delta

(Uneditablefield)

Displays a value representing the effect on the spread with a one-tick move in anoutright leg.

Override TickSize

Lets you override the value displayed in the Calculated Tick Size field. You canview a greater range of prices without reducing the view of the total quantityavailable.

By enabling Override Tick Size, you can specify a greater tick size to fit yourneeds.

CalculatedTick Size

(Uneditablefield)

Displays the calculated minimum tick size of the spread.

If the products making up the legs of the spread tick at different increments, theCalculated Tick Size field displays the minimum tick size for the spread.




Advanced Settings button/General tab

To display theGeneral tab, click theAdvanced Settings button.

Field DescriptionDo not crossinside market

Prevents a quoted leg order from crossing the inside market price (buy offer orsell bid) with the submission of a spread order. When enabled, the mouse cursorchanges to a circle with a slash if positioned over a crossed market spread price.

Delete Allwhen changecrossesmarket

Lets Autospreader delete quoting orders when spread orders are repriced andcross the inside market. When enabled, Autospreader will submit and cross thefirst quoting order and immediately delete all non-cover orders (i.e., anyadditional quoted orders).

Example: While quoting in both Leg A and Leg B, you drag the spread order to acrossing price. When Leg A order crosses the market, a hedge order is sent in theother leg(s), and the quoting order in Leg B is deleted.

Lean on Non-TradablePrices

Takes advantage of markets that support reduced tick spreads, including impliedprices at non-tradable tick sizes (e.g., ¼ tick prices).

When enabled, Autospreader considers the quantity available at the better pricewhen selecting the ideal quoting price. Autospreader also rounds toward theinside market when hedging if a quantity is available at a better, but non-tradable price.

Delete AllHedgeOrders onAS OrderDelete

Determines whether legged hedge orders are also deleted when deleting theAutospreader spread order.




Advanced Settings button/Dynamic tab

To display theDynamic tab, click theAdvanced Settings button. Then, click theDynamic tab.

Field DescriptionFreeze/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 Traderspread pane context menu. The Freeze buttons are on the Quote tab.Alternatively, you can enable Use Hot Key. This makes the F key active forfreezing and unfreezing all quoting legs of the spread.

Refer to Freezing Autospreader Orders on page 96 for more information.

Enable DynamicPayup Ticks

Enables the ability to dynamically override the Payup Tick value assigned inthe Payup Ticks field with a value from -99 to 99.

F2 and F11 are the hotkeys for Dynamic Payup Ticks, and can be assigned toany two legs at a time. The hotkeys toggle Dynamic Payup Ticks on or offeach time the key is pressed.

Refer toUsing Dynamic Payup Ticks on page 110 for more information.

Note: Dynamic Payup Ticks can also be enabled and set in the DynamicSettings window. To access, right-click on the main Autospreader MD Traderand click Dynamic Settings from the context menu.




The MD Trader PanesAutospreader spread and leg panes are identical in function and display toMDTrader.Refer toMDTrader Field Descriptions in the X_TRADER User Manual.

Note: MD Trader is protected byU.S. Patents Numbers 6,766,304 and 6,772,132.

For exceptions, refer to:

l Using the Autospreader Leg Pane

l Using the Autospreader Spread Pane




Using the Autospreader Spread Pane

Use the Spread pane to trade your legs in the appropriatemarkets. Trading via theSpread pane is identical to placing trades using MDTrader. However, Autospreaderuses the parameters you set in theAutospreader Configuration dialog box todetermine the prices at which the legs are traded. You can also access theHedgeManagerwindow from theMDTrader spread pane.

The following MDTrader properties do not apply in the Spread pane of Autospreader:

l ShowCustomer Account Name

l Enable Order Types properties

l Liquidate

l Display Average Price of Position

Using the Autospreader Leg Panes

However, whenever you trade the spread, all working orders in the leg panes have avertical color bar on the left side of theWorking Quantity column. This color bardesignates theworking order as being part of the spread and uses the Leg Color IDyou assigned to the particular spread you are trading in theAutospreaderConfiguration dialog box.

Notes:

l Hedge orders are color-coded in a non-standard orange color. This color is notconfigurable. When there is more than one color at a given price level, you willsee the color black, to indicate overlap.

l Autospreader does not support restricted orders. The controls are disabled onthe Spread pane and the Trading tab on the Properties menu.




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

TheHedge Managerwindow consists of two panes:

l Working Orders pane: Displays legged hedge orders and contains buttons where userscan takemanual action on these orders.

l Rules pane: Lets you define triggers and rules that automatically take action on alegged hedge order.

To access the Hedge Manager window:

From the Control Panel, click theWindowmenu and choose Hedge Manager.

- or -

From the Control Panel, click the icon.

You successfully accessed theHedge Managerwindow.

The Working Pane Field Descriptions

TheWorking Pane displays working hedge orders and contains buttons where userscan takemanual action on hedge orders.

By default, once hedge orders fill or are deleted, the rows persist in theWorking paneuntil you remove themmanually. TheAutospreader tab on the Properties menu letsyou 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 thenew arrangement to your workspace.




Spread and Leg

Column DescriptionSpread The name of the spread associated with the hedge order.

Leg The contract name of the working hedge order.

Notes:

l The Buy orders appear in blue. Sell orders appear in red.

l The Spread and Leg cells are shaded dark graywhen the hedge order is underthe control of an automated rule.

Working Details

Column DescriptionWorking The current working quantity of the hedge order.

l When the order completely fills, the cell displays Filled.

l When the order is deleted, the cell displays Deleted.

Price The current price of the working hedge order. A dark gray background indicates theprice on the order just changed. You can turn this setting off or change the duration onthe Autospreader tab on the Properties menu.

TicksAway

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 insidemarket price of 100. Assume the inside offer price is 101 with a quantity of 10, and thenext offer price is 102 with quantity 30. Given these assumptions, ticks away would be2, which is to say “this order is two ticks away from what it would take to completelyfill your order.”

Total Qty The size of the initial order. This does not update.

Tip: SubtractWorking from Total Qty to get your number of partial fills.

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




Action Buttons

Note: For Payup, Cross Inside and Fill w/Limt, the button is yellowwhen there isenough volume to fully fill theworking hedge order. If there is not enough volume, thebutton turns gray.Column DescriptionDel A button that deletes the working hedge order.

MDT A button that launches MD Trader with the working hedge order.

Payup A button that cancels the working hedge order and replaces it with a limit order workingat the payup price you specify.

The spinner control to the right has a default value of 1. You can change payup tick valuesin positive or negative ticks. Then, you must click the Payup button to resend the hedgeorder at the payup price.

CrossInside

A button that sends a Limit order for the total size of the working hedge order to crossat the best inside market price.

If market liquidity is less than the size of the working hedge order, you can still send thehedge. When this occurs, the order fills as much as possible and remains resting at theprice level the order was sent.

Fillw/Lmt

A button that sends a Limit order to for the total size of the working hedge order at theprice 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 thehedge. When this occurs, the order fills as much as possible and the order remainsresting in the market.

ClearRows

A button at the top of the screen that permanently removes all rows containing non-working Filled or Deleted orders from the Working Orders pane.




Hidden columnsColumn DescriptionLocation The computer that submitted the order:

l TT: Your desktop

l ASE: An Autospreader SE server

Del All A button that deletes all working orders and all quoting orders associated with theparent Spread Order Key.

Example: Assume that the Working Orders pane contains two rows representingworking hedge orders for the same parent spread order. If you click the Del All button inone of the rows both spread orders are deleted, including all quoting and hedge orders.

TTOrderKey

A TT generated unique number used to track orders.

The Rules Pane Field Descriptions

The Rules Pane lets you predefine a rule that will automatically apply to a leggedhedge order.

Warnings!

l Since there is only oneHedge Managerwindow, changes you make to it willautomatically override a Hedge Managerwindow saved in your workspace.

l Rules are only activewhen theHedge Managerwindow is open. ClosingHedgeManager deactivates all rules.

Notes:

l If you manually reprice a working hedge order under the control of an assignedrule, the rule continues to apply as it would have had you not manually repricedthe hedge order.

l You must mark a ruleActive for it to be in effect.

l You can havemore than one rule active for the same leg of the same spread.

l When closing theHedge Managerwindow, it prompts you to save or not saverules you modified.

To add a rule:

1. Right-click the bottom half of theHedge Managerwindowand click Add Rule from thecontext menu.-or-Move an Autospreader spread from theAutospreader Manager or Marketwindowusing thedrag and drop function.

A new row appears.




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 DescriptionSpread The name of the spread for which you want to create a rule.

Select the spread name from the drop-downmenu.

Leg Any leg associated with the selected spread.

Select the leg name from the drop-downmenu. Selecting All creates rules for all legsof 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 HedgeManager reacts and initiatesan action. The available triggers are:

l Diff Qty

l Opposite Qty

l Ticks Away

l QtyRatio

l Time (ms)

l Custom

Trigger DescriptionDiff Qty Total quantity of working orders at the opposite inside market minus

the quantity starting at the level of the working hedge order.




Example: In the screen below...

...ignoring position in queue, your 1 unfilled hedge order is, worst case, 85 lotsaway from the inside offer. If your Diff Qty is set as <= 15, the rule triggers. (100-85=15)

Trigger DescriptionOpposite Qty The insidemarket quantity opposite theworking hedge

order.


…the quantity of the insidemarket opposite theworking hedge order is 100. Ifyour Opposite Qty is set as <= 100, the rule triggers.

Trigger DescriptionTicks Away The number of ticks away from fully crossing your working hedge order.


...your working 50 lot hedge order is 4 ticks away from filling the total quantity. Ifyour Ticks Away is set as >= 4, the rule triggers.




Trigger DescriptionQty Ratio 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 contractsas opposed to the differential.


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

Trigger DescriptionTime (ms) The number of milliseconds before an action is automatically taken.

Note: 1000 milliseconds = 1 second. Max is 99999milliseconds = 99 seconds.

Example: You select a Time trigger and enter a Value of 5,000milliseconds. A 5 secondcountdown begins as soon as the hedge order is legged.When 5 seconds elapse, thedefined Action triggers.

Trigger DescriptionCustom 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.

EqualityColumn DescriptionEquality 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 istrue. Operators are:

l Less than: <

l Less than or equal to: <=

l Greater than: >

l Greater than or equal to: >=




Column DescriptionEquality applies to all Triggers except Time.

ValueColumn DescriptionValue 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 Triggersexcept Time.

Note: When Qty Ratio is selected as the Trigger the value is interpreted as apercentage. When Time is selected as the Trigger the value is interpreted inmilliseconds

Example: If you set theQtyRatio Value to < or <= 50% and the current depth in themarket is at 45%, action is taken. If you set theQtyRatio Value to < or <= 40% and thecurrent depth in themarket is at 45%, no action is taken.

Action

The action to take on the hedge order when the rule istriggered.

Action DescriptionFill w/Lmt Cancel the working hedge order and send a limit order at a price to fill the

entire working quantity.

Cross Inside Cancel the working hedge order and send a limit order to cross at the bestinside market price.

Payup Cancel the working hedge and replace with a limit order working at the payupprice you specify in positive or negative ticks.

Note: Selecting the Payup action enables the Payup and Repeat fields in theRules pane.

Join Best Cancel the working hedge order and send a limit order at the same side bestinside price or an offset of the best inside price.

Note: Selecting the Join Best action enables the Offset and Repeat fields inthe Rules pane.




Notification

Theway you are alerted when a rule is triggered.

Tip: You can set a Notification without setting an Action.

Column DescriptionFlash The Spread and Leg cells for the related row in the Working Orders pane

blink gray for 10 seconds.

Sound Plays a sound you set under the Hedge Manager event in the Sounds tab onthe Properties menu.

Flash & Sound Both the Flash and Sound attributes alert you to the Trigger.

PayupColumn DescriptionPayup The payup value when you select the Payup Action.

RepeatColumn DescriptionRepeat 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 theQtyRatio is lessthan or equal to 25%, you will payup 1 tick up to 10 times or until the unhedged ordercompletely fills.

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

Edit and Formula




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




Hedge Manager Context Menus

In theHedge Managerwindow, theWorking Orders pane and Rules pane each havetheir own context menus. Right-click in each pane to access the context menu.

l Working Orders pane context menu

l Rules pane context menu

The availablemenu options for theWorking pane include:

l Find Control Panel: Displays the Control Panel.

l Show Rules: Displays the bottomRules panewhen it is hidden.

l Hide Rules: Hides the bottomRules panewhen it is displayed.

l Show/Hide Columns: Lets you select which columns to show.

The availablemenu options for the Rules pane include:

l Find Control Panel: Displays the Control Panel

l Add Rule: Adds another row to the Rules pane.

l Delete Rule(s): Removes the selected rule(s) from the Rulespane.

l Clone Rule(s): Copies and pastes an existing rule for easyediting.

Hedge Rule Builder OverviewTheHedge Managerwindow includes Hedge Rule Builder, which helps you create simple orcomplex rules using a drag-and-drop interface. Hedge Rule Builder provides a collection ofbuilding blocks that helps you specify actions to take on a hedge order. The following HedgeRule Builderwindow shows a formula that pays up one tick to try to fill a hedge order if it hasbeen in themarket for more than five seconds.

HedgeRule Builder window

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




l Assemble basic or complex rules using an intuitive drag-and-drop approach.

l Createmore detailed and specific formulas that can react tomultiple triggers usingprices and quantities.

l Create a library of rules that you can re-usewith the same or different spreads, so youcan 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 themarketfor five seconds (first trigger), which then determines how far away the leg is from the insidemarket (second trigger). Based on the condition, the rule either uses payup ticks (first action)or crosses the insidemarket (second action).





Launching Hedge Rule BuilderTheHedge Rule Builder can be accessed from either theHedge Managerwindowor theAutospreader Configurationwindow.

To access from the Hedge Manager window

You can access the Hedge Rule Builder by clicking theRule Builder icon in themain HedgeManagerwindowor in an individual rule, as shown in the following Hedge Managerwindow.

HedgeManager window

To access from the Autospreader Configuration window

You can access Hedge Rule Builder from theAutospreader Configurationwindow. For eachleg in the spread, you can click either the Pre Hedge Rule or Post Hedge Rule field to displaytheHedge Rule Builderwindow, as shown in the following illustration.

Autospreader Configuration window




The Hedge Rule Builder WindowTheHedge Rule Builderwindow is where you construct andmanage your rules. The followingillustration and table describe the sections of theHedge Rule Builderwindow.

1. Formula Building Blocks

The top section of theHedge Rule Builderwindow contains the building blocks you can use tocreate formulas for your rules.

Blocks DescriptionConditionally executes a statement depending on the value of an expression. Usethis to createmore complex nested rules.

Example: IF Time>5000[ms] THEN Payup [Tick 1, Payup 0] ELSE CrossInsideUse 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 examplebelow, 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




Blocks DescriptionLess than or equal to operator.

Example: Ticks Away <= 5Greater than operator.

Example: Ticks Away > 5Greater than or equal to operator.

Example: Ticks Away >= 5Equal to operator.

Example: Ticks Away == 5Not equal to operator.

Example: Ticks Away <> 5Addition operator.

Example: Ticks Away + 2Subtraction operator

Example: Ticks Away - 2Multiplication operator.

Example: Ticks Away * 2Division operator.

Example: Ticks Away / 2Use this to differentiate adding or subtracting based on hedge orders that are buysor sells.

For more information, refer to Formula Building Blocks.Use this to differentiate greater than or less than based on hedge orders that arebuys or sells.

For more information, refer to Formula Building Blocks.Contains market prices and quantities from the hedge leg that can be incorporatedinto a formula rule.

For more information, refer to Hedge Leg Fields.Use this to enter a time inmilliseconds 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.




Note: Hedge Rule Builder uses the following precedencewhen evaluating rules with multipleoperators:

1. Constant values, parentheses, negation operator (-), Time action2. Multiplication and division operators (*, /)3. Addition and subtraction operators (+, -, +/-)4. Logical comparison operators (<, >, <=, >=, >/<)5. Equality comparisons (==, <>)

2. Formula Canvas

The formula canvas provides theworking area for your formula. You drag and arrange theformula building blocks into the different areas in the canvas until you create a well-formedformula. The initial canvas includes the following sections:

l If section, where you define the conditions that trigger the rule.

l Then section, where you definewhat actions to takewhen the If condition evaluates toTRUE.

l Else section, where you optionally define actions to takewhen the If condition evaluatesto FALSE.

Tip: If you need tomodify or delete an item on the canvas, you can right-click the item andselectModify or Delete from the item’s context menu.

The following canvas shows a formula that uses only the If and Then sections.

HedgeRule Builder canvas

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




HedgeRule Builder canvas

3. Formula Status

The Status area beneath the canvas updates the status of the formula as you build it. Whenthe current state of a rule is complete and syntactically correct, the Status area shows ValidFormula; 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 thewindowprovides buttons tomanage theworking formula and to accessrules in the rules library.

Button DescriptionRemoves 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.




Formula Building BlocksIn addition to the standard mathematical operations, the Hedge Rule Builder provides thefollowing special actions that take into account whether the hedge order is a Buy or a Sellorder.

Action DescriptionAutomatically adds or subtracts expression values, as follows:

l + For buy hedge orders, - for sell hedge ordersl + 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 ordersl > For sell hedge orders, < for buy hedge orders

To illustrate, suppose you want to re-price a hedge order if the price of theworking hedgeorder is too far away from the insidemarket. Instead ofwriting separate rules for Buy and Sellorders, you can use these Buy/Sell operators to handle both types of orders. In the followingexample, you want to take action when the price of theworking hedge order is six or moreprice levels away from the same-side insidemarket.


If the hedge leg is a Buy order, the +/- operator causes the rule to look at the insidemarketprice on the Bid side and subtracts 5 from the price; for a Sell order, it looks at the insidemarket on the Ask side and adds 5 to the price. Then the rule uses the >/< operator tocompare the expression and determinewhether to pay up 3 ticks if this adjusted price isgreater 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 DescriptionAskPrc Insidemarket Ask priceAskQty Insidemarket Ask quantityBidPrc Insidemarket Bid price




Field DescriptionBidQty Insidemarket Bid quantityDiffQty Total quantity of working orders at the opposite insidemarket minus the

quantity starting at the level of the working hedge order

Note: Refer to Understanding Pre and Post Hedge Rules when using thisfield in Pre or Post Hedge rules.

HedgePrc Price of the working hedge orderHedgeWorkingQty Total quantity of all the hedge orders from the same spread order working at

the same price levelLTP Last traded priceLTQ Last traded quantityMinimumPriceIncrement Theminimum tradable price increment for the leg.OppositePrc Insidemarket price opposite the working hedge orderOppositeQty Insidemarket quantity opposite the working hedge orderQtyRatio Ratio of orders between the working hedge order and the opposite inside

market

Note: Refer to Understanding Pre and Post Hedge Rules when using thisfield in Pre or Post Hedge rules.

SameSidePrc Insidemarket price on the same side as the working hedge orderSameSideQty Insidemarket quantity on the same side as the working hedge orderTicksAway 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 DescriptionPayup 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 notcompletely filled and is still working, as long as the rule evaluates to true. Forexample, if a rule includes a Time trigger set to 10000ms with a payup action forone tick and a repeat value of three, the working hedge order pays up one tick everyten seconds for a total of three times unless the order completely fills.

Fill w/Limit Cancels the working hedge order and sends limit order at a price sufficient to fill theentire working quantity.

Cross Inside Cancels the working hedge order and sends a limit order to cross at the best bid orask price.

Join Best Cancels the working hedge order and sends a limit order at the same side bestinside price or an offset of the best inside price.

The Join Best offset defines the price levels from the best insidemarket: Positiveoffsets are price levels away from the best insidemarket and negative offsets areprice levels better than the best insidemarket.

Notify Provides visual and audio clues to alert you that a rule triggered.




Creating and Editing RulesEvery hedge rule contains three components: If, Then, and Else. The If and Then componentsare required for every formula, while the Else component is optional. When creating aformula, you need to drag formula blocks into each section to create the logic and actions forthe formula.

Tip: If you place blocks in thewrong order, you can rearrange thembydragging them toanother position within the same section. For example, if you place the > block after the Valueblock, you can just drag it between the Field and Value blocks.

To help you understand how to use the formula blocks, this procedurewalks you through theprocess of creating the If section for a formula. In this example, you create a rule that triggersto send a notification when the number of ticks a legged order is away from themarketexceeds five.

To create an If-Then rule using Ticks Away:

1. Open theHedge Rule Builderwindow.

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; clickOK.The TicksAway building block is added to the If section.





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


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

Value dialog box

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


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

Action dialog box




8. ClickOK.The green background indicates the formula is valid.


You successfully created an If-Then rule using Ticks Away.

You can use this procedurewhen you want to create a rule that is not tied to a specific spreadshown in theHedge Managerwindow.

To create a generic rule not tied to a specific spread:

1. From theHedge Managerwindow, click theHedge Rule Builder icon.TheHedge Rule Builderwindowappears.

2. Specify the If condition by dragging blocks into the field.The following example uses several building blocks to create a compound conditionthat triggers onlywhen an order is legged for more than five seconds and is more thanfive ticks away from themarket.





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 anotification.


4. If desired, specify the Else condition by dragging blocks into the field.

5. If the formula status is valid, clickOK.

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 inthe Rules section of theHedge Managerwindow.

To create a formula for a specific spread:

1. In theHedge Manager windowRules section, right-click and select Add Rule from the contextmenu.

2. In the rule row, specify values for the Spread and Leg fields.

3. In the rule’s row, select Custom from the Trigger drop-down.The Edit and Formula fields are enabled.

HedgeManager window

4. Click the Hedge Rule Builder icon for the rule.TheHedge Rule Builderwindowappears.




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


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 longthe order has been legged.


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

l For the If section, check to see if the order has not been legged for five or more seconds.

l For the Then section, pay up one tick.

l For the Else section, cross themarket.

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), clickOK.

HedgeManager window

You successfully created a formula for a specific spread.




Working with the Rules LibraryHedgeManager can store rules so that you can easily re-use them at different times and evenfor 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 theHedge Rule Builderwindow, create a valid rule, such as the following which paysup one tick if it has been in themarket for more than five seconds:





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

Save Rule Asdialog box

3. In theName field, type a name for the formula.

4. Click Save.

Note: HedgeManager rules are saved as a template andmodifications to an existingsaved rulewill only apply to the rule at the location ofwhere the rulewas saved. Forexample, assume a rule is created, named and saved as ‘OppQty100’ in the HedgeManager rules pane. If the rule ‘OppQty100’ was accessed andmodified for a spread inthe Autospreader configuration window, the saved changes would only apply to therule 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:


2. Click Load Rule.The Load Rule dialog displays.





3. Click to select the desired rule, and click Load.

4. The rule appears in theHedge Rule Builderwindow.

You successfully loaded a rule from the rules library.

To delete a rule from the rules library:


2. Click Load Rule.The Load Rule dialog displays.


3. Click to select the desired rule, and click Delete.

You successfully deleted a rule from the rules library.




Activating and Deactivating Hedge RulesAfter you created a hedge rule you can activate or deactivate them for your spreads. This canbe done from theHedge Managerwindow,Autospreader Configurationwindow, or theDynamic Settings tab.

In the example below, the Pre Hedge rule in Leg A and the Post Hedge rule in Leg B have beenactivated in theDynamic Settings tab. All hedge orders in Leg Awill be evaluated with therule that was set in the Autospreader configuration before hedge orders are sent into themarket. All hedge orders in Leg Bwill be evaluated with the rule after the hedge orders aresent into themarket. No rules will be applied to Post hedge orders in Leg A and Pre hedgeorders in Leg B.

DynamicSettings tab

To activate a rule from the Hedge Manager window

1. Open theHedge Managerwindow.

2. In theRules section of thewindow, locate the desired spread and click to enable (ordisable) theActive check box.

HedgeManager window

You successfully activated a rule from theHedgeManager window.




To activate a rule from the Autospreader Configuration window:

1. Open theAutospreader Configurationwindow.

2. For the desired spread leg, click the Pre Hedge Rule or Post Hedge Rule field.TheHedge Rule Builderwindowappears.





3. In theHedge Rule Builderwindow, define or load a valid formula. ClickOK.The rule appears in the field and is automatically activated.


4. Repeat the process for each spread leg rule you want to activate.

5. When finished, clickOK to close thewindow and apply the rules to the spread.

You successfully activated a rule from the Autospreader Configuration window.




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 theRules tab.TheRules 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.




Understanding Pre and Post Hedge RulesAutospreader allows you to create and apply Pre and Post Hedge rules to the individual legsof a spread using the per-leg settings in the Autospreader configuration. You can set up PreHedge rules for any hedge leg to be evaluated and trigger a rule before sending a hedgeorder into themarket after a quoting order fill. You can apply Pre Hedge rules only to spreadlegs in the Autospreader configuration.

For example, you could create a Pre Hedge rule that applies a negative payup tick to thehedge order when the best insidemarket quantity at the crossing market is greater thansome specified value. The following illustration shows a formula that applies a negative payuptick to the hedge order price if the quantity on the opposite side insidemarket is greater than50.When a quoting order fill generates a hedge order, Autospreader immediately evaluatesthe 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 theAutospreader configuration.





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 whenthey include theDiffQty orQtyRatio fields. When theDiffQty orQtyRatio fields are used for aPost Hedge rule, all the depth starting at your working hedge order and including your hedgeorder quantity is compared with the quantity at the opposite insidemarket. When DiffQty orQtyRatio fields is used for a Pre Hedge rule, only your hedge order quantity is compared withthe quantity at the opposite insidemarket. For example, if a Pre Hedge rule is set with DiffQtyorQty Ratio fields and your hedge order is quantity is 5 and the opposite insidemarketquantity is 10, theDiffQtywould be 5 and theQty Ratio is 2 or 200%.

If you want to compare the difference of both sides of themarket without your own order,you can compare using Opposite Qty and Same side Qty fields. For example, create thefollowing rule in Hedge Rule Builder: 'If Opposite Qty - Same side Qty is > x, then take action'.

Notes:

l When a Pre Hedge rule evaluates to true, the action defined in the rule overrides any ofthe standard payup ticks set for the leg in the Autospreader configuration. The payupticks set for the leg in the configuration apply onlywhen the Pre Hedge rule evaluatesto false.

l When you set a Pre or Post Hedge rule for a spread leg in the Autospreaderconfiguration, Autospreader automatically activates it and applies it to every hedgeorder.

l Pre Hedge rules can only apply to spreads that are either launched in Desktopmode orlaunched to an Autospreader SE 7.2 server or higher. Spreads launched to a pre-Autospreader SE 7.2 server will not support the Pre Hedge rule functionality and PreHedge rules will not be applied to a hedge order.



Chapter 2: Creating Spreads

Chapter 2:Creating Spreads

Follow these procedures to create andmanage your spreads:

l Creating a NewSpread using Drag-and-Drop

l Creating a NewSpread using theMarket Grid

l Adding Legs to an Existing Spread

l Deleting Legs from an Existing Spread

l Opening an Existing Spread

l Replacing an Expired Contract

l Specifying aMinimumHedgeQuantity

l Activating a Custom Pricing Model

Notes:

l Configuring a spreads’ parameters and the values associated with them are dependent on theproducts you trade for each leg of the spread.

l Autospreader and Autotrader orders are automatically deleted when you exit X_TRADER.

Multi-Legged SpreadsHedging logic for multi-legged spreads is as follows:

l Once a quote leg is filled on amulti-legged spread, the prices at which orders are senton the remaining legs are based on prices Autospreader was leaning on at the time ofthe fill, rather than the current market.

l Hedging logic for partial fills on multi-legged spreads is the same as for two-leggedspreads.




Creating a Spread using the Market GridTo 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 theMarket Explorer, and open aMarket window for those products.

3. In theMarket Grid, click at least two products to select them.

Notes:

l Hold down the CTRL key to select multiple products.

l 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 theMarket Grid to open the context menu.

5. Click Autospreader.

TheAutospreader Configuration dialog box appears.

Notes:

l The contracts that form the spread legs populate Autospreader in the order in whichthey appear in the grid. To change this order, use the leg drop-down list to select adifferent contract.

l If needed, you can manually expand the size of theAutospreader Configuration dialogbox to view as many legs as possible. Or, you can use the horizontal scroll bar to viewand edit the other legs.

6. Set the spread parameters in theAutospreader Configuration dialog box. Refer to theConfiguration Dialog Box Field Descriptions on page 21.

7. ClickOK.

TheAutospreader Manager dialog box opens.

8. From theAutospreader Manager dialog box, click the spread you want to trade to highlightit.

9. Click Launch.

Autospreader opens with the selected spread and you can begin trading.

You successfully created a new spread from theMarket.




Creating a Spread using Drag-and-DropTo 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.


3. From the Control Panel, click theWindowmenu and choose Autospreader.

- or -

From the Control Panel, click the icon. TheAutospreader Manager dialog box appears.

4. Click New.

TheAutospreader Configuration dialog box opens.

5. In theMarket Grid,with the cursor over the contract you want, click and hold themousebutton.

6. Continue holding themouse button and drag the cursor to heAutospreader Configurationdialog box.

When the cursor leaves thewindow, it changes to a circlewith a diagonal line through it.When the cursor enters a window, it changes to include a plus [ + ] sign.

7. Release themouse 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 theAutospreader Configuration dialog box. Refer to theConfiguration Dialog Box Field Descriptions.

10. ClickOK.

TheAutospreader Manager dialog box opens.

11. From theAutospreader Manager dialog box, click the spread you want to trade to highlightit.

12. Click Launch.

Autospreader opens with the selected spread and you can begin trading.

You successfully created a new spread in Autospreader.




Adding Legs to an Existing SpreadTo 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 aretraded.



- or -

From the Control Panel, click the icon.TheAutospreader Manager dialog box displays.

4. Select the name of the spread and click Edit.

TheAutospreader Configuration dialog box displays.

Tip: Manually expand the size of this box if you can not view all the fields.

5. From theMarket Grid, click to select the contract you want to add.

6. Drag and drop the contracts to theAutospreader Configuration dialog box.

7. Edit the settings tomanipulate the behavior of the spread.

8. ClickOK.

The spread window and various legs of the spread display.

You successfully added legs to an existing spread.




Deleting Legs from an Existing SpreadTo delete legs from an existing spread:


- or -

From the Control Panel, click the icon.TheAutospreader Manager dialog box displays.

2. From theAutospreader Manager dialog box, click the spread containing the leg you want todelete.

3. Click Edit.

TheAutospreader Configuration dialog box displays.

4. Click theDelete button in the specified leg column.

When a leg is deleted, theMD Trader window for that spread leg is not automatically closed.

You successfully deleted legs from an existing spread.

Opening an Existing SpreadTo open a previously saved Autospreader spread:

1. Start X_TRADER and open up a connection to the exchange(s) where the spread productsare traded.



- or -


4. From theManager 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.




Replacing an Expired ContractAutospreader has controls in place to prevent you from trading expired contracts. Whencontracts expire and roll to the next expiration month, theAutospreader Configurationdialog boxmarks them as "Expired" and allows you to choose another contract using a drop-down list.

Notes:

l If you save the spread while expired contracts exist, you are prompted to confirm theconfiguration.

l If you launch a spread that contains expired contracts in it, Autospreader prevents youfrom 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 ModelYou can use your own personalized custom pricing models in MDTrader and Autospreader.

For information on creating and activating Custom Pricing Models, see theDocumentssection of the Development Support Website at: http://www.tradingtechnologies.com/dts.



http://www.tradingtechnologies.com/dts


Protecting your SpreadsTheOffset Volume Multiplier protects you from being legged (i.e., filled on one leg but notthe other). It does this by allowing you to define a multiple of the order quantity that thehedge leg that must be available in order for Autospreader to quote at a particular price. Theorder quantity times theOffset Volume Multiplier is used by the quoting leg(s) to determinewhere to quote. This field accommodates decimals up to three places and is set to 1 bydefault.

Example: Quote Against a Minimum of Two Times the Size of the Hedge Order Quantity

You want to quote against a minimumof two times the size of the hedge order quantity.Entering a value of 2 in theOffset Volume Multiplier field in the hedge leg will causeAutospreader to determine the price level at which two times the size of the order quantityexist 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 minimumof one-half the size of the hedge order quantity.Entering a value of .5 in theOffset Volume Multiplier field in the hedge leg will causeAutospreader to determine the price level at which one-half the size of the order quantityexist in the hedge leg in order to determine the price at which it will quote in the other leg.




Understanding Quoting Mode OptionsA quoting order for a spread can only be submitted into themarket if its associated hedgemarket(s) has a current quantity that meets or exceeds theminimumhedge quantityrequirement. TheQuoting Mode setting in theAutospreader Configurationwindowdefineshowquoting orders react to changes in theminimumhedge quantity. There are three optionsavailable:

l All or None: If the hedgemarket quantity drops below theminimumhedgequantity, the associated quoting order will be pulled from themarket and willnot be resubmitted even if sufficient hedgemarket volume reappears at somelater time. This is the default setting.

Note: Spread configurations created in versions of X_TRADER prior to 7.11.1 willbe run as All or None by default.

l All or None w/ Resubmit: If the hedgemarket quantity drops below theminimumhedge quantity, the associated quoting order will be pulled from themarket and will be resubmitted if sufficient hedgemarket volume reappears at alater time.

Note: The spread order will persist and remain working even though no quotingorders areworking in themarket; quoting orders will automatically beresubmitted if sufficient hedge quantity returns.

l Dynamic Inside Lean: This option only leans on the insidemarket of the hedgelegs and, therefore, only considers the size of the hedge leg’s insidemarket. Ifthat volume is less than theminimumhedge quantity, the quoting order will bereduced to the largest size that could be fully hedged at the insidemarket of thehedge leg(s).

Notes:

l The quoting order quantitywill only increasewhen a full or partial fill hasoccurred in the quoting leg and the hedge leg’s insidemarket quantity hasincreased to accommodate a larger quoting order.

l The spread order will persist and remain working even though no quotingorders areworking in themarket; quoting orders will automatically beresubmitted if sufficient hedge quantity returns.

l If the quoting order is decreased due to reduced liquidity in the hedge leg’sinsidemarket, that quoting order’s sizewill not automatically be increasedif the hedge leg’s market volume subsequently increases.

l Successive downward quantity reductions can occur in the quoting leg incases where the hedge liquidity trends downward.




Specifying a Minimum Hedge QuantityA quoting order for a spread can only be submitted into themarket if the associated hedgemarket(s) have a current quantity that meets or exceeds theminimumquantity to leanagainst. Use theBase Volume Lean andOffset Volume Multiplier to quantify theminimumhedge quantity needed to lean against using the following formula:

(Order Quantity) * (Offset VolumeMultiplier) + (Base Volume) =Minimum contracts neededto lean against

Examples:

l An order quantity of 10 with an Offset Volume Multiplier of 1 and a Base VolumeLean of 25 needs 35 contracts available to lean against.






Trading in YieldYou can trade fixed income and interest rate spreads as a difference in yield using theBasedOn property in theAutospreader Configuration dialog box.

You define the Yield properties for each leg of the spread. The properties are identical infunction to theUser-Defined Price (UDP) column in MDTrader. The configured spread pricesdisplay in yield in the spread pane. The legs display the defined yield in theUDP column in MDTrader.




Yield Field DescriptionsProperty DescriptionYield Type Displays price as a percentage representing annual rate of return.

l No Conversion: The instrument price is in yield. Conversion not necessary.

l Yield toMaturity: The spread price is based on the rate of return if helduntil the maturity date. An algorithm calculates the price accurate to sixdecimal places. All fields are required unless otherwise noted.

l (100-Price): The yield is calculated by subtracting the instrument pricefrom 100. Calculation for the Euribor.

l ((10000-Price)/100): The yield is calculated by subtracting the instrumentprice from 10000 and dividing the result by 100. Calculation for theEurodollar.

l (((10000-(Price+Strip Base))/100): Eurodollar Strip type yield, a base(settlement) is added to the instrument price before the Eurodollarconversion. Calculation for the exchange traded Strip, Pack or Bundle.

l ((100000-Price))/1000): 30 Day Fed Fund. The yield is calculated bysubtracting the instrument price from 100000 and dividing the result by1000.

l Custom PricingModel: A pricing model you activated in X_TRADER. Forinformation on creating, registering, and activating Custom PricingModels, see the Development Support Website athttp://www.tradingtechnologies.com/dts

Convert to365

Converts 360 days to 365 days.

Strip Base Average settlement price of the contracts in an exchange traded Strip, Pack orBundle. The Strip Base is added to the instrument price before the conversion.

CouponFrequency

Number of coupons per year. (Annual, Semi Annual, Quarterly, Monthly) Defaultvalue is Semi Annual.

Coupon (%) Annual interest rate (as a decimal). Must be greater than 0.1 and less than 100.00and accurate to four digits. Default value is 0.1.

Day CountType

The convention used for counting the days between two dates. The default valueis Actual/Actual.

l Actual: The real number of days between two dates. Leap year counts for366 days.

l 360: The year has 360 days.

l 365: The year has 365 days.

l 30: If the second date falls on the 31st of the month it is changed to the30th only if the first date falls on the 30th or 31st.

l 30E: If the second date falls on the 31st of the month it is always changedto the 30th.

SettlementDate

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



http://www.tradingtechnologies.com/dts


Property DescriptionMaturityDate

The redemption date of the bond. Must be greater than the settlement date andgreater than today.

FuturesConversionFactor

(Optional)

The factor by which the futures price is multiplied if the specified bond isdelivered against it. Must be greater than 0.1 and less than 5.0 and accurate tofour digits.

EOMConvention

Determines whether coupon payments always occur on the last day of the monthif the settlement date falls on the last day of the month.

Optional Available when Yield toMaturity is the Yield Type. Enables the following options:

l First Coupon Date: The first real coupon date. Must be less than thematurity date and be a valid coupon date.(Must be specified if the bond has an odd first coupon period and thesettlement date falls within this odd first coupon period)

l Dated Date: The date upon which interest accrual begins. Must be lessthan the first coupon date.(Must be specified if the bond has an odd first coupon period and thesettlement date falls within this odd first coupon period)



Chapter 3: Trading Spreads

Chapter 3:Trading Spreads

Autospreader provides many different options for trading the spreads you create. Among theprocedures covered here are:

Note: When trading spreads in simulation mode certain restrictions apply, refer to Trading inSimulation Mode.

l Pre-Trade Risk-Checking

l Trading on an Autospreader Strategy Engine

l Trading in theMarket Grid

l Changing Customers

l Overriding the Tick Size

l Freezing Autospreader Orders

l QueueHolder Setup Tasks

l Using Dynamic Payup Ticks

l Setting the Inside Smart Quote

l Using Smart Quote Limit

l Using Basic Slop

l Using Advanced Slop




Pre-Trade Risk-CheckingWhen an Autospreader order is entered, all potential outright orders, including all quotingand all possible hedge orders, are position risk-checked before being submitted into themarket. If any of the potential orders fails the risk check, no orders are placed and thewholesynthetic spread order is pulled.

Once your Autospreader order passes the risk-check and is working in themarket:

l Removing the spread order deletes all quoting and position reserve orders for thatspread.

l If position reserve orders are changed in anyway (e.g., deleted):

l Non-legged spread orders, including all their quoting orders, are deleted .

l Legged spread orders are not deleted, hedge orders remain working, but theirquoting orders are deleted.

Two-Legged Spread Example: You configure a two-legged spread with a 1 to 1 ratio andquoting in both legs. You enter a spread order to buy one spread. All possible orders, the twoquoting orders and the two hedge orders are submitted and position risk-checked. Theresulting worst case position for this example is long two contracts in Leg A and short twocontracts in Leg B. This amount must be allowed by pre-trade risk, otherwise the spread is notallowed.

Three-Legged Spread Example: For multi-legged spreads, the position reserve orderquantitywill 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. Youenter a buy order in the spread: a buy order in leg A, a sell order in Leg B and a buy order inLeg C. Along with the three quoting orders, three hedge orders are submitted and positionrisk-checked as held orders, a position reserve aggregated sell order quantity of two in LegA and Leg C and a position reserve aggregated buy order quantity of two in Leg B. Theresulting worst case position for this example is long three contracts in Leg A and shortthree contracts in Leg B and long three contracts in Leg C. This amount must be allowed bypre-trade risk, otherwise the spread is not allowed.

Queue Holder Example: For spread configurations using QueueHolder, the position reserveorder 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 QueueHolder setting of two. You enter a buy order in the spread: three buy orders in Leg A andthree sell orders in Leg B, resulting in a total of six working orders at six different price levelsper spread order. Along with the submitted quoting orders, consolidated hedge orders aresubmitted and position risk-checked as held orders, a position reserve sell order quantity ofthree in Leg B and a position reserve buy order quantity of three in Leg A. This amount must




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

Notes:

l TheDisplay Position Reserve in Order Book and Audit Trail property in theAutospreader tab on the Properties menu determines whether the position reserveorders display in theOrder Book and Audit Trail.

l In theOrder Book, the position reserve rowbackground color is orange.

l The Audit Trail specifically notes when risk-checking rejects an order with messages like: WCP12L > PLMT10

l WCP=Worst Case Position

l PLMT= Position Limit

l Themessage reads:Worst Case Position of 12 long is greater than Position Limit of10




Trading on an Autospreader Strategy EngineTheAutospreader Managerwindowgives you the option of launching your spreads on andtrading from an Autospreader Strategy Engine (Autospreader SE).

Autospreader SE is a server-class product designed to reduce latencywhen performing user-defined synthetic spread trading. By placing servers in close geographic proximity to themarkets being traded, Autospreader SE contributes to reduced legging andmore successfulsynthetic spread fills.

Before you can trade fromAutospreader SE, you must log on to it. You log on to it the sameway you log on to a TT exchange gateway.

l Logging on to an Autospreader SE

l 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 icon.2. From theGuardianmenu bar, click the Filemenu and choose Trader Login.

The TT Exchange Login dialog box appears.

3. Select the Autospreader SE server from the Exchange List.

4. Enter the login data provided by your X_TRADER Administrator.

5. Click Login.




After your password is authenticated, a checkmark appears in the box to the left of theAutospreader server name.

6. Click Close.

7. From theGuardianmenu bar, click the Filemenu and choose Exit to exit Guardian.

You successfully logged into an Autospreader SE.




To launch a spread on an Autospreader SE:


- or -


2. From theManager 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 ontomore than one Autospreader SE, select the appropriate server fromthe drop down list.

5. Choosewhich window to launch the spread into and whether you want to launch thecorresponding legs.

6. Click Launch.

Autospreader opens with the selected spread on the Autospreader SE.

You successfully launched a spread on an Autospreader SE.




Notes:

l Spread orders cannot be submitted from the desktop Autospreader until it has receivedconfirmation from the server. TheMDTrader quantity controls and theMarket Gridcontract row appear maroon to indicate the non-tradable state until the confirmation isreceived.

l All spreads launched onto a server display the server name as a part of the spreadname. For example, the spread "ES_NQ" launched to the server "ASE-A"will display as"ASE-A ES_NQ."

l Spread configurations can run on multiple servers as well as on the local client at thesame time.

l You can save the spread and the server you launch it on as a part of your workspace.When you open theworkspace, all spread configurations automatically relaunch on theappropriate servers.

l All Autospreader spreads launched onto an Autospreader SEwill use the X_TRADERglobal property settings that apply to Autospreader. This includes the Implied settings.

For more information on Autospreader SE, including its architecture, installation andconfiguration, refer to The Autospreader Strategy Engine SAM.

In general, traders should not use Algo SE as a replacement for Autospreader SE. However, there are onlytwo conditions under which you should use Algo SE for launching spreads:

l The trader is using ADL™ to submit Autospreader SE orders, and wishes to have theability tomanually trade out or submit an Autospreader order as a complement tohis ADL-driven spread trading, or

l The trader requires the Avoid Orders That Cross functionality for Autospreaderorders. Autospreader SE does not support this X_TRADER property, whereas AlgoSE does. Thus, prior to the release of Algo SE, traders wishing to use thisfunctionalitywere restricted to running their Autospreader orders from their X_TRADER desktop computers. With Algo SE, these traders may now launch andsubmit Autospreader spread orders to an Algo SE, since it will abide by the AvoidOrders That Cross setting in X_TRADER.




Trading in the Market GridYou can view and trade your Autospreader spreads in theMarket Grid. To do so, drag anddrop your spreads from theAutospreader Managerwindow into theMarket Window.

Once in theMarket Grid, Autospreader spreads are grouped together and displayed below allother Product Types.

You can trade your spreads using theOrder Entry and Floating Order Entry panes. In addition,with the Top of Book color property enabled in the Trading tab, your spread orders willhighlight when a working leg order is at the insidemarket.

Notes:

l You can only drag and drop spreads in theMarket Grid from theAutospreaderManagerwindow.

l TheDepth option in theMarket Grid is disabled for rows containing Autospreaderspreads.

l Selecting MDTrader from theMarket Grid context menu will only launch theMDTraderfor the spread and not the legs. To launch the spread and leg orders, use theAutospreader Managerwindow.

l You can display a spread in Market Grid and enable and use Dynamic Settings from thespread's MDTrader.

l Inapplicable context menu options, such as launching Quote Board, are disabled.

l You can change customers for a spread in theMarket Grid by using the CustomerSelection List.




Changing CustomersYou can trade a single Autospreader spread for multiple customers.

l In theMarket Grid, you simply use the Customer Selection box to change customers.

l In theMDTrader spread pane you do this by enabling the Customer account nameproperty on theMD Display tab.

This feature, prevents you from having to create the same spread for different customers intheAutospreader Configurationwindow.

To change customers in MD Trader:

1. From the Autospreader spread pane, right-click to access the context menu and chooseProperties.

2. Click theMD Display tab.

3. Click to select the Customer account name property.

4. ClickOK.

5. On the spread pane, click the down arrow next to the customer name to choose anothercustomer.

You successfully changed customers.

To change customers in the Market Grid:

In theOrder Entry pane, click the down arrow next to the customer selection box to chooseanother customer.

You successfully changed customers.

Overriding the Tick SizeOverride Tick Size specifies the tick size of your spread and lets you view a greater range of




prices. TheOverride Tick Size setting is located at the bottom of the AutospreaderConfigurationwindow.

Example: Below are two Net Change spread displays with identical settings other than the ticksize; one is displaying the default Calculated Tick Size and the other is displaying the valuesset in theOverride Tick Size fields. For spread prices based on Net Change, the Calculated TickSize defaults to 25/100.

Do Not Hedge ExampleIn theDynamic Settings tabs, theDo Not Hedge option lets you determinewhether to send




hedge orders while Autospreader orders areworking.

Autospreader is designed to send a hedge order into the other legs of the spread upon aquoting order fill depending on your spread ratio. With Do Not Hedge enabled, hedge orderswill not get sent after quoting order fills.

TheDynamicSettings tabsappear under theMD Trader spread pane.

Example: Your spread configuration is setup to trade a 5 x 5 spread ratio and you enter aspread order quantity of 1.

You enable the Do Not Hedge setting in theDynamic Settings tabs. You receive a partialfill of 3 lots in a quoting leg, but with Do Not Hedge enabled, a hedge order for 3 lots isnot sent in the other leg.

While the spread is working you disable theDo Not Hedge setting. You receive a 2 lot fillin a quoting leg and a hedge order for 2 lots is sent in the other leg




Using Reload OrdersReload is an order that lets you execute a total spread order quantity by splitting the spreadorder into smaller disclosed quantities. When a disclosed spread order quantity is filled, thenext disclosed quantity order is submitted until the entire spread order quantity fills. Reloadorders can be used in conjunction with Sniper orders and can be submitted from either MDTrader or theMarket Grid.

When quoting in more than one leg and one of the leg orders is filled, the remaining quotingorders will continue to work in themarket to keep your queue position for the next disclosedspread 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 themarket 2 at atime.

Once submitted, theMDTrader the spread pane shows a working quantity of 2 (W=2) and anundisclosed quantity of 8 (U=8).




OffsetsYou can set the Reload order to enter themarket at the same price or a set number ofticks from the previously disclosed spread order.

Examples:

l A Reload Offset of 0 will submit the new spread order at the same price as theprevious spread order.

l A Reload Offset of 1 will submit the spread order at a price 1 tick from theprevious spread order away from themarket.

l A Reload Offset of -1 will submit the spread order 1 tick from the previous spreadorder toward themarket.

In the example above, a Reload offset of 1 is set for the 10 lot Reload spread order thatis working a 2 lot disclosed quantity at spread price of -0.0800 (W: 2U: 8 B: 0). Once the2 lot disclosed quantity is completely filled at -0.0800, a new 2 lot disclosed quantity isautomatically submitted at spread price of -0.0825 (W: 2U: 6 B: 2).

You can set the Reload Offset on theMD Properties screen which is accessed from thespread pane's context menu. In addition, you can also set the Reload Offset on the flyfrom theDynamic Settings Order tab, which is also accessed from the spread pane'scontext menu. The Reload Offset is applied to new spread order submissions and theoffset values cannot get modified for existing Reload orders working in themarket.







ProceduresTo 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.

TheMD Propertieswindowappears.

4. Under Enable Order Types, click to select theReload property.

5. In theDefault Reload Quantity field, type the quantity you want to disclose to themarketupon each Reload order submission.

6. In theDefault Reload Offset field, type the number of ticks you want to offset when yourReload disclosed quantity is submitted into themarket.

7. In theOrder Buttons section, ensureRLD appears as a selected Order Type.

8. ClickOK.

You successfully set up a Reload order in MDTrader.

To submit a Reload order in MD Trader:

1. On your spread pane, click theRLD button.

The quantity field splits into two columns.

2. In the left quantity field, type the total orderquantity.

3. In the right quantity field, type the disclosed orderquantity.

When you click theRLD button, it highlights yellowand themouse cursor changes to RLD, indicating aReload order will be placed.

4. Click theMDTrader grid at the appropriate pricelevel to place your order.

You successfully submitted a Reload order in MD Trader.




To submit a Reload Order in the Market Grid

1. Drag and drop spread(s) into theMarket Grid fromtheAutospreader Managerwindow.

2. Click a bid or ask cell in the appropriate instrumentrow.

The price seeds in theOrder Pane and the contractinformation immediately appears in theOrderSummary field.

3. Add or change any necessary information (e.g.,quantity, price).

4. From theAdvanced Setting click the ellipsis todisplay the settings.

5. Click to select Reload.

6. From the Parameters section enter theDisclose QtyandOffset.

Note: The previewpane to the right displays apreviewof the order.

7. To execute, click Buy or Sell.

You successfully submitted a Reload order in theMarketGrid.




Freezing Autospreader OrdersYou can freezeworking orders in Autospreader without losing your spot in the queue. Thisallows you to react to a rapidly changing market, freezing and unfreezing orders whenneeded.

Notes:

l The hot key function freezes all legs when the Autospreader pane has focus.

l Frozen orders do not requotewith price updates.

l TheDo Not Hedge Frozen Orders option lets you configurewhether or not you hedgefrozen orders upon fills and partial fills. You can toggle this option using theDynamicSettings tabs while you are trading.

l Orders immediately resume quoting when you unfreeze them.

Follow these procedures to freeze orders in Autospreader:

l Freezing Autospreader orders using themouse

l Freezing Autospreader orders using the "F" hotkey

l Preventing Hedges on Frozen Orders




To freeze Autospreader orders using the mouse:

1. From theMDTrader spread pane right-click to access the context menu and click DynamicSettings.

2. Click theQuote tab.

3. In Autospreader, click the Frz All button to freeze all working orders in all Autospreaderpanes.

- or -

Click the Frz <leg> button that corresponds to the Autospreader pane containing orders youwant to freeze.

The frozen working orders are color-coded on the right-side of the cell to indicate they arefrozen.

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 thecell to indicate they are no longer frozen.

You successfully frozen Autospreader orders using themouse.

To freeze Autospreader orders using the F hot key:

1. From theAutospreader Configuration dialog box, click theAdvanced Settings button.

2. In theAdvanced Setting dialog box, ensure theUse Hot Key option is selected.

3. ClickOK to exit theAdvanced Settings dialog box.

4. ClickOK to exit theAutospreader 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 thecell 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 thecell to indicate they are no longer frozen.

You successfully frozen Autospreader orders using the F hotkey.







To prevent hedge orders from being sent for frozen orders:

1. Right-click theMDTrader spread pane and click Dynamic Settings.

TheDynamic Settings tab appears.

2. When you want to prevent hedge orders from being sent after a frozen order is filled, click theDo Not Hedge Frozen Orders option.

You successfully prevented hedge orders from being sent for frozen orders.




Freezing Orders ExampleYou can freeze Autospreader orders to avoid losing your position in the queue.




Do Not Hedge Frozen ExampleWhen theDo Not Hedge Frozen Orders option is enabled, any frozen quoting orderthat receives a fill will not send hedge orders. All non-frozen quoting orders will stillsend hedges upon a fill.

Note: TheDo Not Hedge option disables hedge orders for all working orders.Therefore, when Do Not Hedge is enabled, theDo Not Hedge Frozen Orders option isgrayed out.

TheDynamicSettings tabsappear under theMD Trader spread pane.

Example: You freeze a 10 lot order and are partially filled on 4 lots with the Do NotHedge enabled. The 4 lot will not be hedged. You nowunfreeze the remaining 6 lotorder and it gets filled. The 6 lot is hedged because it is now a regular workingAutospreader order.

In addition, hedge order quantities are adjusted when quoted orders receive partial fill.

Example:

l Your spread is: Leg A Buy 8, Leg B Sell 4.

l You freeze Leg Awith Do Not Hedge enabled.

l Leg A partial fills 4, leaving a remaining order of 4 working.

l Leg B hedge quantity adjusts to 2.

l If you unfreeze Leg A and fill the remaining 4, an adjusted hedge of 2contracts is sent in Leg B.




Using Queue HolderQueueHolder lets Autospreader usemultiple orders per leg tomaintain your position in thequeuewhen requoting to a newprice level.

The standard quoting order enters the outright market at the price determined by the spreadprice. TheQueueHolder orders enter at consecutive price levels away from the insidemarket.

When Autospreader receives a price update, the order queue rotates. Whether the queuerotates toward or away from the insidemarket depends on which side of the insidemarketthe newprice appears.




Notes:

l When a QueueHolder order is filled, an offsetting hedge order is sent and remainingQueueHolder orders on both legs are deleted. However, it is possible for all of yourQueueHolder orders to get filled if themarket is swept before X_TRADER recognizesthe fills and processes the delete.

l TheQueueHolder function onlyworks on spreads with two legs. When a spreadcontains more than two legs, theQueueHolder property is disabled.

l You can manually drag and drop QueueHolder orders to newprice levels.

l In the case of a partial fill, the remaining QueueHolder orders are reduced by the filledamount.

l You can set up to 10 queue holder orders per leg.

l Algos cannot be used in conjunction with theQueueHolder feature.

Enabling Queue Holder OrdersYou can enable QueueHolder orders in one of twoways:

l Enable in the spread configuration

l Enable on the fly

If you choose to enable QueueHolder orders on the fly, you will launch spreads with noQH button and enable it manually by accessing Properties from the context menu onthe Autospreader spread pane.

QueueHolder order values set in the spread configuration also appear by default intheDynamic Settings window in theQueueHolder per leg value fields.

Notes:

l Existing Autospreader spread configurations set with QueueHolder orders willautomatically appear with theQHbutton enabled.

l Algos cannot be used in conjunction with theQueueHolder feature.

To enable Queue Holder in the spread configuration:

1. From theAutospreader Manager dialog box, click the spread in which you want to enableQueueHolder and click Edit.

2. Under Basic Properties, next to theQueue Holder Orders field, type howmany extra ordersyou want to trail your quoting order.




3. ClickOK.

Once enabled, aQH button appears on the spread pane and is shaded yellow. This indicatesthe next order you place in the spread panewill submit trailing QueueHolder orders in theassociated legs.

You can stop sending QueueHolder orders by clicking theQH button.

You successfully enabled QueueHolder orders on the fly.

Note: Using this method, the default number ofQueueHolder 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.

TheMD Propertieswindowappears.

4. Under Enable Order Types, click to select theQueue Holder property.

5. ClickOK.

Once enabled, aQH button appears on the spread pane and is shaded yellow. This indicatesthe next order you place in the spread panewill submit trailing QueueHolder orders in theassociated legs.




You can stop sending QueueHolder orders by clicking theQH button.

You successfully enabled QueueHolder 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 theOrder tab.

4. Under the Queue Orders section, indicate howmanyQueueHolder orders you want to trailyour submitted order for each leg.

You successfully changed the number ofQueueHolder orders sent.

Setup TasksPlease consider using the following Autospreader properties when you enable QueueHolder:

l Max PriceMove

l MaxOrder Move

l Do Not Cross InsideMarket

l Delete All when change crosses market

Max Price Move and Max Order Move

Set proper values in both theMax Price Move andMax Order Move fields. These fieldshelp prevent legging risks by pulling working orders during volatile pricemoves.




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 hedgeorders.

By default,Delete all when change crosses market is off. We recommend you selectboth options.




Queue Holder ExamplesHere are some examples of howQueueHolder works:

l Quoting in both legs

l Moving away from the insidemarket

l Moving toward the insidemarket

Quoting in Both Legs




Moving Away from the Inside Market

Pricemovement away from the insidemarket will remove theQueueHolder orderclosest to the insidemarket and place a neworder at a price level at the end QueueHolder trail.

Moving Toward the Inside Market

Pricemovement toward the insidemarket will remove theQueueHolder order at theend of the trail and place a neworder at a price level toward the insidemarket.




Benefits of Queue Holder OrdersThe following examples illustrate the challenges regular Autospreader orders canhave versus Autospreader orders using QueueHolder.

Regular Autospreader orders

Queue Holder order

Regular Autospreader order Queue Holder order

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

l Freezing their order

l Scalping out of position

l Working hedge leg by using negative Payup Ticks




Using Dynamic Payup TicksTheDynamic Settings tabs lets you enter and apply Payup Ticks to a working Autospreaderorder. Payup Tick values can be between -99 and 99.

OverviewofDynamic Payup Ticks Characteristics:

l When in use, theDynamic Settings tabs override the Payup Ticks setting on theAutospreader Configurationwindow.

l Any leg can be assigned to either hot key, but only two legs can be assigned per spread.

l The hot keys for Dynamic Payups are F2 and F11, which work as toggle switches eachtime you press the key.




l The background color on the Payup Ticks field turns yellowwhen the Dynamic PayupTick is in use.

l Changing focus to another windowwhile Dynamic Payups are enabled, disables thehotkeys.

Dynamic Payup Tick Setup TasksFollow these procedures to use dynamic payup ticks:

l Enabling Dynamic Payup Ticks

l Using Dynamic Payup Ticks

l Linking to the Payup Ticks Field

To enable Dynamic Payup Ticks in Autospreader:


- or -


2. Launch an existing spread or click New to create a newone.


3. Click theAdvanced Settings button.

TheAutospreader 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 bealtered as you view themarket in Autospreader.

5. ClickOK.

6. On theAutospreader Configuration dialog box, clickOK.Note: You must clickOK to exit theAutospreader Configuration dialog box for theDynamicSettingswindow to be enabled.

You successfully enabled Dynamic Payup Ticks in Autospreader.







To use Dynamic Payup Ticks:

1. From theAutospreader Configuration dialog box, click theAdvanced Settings button.

2. In theAdvanced Setting dialog box, ensure the Enable Dynamic Payup Ticks option isselected.

3. ClickOK to exit theAdvanced Settings dialog box.

4. ClickOK to exit theAutospreader Configuration dialog box.

5. On the spread pane, right-click to access the context menu and click Dynamic Settings.

TheDynamic Settings tabs appear.

6. In theDynamic Settings tabs, set the number of Payup Ticks you want to usewith eachfunction key.Note: Alternatively, this value can be linked from Excel. (Refer to Linking to Dynamic PayupTicks 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 touse.

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 usingyour 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.


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.




Linking to Dynamic Payup TicksYou can create a link from Excel to the Dynamic Settings windowusing 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 fromwhich 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 andclick Dynamic Settings.


4. Right-click the Payup Ticks field you want to link to.

5. Click Past Link.

You successfully created a link to theDynamic Settings tabs.




Dynamic Payup Ticks ExampleTheDynamic Settings tabs let you enter and applyPayup Ticks to a workingAutospreader order.

In this example:







Inside Smart QuoteLike Slop, the Inside Smart Quote reduces excessive quoting away from the insidemarket.When enabled, your legs only requotewhen they are a set number of ticks away from theinsidemarket. You determinewhat that number is for each leg in the spread.




Setting the Inside Smart Quote

Smart QuoteSetting

Description

1 Quotes do not adjust toward the insidemarket unless the new quote price is theinsidemarket.

2 thru 99 You are quoting (n-1) ticks away from the inside market. Your quotes move whenthey are within (n-1) ticks of the inside market.

The smaller the number (n), the less movement and extraneous quoting in yourspreads.

Example 1: When set to 2, Autospreader adjusts the quote order price when theprice 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 orderprice 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 theAutospreader Managerwindow, click a spread in which you want to use smart quotes

and click Edit.


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. ClickOK.

You successfully set the inside smart quote.




Using Smart Quote LimitAlong with the Inside Smart Quote setting, you can define a limit in ticks a quotingorder 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, quotingorders will only reprice onlywhen they are a set number of ticks away from the insidemarket (Inside Smart Quote) or when the distance between the quoting order priceand the spread differential price exceeds the Smart Quote Limit value.

Both Inside Smart Quote settings and Smart Quote Limit settings can override eachother and orders can re-quote based on user settings.




Notes: Smart Quote Limit…

l Is defined for each leg of the spread.

l Ranges from 0-99 (Default is 99) A value of 0 represents the spread differential pricelevel and the quoting order will always requote to the price that matches the spreaddifferential.

l 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 spreadorder which submits a quoting order in Leg A 5 price levels away from the insidemarket. The quoting order in Leg Awill not requote toward the insidemarket unlessthe newquote price is the insidemarket price. However, the quoting order in Leg Acan and will reprice away from the insidemarket.

In this example, the quoting order reprices and is now 10 price levels away from theinsidemarket. With an Inside Smart Quote setting of 1, the quoting order will notrequote toward the insidemarket unless the newquote price is the insidemarketprice, which is now 10 price levels away.

With the Smart Quote Limit, you can define a limit in ticks that a quoting order isallowed to work away fromwhere it normallywould beworking without Inside SmartQuote.




To set smart quote limit:

1. From the Control Panel, click the icon.2. In theAutospreader Managerwindow, click a spread in which you want to use smart quotes

and click Edit.


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. ClickOK.

You successfully set the smart quote limit.

Using Basic SlopThe implementation of Slop results in the creation of a price range above and/or below thespread order entry price at which you arewilling to be filled. Because Autospreader will notreprice the quoted outright legs while your spread price remains within the Slop range, Slopcan minimize the excessive quoting that occurs in the individual legs of a working spreadorder.

When Slop is used, the price differential of the spread changes as the prices in the outrightsmove. As themarkets in the outright legs change and the spread pricemoves out of the slopthreshold, Autospreader reprices the quoted outrights tomaintain the spread differentialprice that was entered into the Autospreader pane.

By establishing a Slop range you:

l Minimize requoting in the outrights

l Maintain your position in the queue

l Avoid excessive quoting penalties imposed by some exchanges

Basic Slop uses one level of inside Slop and outside Slop to determinewhen to reprice thequoted outright legs based upon movement in themarket.

Definition When Buying, Slop applies tospread prices

When Selling, Slop applies tospread prices

InsideSlop

The worst price you will acceptfor the spread

ABOVE the current bid BELOW the current offer

OutsideSlop

The best price you will acceptfor the spread

BELOW the current bid ABOVE the current offer




Setting the Slop ValueEntering spread values in the Slop fields creates a price range above and below yourspread order entry price, telling Autospreader not to requote the outrights until thisrange is breached.

The number or value you give to Slop depends on your individual spread. Each spreadhas its own tick value based on themultiplier and tick size in each leg. Once youdetermine 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 offerand three price levels below the spread bid or offer. First, determine theminimumtick size of the spread, which is based on each leg's multiplier and tick size.

In this example .05 is theminimum tick increment for this spread. Three price levelsin .05 increments is .15. By typing .15 in both the Inside Slop andOutside Slop fields,you create a range three prices levels above and three prices levels below yourworking spread price.

l If you enter an order to buy one spread for .25 with both Inside Slop andOutside Slop set at .15, you create a range from .10 to .40, which is threespread price levels above the bid of .25 and three spread price levels below thebid of .25.

l If the spread price remains within a range of .10 to .40, Autospreader®will notreprice theworking leg orders.

l Within this quoting range you arewilling to pay as high as .40 or as low as .10for the spread.




Using Advanced Slop

Advanced Slop lets you create an unlimited number of adjustable ranges and set an inside andoutside Slop level for each range in each leg of the spread. This lets you define a more specificsetting based on the pricemovements and characteristics of each individual spread.

Example: When you areworking close to the insidemarket, you can set your Advanced Slop toreprice your outright leg with each price update. Likewise, when working away from theinsidemarket, you can set Advanced Slop to reprice your outright leg less frequently.

Note: TheAdjustable Range field in column 1 uses the current insidemarket of the spread andcannot be edited. In subsequent columns, theAdjustable Range lets you define ranges in thespread wheremore Slop settings take effect. To define a spread range, use spread prices toset 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 theAutospreader Configurationwindow, in the Slop Settings field, click Advanced Slop.

TheAdvanced Slop property appears at the bottom of theBasic Properties list.

3. Click theSettings drop-down.

The following dialog box displays.

Notes:

l TheAdj. Range field indicates the spread price at which the Slop settings take effect.Column 1 uses the current insidemarket of the spread and cannot be edited.

l Each leg has its own individual Advanced Slop settings. Rather than setting Slop for theentire spread, as you dowith Basic Slop, you can set unlimited Slop ranges for one or allof the legs in your spread.




4. Set the Inside andOutside Slop under column 1.

5. Click Add Level.

6. In theAdj. Range field, type the spread price at which the next Slop settings take effect.

7. Set the Inside andOutside Slop under column 2.

8. Repeat steps 5-7 as needed.

9. ClickOKwhen 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 SlopTo calculate the Inside and Outside Slop settings for each leg, use theDelta.




Examples:




Calculating Adjustable RangeTo determine theAdj. Rang setting, use theOverride Tick Size or Calculated Tick Size.

Examples:






Chapter 4: Identifying Messages

Chapter 4:Identifying Messages

There are a couple instances in which Autospreader may send you an error message that you do notimmediately understand.

Themessages covered include:

l Key Server Availability

l Quoting in Illiquid Markets

l MinimumHedgeQuantity

Key Server AvailabilityX_TRADER requires a Key Server be availablewhen placing orders. When no Key Server isavailable, orders generated byAutospreader and Autotrader are not sent.

When this occurs, the following message is written to the Audit Trail:Unable to acquire siteorder key from key server.

Warning! For Autospreader hedge orders, a random keywill be sent if no Key Servergenerated key is available.

Quoting in Illiquid MarketsTo prevent an infinite quoting loop against itself, Autospreader uses its own orders todetermine if a market is illiquid. This logic is implemented in the following ways:

If... Then...Autospreader enters your orders, and your orders are the onlyorders in themarket for any of the legs, on the side on which Auto-spreader is leaning…

The order is rejected and thefollowing message appears:

Quoting not allowed against an illiquidmarket.

Autospreader has orders working in themarket, and then itsorders become the only orders in themarket on the side on whichit is leaning…

The working orders are pulled, andthe following message appears:

Quoting not allowed against an illiquidmarket. Removing spread orders.

A spread quoting order has been filled… Hedge orders are NOT pulled orrejected regardless of market liq-uidity.

Minimum Hedge QuantityX_TRADER can only submit a quote into themarket if its associated hedgemarket(s) have acurrent quantity that meets or exceeds its minimumhedge quantity.

When this requirement is not met, the following message is written to the Audit Trail: Cannot



Chapter 4: Identifying Messages

quote all legs of the spread because there is insufficient hedge quantity.



Chapter 1 -Chapter 4: Identifying Messages

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Index

AAccessingan existing spread 72autospreader 13hedge rule builder 47

Activating custom pricing models 73Addinglegs to spreads 71

Adjust for depth 74Advanced Settings in Autospreaderdynamic payup ticks 110freezing orders 96

Advanced Slop 123Autospreader 13accessing the hedge rule builder 47activating and deactivating hedge rules 62adding legs to a spread 71advanced slop 123andmd trader 33calculating adjustable range 126changing customers 88components 13configuration dialog box overview 21creating andmanaging spreads 68creating a new spread using drag-and-drop 70creating a new spread using the market grid 69

creating generic hedge rule 54creating hedge rules 54creating if-then hedge rule 54creating spread formula 54deleting legs from a spread 72do not hedge frozen orders example 101dynamic payup ticks 110example 115linking to 114setup tasks 111

dynamic settings tab 62expired contracts 73freezing orders 96freezing orders example 100hedge managercontext menu 45rules pane 38working pane 35

hedge manager overview 35



Index: Base volume lean – Hedge manager

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

BBase volume lean 76

CCalculating adjustable range 126Calculating inside and outside slop 124Changingcustomers in autospreader 88

Cloningrules 45

Configuration dialog box 21and expired contracts 73grid pane 30ticking worksheet 22

Context Menushedge manager 45

Contractsneeded to lean against 76

Creatingmulti-legged spreads 68spreads 68

Custom pricing models 73

DDeletinglegs from spreads 72

Do not hedge 89Do not hedge frozen orders 101Dynamic Payup Ticks 32, 110enable 110example 115linking to 114setup tasks 111use 110

EEnablingdynamic payup ticks 111queue holder 103

Examplecalculating inside and outside slop 124freezing orders 100

Examplesadjustable range 126do not hedge frozen orders 101dynamic payup ticks 115hedging spread orders 89queue holder 107, 109

Expired Contracts in Autospreader 73

FField Descriptionsmanager dialog box 14ticking worksheet 22

Freezing orders example 100

HHedge managercontext menu 45overview 35rules pane 38working pane 35



Index: Hedging – Spread LTP

Hedgingautospreader logic 13do not hedge frozen orders example 101spread orders example 89

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

KKey Server Availability 128

LLeaningspecifying minimum amount 76

Leg view 16show errors 20

Linkingdynamic payup ticks 111

Linking to Dynamic Payup Ticks 114

MManager dialog box 14field descriptions 14leg view 16show errors 20

Market Gridtrading autospreader spreads 87

Max order move 105Max price move 105minimum hedge quantity 128

OOffset volume multiplier 74Openingan existing spread 72

autospreader 13Ordersdynamic payup ticks 110linking 114

Overriding the tick size 89

PPricing models 73Protecting your spreads 74

QQueue holderenabling 103examples 107, 109setup tasks 102, 105

Quotingilliquid markets in autospreader 128

Quoting Mode Options 75

RReload orders 91Risk-checking spreads 81examples 81

Rules pane in hedge manager 38

SServer trading 83Settinginside smart quote 117-118inside smart quote limit 119slop value 122smart quote limit 120

Slop 123adjustable range 126calculating 124setting the value 122using basic 121

Smart Quote 117Smart Quote Limit 119setting 120

Spread LTP 22



Index: Spreads – Yield

Spreadsadding legs in autospreader 71changing using the leg view 16creating in autospreader 68deleting legs in autospreader 72dynamic payup ticks 110linking 114

freezing orders 96hedging logic 68reload 91risk-checking 81specifying minimum quantity to lean against 76trading in autospreader 80trading in the market grid 87trading on an autospreader strategy engine 83

Strategy engineautospreader 83

TTable of contents iiiTicking Worksheet 22Tradingin yield 77spreads 80reload 91risk-checking 81

spreads in the market grid 87spreads on an autospreader strategy engine 83

UUsingadvanced slop 123basic slop 121dynamic payup ticks 110queue holder 102, 105, 107

WWorking pane in hedge manager 35

YYield 77

