New Working Order Limits
Added the following (normalized) contract based working order limits:
- working_orders_long_future_contracts_cap
- working_orders_short_future_contracts_cap
- working_orders_long_option_contracts_cap
- working_orders_short_option_contracts_cap
- working_orders_net_contracts_cap
- working_orders_abs_contracts_cap
These values are set to large numbers by default, but can be appropriately lowered by your compliance department. BTS recommends working a futures and options order away from the market upon receiving this release to ensure these values are properly configured
Analytics Workspace
Parameter import and export via xml file
- Go to File->Import/Export Manager to import BTS style volatility parameter file. File may be manually or automatically imported on change.
New Vol Addends mode decreases PnL impact on rebuild
- In vol manager, change far right column AddMode to 1 to make the P and C points addends to ATMVol instead of factors. In this mode, the rebuild does not need to refit the factors (because vol response, by default, is additive) thereby greatly reducing dPrice/dRebuild.
New Vol Response Modes
New Vol Response Modes were created. In Vol Response form, FlexMode dropdown has the following items that each represent a specific vol response mode:
Note that Slp Up / Dn and Curv Up / Dn columns in Vol Response Form renamed to Shape1 Up / Dn and Shape2 Up/Dn to better facilitate new modes below.
- VolOnly - This mode moves (only) ATM Vol vs underlying on an arctan based response curve.
- SlopeAsRawRotation - This mode moves ATM Vol and the Rotation and Curvature coefficients on separate arctan based curves vs underlying. Calibrated by changes in Vol and the Raw Rotation and Curvature Coefficients
- SlopeAndCurvature - Similar to SlopeAsRawRotation, however this mode is calibrated by changes in the Slope and Curvature outputs, not the raw coefficients.
- SlopeOnly - Similar to SlopeAndCurvature, however only slope is calibrated.
- Wing (NEW) - Wing response allows the user to specify a Put and Call Ratio (input as the Shape1 / Shape2 inputs) that specifies the change in vol of the PutTail1 and CallTail2 points (defined in the risk units form) as a ratio of the change in ATM. Changes in the wings are implemented as half-rotations of the curve.
- Quadratic (NEW) - Quadratic mode is similar to VolOnly and SlopeAsRawRotation modes but the functional form of the path is a parabola instead of an arctan based function. This mode should help model products with more upside skew such as commodities.
- QuadraticWing (NEW) - Wing Response with a parabolic functional form.
Sheets
- Trader PNL/Greeks can now be optionally displayed on the sheet header. This can be configured by going to Sheet Settings->Sheet Layout->Risk Title. "Risk Account" is the portfolio account for which to show the risk and "Risk In Terms Of" is how to express the delta and gamma (ex in terms of the ES or SP future)
- Trade Alerts in the sheets can now be visually different for trades happening over or under the theoretical price. This can be configured under Sheet Settings->Alerts->Trade Alerts.
- The Right click menu now has an item for the column setting where the mouse was clicked. The Display parameters in the settings are also organized better for easy navigation.
- The column ordering list in the Sheet Settings have a checkbox through which the visibility of the column can easily be toggled.
- Sheets for non electronically traded options already show the BBO of their electronic counterparts (ex SP/CME sheets show ES/CME BBO). Now they can also be click traded from the sheets. Please note that the click trade window that comes up is for the electronic counterpart, however the spread window is still for the original symbol.
- Fixed the Cross alerts coloring bug, where the buy and sell colors were reversed.
Beta sheets graduates to Sheets
- Six months ago BTS released our groundbreaking Beta sheets, offering new features such as multiple products within a single sheet, ATM centering, and trade alerts. With new development only happening in the beta sheets, we are promoting the beta sheets to full sheets status and retiring the old sheets.
- To ensure a smooth transition, please make sure you are no longer running any of the old sheets
- If you see a Preferences button on the upper left toolbar of your sheet, you are running on old sheets. Please launch the corresponding Beta sheet and call BTS for any settings-related questions you may have.
Trade Ticker
- Trade Ticker now has a Ticker Age drop down, which is set to 10 minutes by default. This helps keep the ticker size manageable which helps with performance.
- Fixed the bug where the ticker settings were not getting saved across restarts.
Spread Book
- Sorting spreads by the Spread definition ("Spread" column in the grid) sorts the spread the right way now (i.e based on the spread contracts and not textually)
PNL
- The PNL Rollover process happens faster now if the "Save Additional Data" checkbox is not checked. This skips a lot of tertiary data that was getting saved.
Auto Security Management
- Securities for non electronically traded symbols (ex SP at CME) can now also be added automatically.
Spread Box Settings
- Spread Box Display settings can now be configured per option symbol. This can be done by navigating to Launcher->Spread Window Settings->Display Settings.
Miscellaneous
- Fixed Trade Entry Client bug where tabbing out of the trader drop down was causing a crash.
- Fixed the settings window bug where multiple bringing up multiple setting windows resulted in the settings not being saved.
- Overall speed improvements.