BTS News

Blue Trading systems news, events, and highlights


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News

General
  • The system deletes the expired expirations (that are already expired for > 3 days) over the weekend.
Sheets
  • Bug with cross alert display fixed for the case when the sheets are not showing BBO's.
  • Pre-Save Theo Differences can now be shown in sheets (PreSaveCallTheoDiff and PreSavePutTheoDiff) on machines that have an AW/Curvemanager instance running.
Trade Ticker
  • Trade Ticker now has filters for Minimum Trade Size and Minimum Volume.
MMTN
  • MMTN trades in the TradeLog now have theos, contra party and comment (indicating that its an MMTN).
RFQs
  • Viewing and responding to RFQs (both outrights and spreads) at CME are now supported. An RFQ form can be brought up by going to RFQ (second to last icon) and selecting the symbols. Double clicking on an RFQ sets up the ticket to respond to the RFQ with a limit order.
Analytics
  • Analytics Workspace no longer requires local admin rights
  • New Curve Snap Type: FlexShapeAsSpread displays Shape Vegas in terms of number of RiskReversals, or Strangles, etc in the Risk Report.
  • Added the facility to see pre-save theos in sheets using local machine publish
  • Added Strd Shift, RR Shift both expiration by expiration and symbol wide to allow dollar-term adjustment of straddles and risk reversals without using spinners or shifting vols.
New Simple Rate Mode:
  • Set the Global Roll Spread to -1000% to create a flat 0% rate curve. Delete all dividends to make the Roll Offset input equivalent to directly setting an immovable roll value in the system.
  • Furthermore, set the Global Carry Spread to -1000% to zero out the eurodollar / box curve. In this mode setting all carry spreads to a constant value will create a constant, non-moving rate curve.
New Std Vol Mode:
  • Set the Std Vol column to 0% to link stdvol to the resultant ATM vol. (Std vol is the vol by which the standard strikes / standard deviations are calculated)
Change in Live Market Data in Graphs:
  • Live Market Data in Graphs is now controlled in the Market Driver Form (Green Flag) in AW. These switches are now persisted in the database.
  • Existing Customers will have to set these new checkboxes to get live markets in the CurveManager
Orders
  • Fixed a bug where on some scenarions the first click trade order of the day could be slower than subsquent ones.
Spreads
  • BTS Now supports creating multi-leg covereds. Additionally the trade ticket has been simplified to make spread creation/rfq more intuitive and simpler.
Reconcile Report
  • Users may specify a settlement price, or export the reconcile report to excel by right clicking on the report
  • The source and file selection dialogue will recall what source(s) and extra args (if any) were entered when the last report was launched, and automatically populate itself with these values.

Sheets
  • When the ATM StraddleDisplay is in StraddleTheoVsMarket mode, the back and font colors can be distinguished for negative vs positive values (is if the atm straddle > atm straddle mid market or not). This can be done through Preferences->Main UI->StraddleTheoVsMarketNegative/Positive/BackFont/Color.
  • The Per Expiration Vol Shifter can be hidden from Sheets->Preferece->ShowVolShiftControlInExpirationHeader (This is useful for the floor where the per exp area is narrower)
Analytics
  • Now optionally grouping fitter tabs for indexes. One tab form for CBOE, one for CME, sorted by expiration
  • Removed Commit to Master, Commit works in all cases
  • Added a facility for a 4th call and put fit point
  • Greatly improved Analytics Workspace Performance
Reports
  • Added Shape Change On Day Report. This report shows change in vol, straddle, and 5, 10, 15, 20, 25 delta option vols and prices
  • Changed Terms for Vega in Quickrisk. Instead of defaulting to 100's, it now defaults to dollars.
  • Added AdjVega, OEV, Theta and SlopeVega to PnL and Quickrisk.
  • Added cash_value to quickrisk as Cash Value
  • Added Delta, Gamma, Theta, Vega, Roll and Edge Allocations in Day, Position and Summary PnL reports
Slide
  • Added facility to optionally center slide report on RefDriver, so that the underlying columns remain constant until a rebuild
General UI
  • Performance improvements
  • Sound alerts are now part of the system. This can be done by going to Admin->Sound Alerts. By default sounds play on trades, but this can be expanded to a wide range of events.
MMTN
  • In the case where the user erroneously accepts/rejects mmtn's more than once, the system stops it and shows a warning message.

Analytics
  • Added $ Strd Move to display the equivalent straddle price shift of all vol moves
  • Added Slope, Curv, PTSlope, CT Slope Graphs
  • Added RR One Month and RR Cascade Shifts
  • Reconcile Report now shows the difference between the theoretical marks (at pnl time) and the settlement price as well as their $ difference for each position
Sheets
  • Expiration header for sheets can now (alternatively) show the difference between straddle and the market data mid point straddle. This view can be enabled by going to Preferences->Main UI->StraddleDisplay and setting the value to StraddleTheoVsMarket.
  • Visibility for BBO Size for options can now be controlled independently of the BBO price.
  • Spreads can also optionally show theta, adjusted vega, oev and slope vega.
  • Trades Ticker shell module now has a unique icon, tickets.
  • Improved performance for tabbed Option Sheets.
Spreads
  • Performance improvements generally and specially for tabbed forms.
Electronic Eye UI
  • Performance improvements for tabbed forms.
Algo Orders
  • Added EdgeOrder Parameters: Side, Quantity, Edge (that is the edge from theo), Better, AutoHedge
  • Added TimeSliceOrder Parameters: Side, Minutes, Quantity, offset (offset from bid/ask), Cross, AutoHedge
Hedger For Spreads
  • This release includes a simple hedger for spreads. Residual spread delta is hedged via the front driver contract of a spread. For indexes, this is the Anchor Month, for commodities, it's the nearest driving future of the package.
Expiration Day
  • The expiration process is nearly automated, on expiration day the Expire Options form will be initialized with all non-cash settled expiring symbols and the appropriate underlying and exercise values associated with them (the expiration process for cash settled options is performed from AW). If everything looks correct, the user can simply click 'OK' to expire the options. If the user wishes to change/remove/add any values, he may do so with ease in the newer, sleeker expiration form. There is also a preview button which the user may press to view all in-the-money positions that are set to expire.
Reconcile Report and Position Import
  • Users may list more than one file, if need be, to create the aggregate positions when viewing the reconcile report or importing trades.
  • Settlement prices from clearing files can be saved to the database from the reconcile report window. These values will be used in PnL reports for active positions that do not have live reference prices.
Orders/Trades
  • The Orders and Trades menus on the Launcher have been merged.

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

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