News Blue Trading Systems Blog, Events, and Highlights


New Forwards and Rates Management Module

The Forwards and Rates Manager allows users to define the forward underlying curve for the products they are trading and then set the parameters describing how the forward curve will change as the front month future moves. This allows the forward underlying curve to move dynamically and significantly reduces the manual adjustments previously necessary to manage the forward underlyings used to price each month’s options.

The Forwards and Rates Manager allows the user to choose how they want to input interest rates into the model. There is a choice to use real-time rates or static rates that are input manually. This will reduce the potential of bad quotes as inputs into pricing but will require periodic updating. For equity and equity index options there is also a dividend input column to allow for a theoretical value calculation of the roll between months. Again, this requires manual input but can be dynamically linked to an outside source.

Lastly, the user may also simply enter the static rolls they desire for each contract relative to the front month future and have this dynamically update. The Forwards and Rates Manager allows for supreme command of the variables necessary to update and manage the forward underlying term structure.

Contact us at (919) 913-0850 to see a live demo of this feature.

New Working Order Limits

Added the following (normalized) contract based working order limits:

  1. working_orders_long_future_contracts_cap
  2. working_orders_short_future_contracts_cap
  3. working_orders_long_option_contracts_cap
  4. working_orders_short_option_contracts_cap
  5. working_orders_net_contracts_cap
  6. 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.


  • 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)


  • 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.


  • 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.


Analytics Workspace - Major Enhancements

Speed and Resource usage enhancements

  • AW uses less memory and operates an order of magnitude faster than the previous version. Less server resources are required to compute theoreticals as well. Slide and Price updates should come in substantially faster

Menu Reorder

  • Rate Adjustment now called Rate Manager
  • Poly Vol and Vol Adjustment now called Vol Manager
  • Flex Vol Response Calibrator now called Vol Response (under Vol Tools)
  • Group Vol Control is now under Vol Tools
  • Dividend Maintenance Two Yields is now called Dividends
  • Graph windows grouped together, under Graphs
  • Most apocrypha is now in the utilities menu

Future Price Lockups

  • Index product 'driver price' is no longer lockable from Vol Manager or Rate Manager. To lock this price, click on the Future symbol (ES, for example), and access the Futures Prices panel. These overrides are local and are not saved.

Rate Manager -- PLEASE READ

  • Rate Manager simplifies and replaces the former Rate Adjustment form. There are two modes, specified in Utilities->Model Params -> Rate Source. The Rate Manager form is drawn differently according to this mode switch.

    • Simple Mode: Box and Roll values may now be entered directly as a Riskless rate and roll target / roll reference value respectively. Clients are encouraged to use this mode, as it is simpler, faster and the new default.

    • TPlusAdjusted Mode: Clients may choose this mode in order to keep the same box and roll values through the upgrade with minimal settings changes. Please note that the global roll and carry spreads have been eliminated in favor of expiration keyed inputs. The Rate Spread Column is also gone. Also note that clients that peg rolls using a special mode in Roll Offset should use the new Roll Reference / Roll Target columns to achieve the same result (see below)

  • New Targeted Smart Rolls (in either mode): In the rate manager form, enter a driver value in Roll Reference column to activate the Roll Target column. Once activated in this manner, the current expiration's roll will be equal to the Roll Target when the driver is at Roll Reference, away from Roll Reference, the roll will move slightly from the Roll Target proportional to it's Delta. To lock the Roll at Roll Target regardless of a reference, set the Roll Reference to -1.0

  • Automatic Euro/Libor Future Rollover: It is no longer necessary to delete ED or EM futures contracts in the system. New contracts should be added as time passes, however.

Eurodollar Hedging

Check the Quarterly Futures form on the ED symbol and the Monthly Futures form on the EM symbol for these new features.

  • Eurodollar / Libor Future Rate Shifts: User can now express rate curve shifts (both roll and riskless) on the same tenor as the Euro and Libor futures.

  • Rho Shift: User can now input a specific move in the rate curve through which to calculate portfolio rho.

Vega Factor

  • Improved Vega Factor Calculation Accuracy / Speed; this will cause a slight change on AdjVegas when upgrading to this version.

Spline Mode

  • Set Order Lim to -1.0 to set the Vol Curve to be a spline instead of an Nth Order Polynomial

Vol By Raw Strike Mode

  • Set Stdk Mode to 2.0 to set the Vol Curve to be determined by addends to at the money vol over raw strikes.

New Graphs

  • Added Probability Distribution Graph
  • Added "Shape Strike Vol Series" which graphs slopek1/2, curvk1/2, ptk1, and ctk2 in vol space over time

New Vol Response Modes

  • Added Quadratic functional form to represent and calibrate response as a parabola.
  • Added Wing mode (and QuadraticWing) that allows the user to express a view on changes in the call wing and put wing versus changes in ATM.


Orders Window

  • Order window remembers its filters now. This can enable the user to set up multiple windows, for example one for electronic eye orders, another for working orders etc
  • Click trade tickets can be brought up from the orders window now, simply by right clicking the order and then clicking on "Trade Window"


  • Fixed a bug where spreads with expirations that were not present in the system were showing as opportunities


  • For securities with missing settlement prices (example flex options at CBOE), the system uses the Theo as a proxy for the settlement price.

Shell User Settings

  • General user settings can be modified in a new settings editor form, located in the workspaces tab
  • In the new form, users may modify the look of the spread window, and set click trade window defaults such as auto hedge, order type and order size. They may also set the driver price to bid ask or mid, and change the list of sizes and edges that populate the right click menu in trading engine forms.

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Telephone: (919) 913-0850

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