News Blue Trading Systems Blog, Events, and Highlights



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.

Please come and join us at the 30th Annual Futures & Options Expo.


Spread Eye

  • Fixed bug that required user to turn off all spreads at the close of the session.


  • Beta sheets now allow the user to set off alerts based on market trades/ticker. This can be done by bringing up a Setting Window (Right click-> "Sheet Settings->SettingsWindow..."), navigating to the Alerts, and then to the "Trade Alerts" section. The user can then set the size, time for the alert to stay active, and the color of the alert.

Electronic Eye Controller

  • To eliminate confusion, selection-swipe based actions are only allowed if a single column is swiped/selected (ex selecting both edge and size columns will NOT bring up the menu).


  • There is a new report called DayPNLTrader that breaks down the Day PNL and Greeks per trader. Additionally, the trader data can be expanded to view the PNL and Greeks trade by trade.

General Shell

  • Performance improvements.

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