News Blue Trading Systems Blog, Events, and Highlights


  • Made hedger round to the nearest future in the outright and spread hedger by default.
  • Data is available for a missed hedge report
  • New Risk Greek, DeltaNoVR, is equal to vol by strike delta.
Click Trading
  • If the auto hedger can not hedge a click trade (that is set to be hedged by default), a warning window pops up now, allowing the trader to continue or not.
Electronic Safeties/Fuse box
  • Spread Eye can be switched on or off from the FuseBox now.
  • Spread with crosses can be filtered using the "Crosses" check box.
  • In an effort to quickly zero in on desired spreads, the spread window now supports 4 additional filters. Each of these identical filters takes in a range (minimum, maximumn - both or one) and the type of data (Number of Contracts, Delta, Edge, Gamma, Strikes, Theta, TradeSize, UnitEdge, Vega and Volume). Example : selecting Delta from the drop down and enterring 20 and 40 in the adjacent text boxes with narrow down the spreads within the 20-40 delta band. If the second text box is left blank, all spreads with delta >= 20 will show up.
  • Spreads can be added to the electronic eye from this window now, by swiping the Spreads (one or more), right clicking to bring up the menu and clicking on "Add To EE". "Remove from EE" does the opposite. Similiarly the buy/sell edges/sizes for the eye can be set for spreads, by swiping across spreads on the corresponding column, right clicking to bring up the menu and either clicking on the preset edge/sizes or clicking on "Set Bid/Ask Size/Edge" and enterring the value. (Please note that the electronic eye columns are hidden by default and can be made visible simply by right clicking to bring up the menu and then clicking on "Show EE Columns". For existing windows it will have to be moved to the desired locations. For new windows it appears on either side of the bid/ask columns).
  • Made performance improvements for this window.
  • Saving a workspace is now explicit. There is no longer an "active" workspace which is automatically saved as you open and close windows. Instead your last state on a machine is loaded by selecting "Layout on machine" from the login dialog (this is the default option).
  • Workspaces can now be marked "Shared." A Shared workspace is visible to all users.
  • If you log in from multiple computers you can access the last set of open windows on the other machine from the login dialog using the "Layout on other machine" menu option.
  • MMTN is now located in the Orders/Trades shell module.

Hedge Rounding
  • Added the ability to round to the nearest future in the outright and spread hedger; ask support to enable this if interested.
  • Added putwing and callwing pump quantities; units are radians for now. Also laid groundwork for put/call pump response
  • Wing pumps will have to be set up in the AW slave symbols. This is accomplished by visiting each AW slave symbol (spxw, spxq, ewx, sp, etc) and setting the pump columns yellow numbers to 0.0 and the blue factor at the bottom to 1.0
  • Made ThirtyDayDays (Vega Normalization Days) easier to set from master symbol. Users must address each slave symbol's Model Params form and set the blue factor to 1.0 and the yellow shift to 0.0. Then type 30 (or your normalization preference in the master (say spx's) ThirtyDayDays field. If you do not do this, your vegas will be NaN
  • New StdVol Modes: Setting StdVol = 0.0 will link stdvol to ATM Vol as in previous versions, setting stdvol < 0.0 will cause the polynomial to fit factors of ATM, not the actual vols. This will ensure that an option set to 1.2 times ATM will always be 1.2 times ATM as the market moves around. Remember that Std Vol is the vol used to convert raw strikes to standard strikes (or standard deviations)
  • New Model Parameter: Poly Order Lim allows advanced users to limit the order of the vol polynomial; if not set or zero, the default order is the sum of the total number of activated call and put points.
  • prepub_drivervsatmatlastrolloverproxy_spx is now available in the system as the last-rolled-over set of vol factors and ATMs. The current set is in risk_calcengine_spx_option_drivervsatm
  • Sheets now have zooming in/out functionality that is controlled by the +, - buttons at the top, respectively.
  • Ladder for futures now show Open, Low, High and Change for the day.
Spread Tickets
  • Spread Tickets titles can be displayed more succinctly by going to Preferences (from the sheets)->Spread UI->ShowDetailedTitle and setting it to false.
  • Unit greeks for the legs in the spread can be hidden by going to Preferences (from the sheets)->Spread UI->ShowUnitGreeks and setting it to false.
  • Driver/Future size in spread header cane be hidden by going to Preferences (from the sheets)->Spread UI->ShowHeaderDriverSize and setting it to false.
  • Legs can be added and removed while existing legs can be modified in a spread ticket, by right clicking on a spread leg, and bringing up the new Spread Edit Window.
  • Fixed a bug where if SpreadInitializationAction was set to SingleClickSystem, then removing a leg was causing the spread to be reverted to a 'known' spread.
Spread Market Data Sheets
  • Spreads can now be filtered for multiple strategies and multiple groups.
  • Spreads can now be filtered through the find text box at the top. User can enter partial or full expirations/strikes to narrow down the list.
  • By default, this window is launched with the "Active BBO" checked.
  • Spread window is more streamlined now. The default settings offer a sleaker view. BBO resulting in positive edges are displayed in bold fonts in the default settings.
  • Spread window also supports right click actions.
Orders Form
  • Order Form now support right click operations now for Cancelling/Modifying orders.
  • When reports are frozen, swiping across rows/columns produces a sum at the bottom.
  • Reports support right click operations now for Exporting Data, Printing etc.
  • Deleting a workspace or closing a window can now be undone using the 'Undo' menu under Workspaces.

  • The system deletes the expired expirations (that are already expired for > 3 days) over the weekend.
  • 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 trades in the TradeLog now have theos, contra party and comment (indicating that its an MMTN).
  • 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 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
  • Fixed a bug where on some scenarions the first click trade order of the day could be slower than subsquent ones.
  • 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.

  • 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)
  • 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
  • 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
  • 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.
  • In the case where the user erroneously accepts/rejects mmtn's more than once, the system stops it and shows a warning message.

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