The “Auto-Hedger” job is a delta-sensitive automated hedging tool that supports realtime, dual-decision passive (ie, “work 1 tick better”) and aggressive (ie, “lift”) modes of execution across a wide variety of configurations. The job also supports a configurable delta-accumulating/-offsetting “queue” that integrates filled options delta exposure over time. This increases hedging efficiency, decreases hedging transaction costs, and prevents over- or under-hedging situations. Any option or strategy of any expiry can be assigned to be auto-hedged with any future of any expiry. Hedging parameters are conveniently organized and edited through a grid view graphical control.
The “Auto-Hedger” job’s detailed parameters include the max aggregate quantity to work, max show quantity (iceberging support), working offset in ticks, max working slippage in ticks, accumulated delta hedge trigger, aggressive execution via market- or limit-type orders, minimum required side size ratio, and others. The “Auto-Hedger” job is capable of offsetting deltas from incoming hedge requests in four different and independent ways, including modifying or cancelling already working orders. The algo also supports out-of-the-box integration with two different (optional) quantitative models that can further improve execution of working quantities: the FastFutures model by Morris Consulting LLC, and the Anti-Flicker model by Axonetric LLC. For traders unfamiliar with intelligent passive execution, the benefits are significant.
For each instruments mapping, hedging responsibility can optionally be assigned for filled Freeway-originated orders and/or filled Metro-originated orders and/or filled quotes (from Metro or Freeway). Users can also manually enter working futures orders via a supplied manual order entry interface. This allows traders access to the optimal futures execution logic even outside of auto-hedging events.
Please contact the developer at firstname.lastname@example.org with any questions you might have regarding technicalities, client use cases, etc.
Click here to access the Auto-Hedger Walkthrough Video.
Auto-Hedger_Documentation.pdf(PDF 222249 bytes)