Profiteer Engine

by Axonetric
Execution $600/month

The “Axonetric LLC: Profiteer Engine” is a sophisticated and feature-rich job that allows users to automatically seek out and execute on edge-based opportunities, based upon different configurable strategies. The engine can operate in both liquidity-taking (ie, “removal trades”) and liquidity-making modes. For each instrument(s) mapping, the user can specify detailed independent settings, including delta range, leg-expiration filters, strategy, mode, side, auto-hedging behavior, desired quantity, min/max order quantity, etc. Specifications are conveniently organized and edited through a grid view graphical control and rows can be activated and deactivated with the click of a checkbox.

The “Side” parameter in each row can be set as: “Buy”, “Buy Gamma”, “Buy Vega”, “Sell”, “Sell Gamma”, “Sell Vega”, “Buy and/or Sell”, “Close Out Position Only”, “Buy To Close”, or “Sell To Close”. Another user-defined setting, “Minimum Quantity Filtering”, allows for all derivative theoreticals to be computed against an underlying side that is widened by one tick when the size showing is too small (less than a threshold quantity). This reduces hedge mismatches and the impact of gaming activities. The “Profiteer Engine” has many high-performance optimizations built in for the greatest profitability and the lowest possible scan times in high-volume, many-instrument contexts. For example, changes in the underlying bid or ask are directly applied to their options and strategies via a lightning-fast 2nd-order Taylor series approximation that bypasses any cache-lookup delays.

While the liquidity-taking mode will execute IOC or FOK orders against the book, the liquidity-making mode will dynamically insert short-duration limit orders directly into detected trading bursts that meet edge criteria and a windowed minimum traded quantity. All parameters relevant to the liquidity-making mode (also known as “Dynamic Participation”) are also user-configurable, including “Trigger Traded Quantity”, “Quantity Accumulating Time Window”, “Limit Order Max Duration”, “Max Concurrent Orders”, etc.

The job tracks “in-play” quantities separately from executed quantities so that the user’s total “Desired Qty” will never be overshot regardless of how many orders are live concurrently. Any activated row will automatically deactivate after filling the user’s “Desired Qty”. The “Profiteer Engine” is also interoperable with, and takes advantage of, other algos in the Axonetric LLC suite (interoperability is optional and not required). For example, when the “Volatility Manager” job detects adverse or abnormal market conditions, it produces a signal that the “Profiteer Engine” watches for. Any active strategies operating on the affected symbol(s) will be automatically and instantly deactivated. As another example, hedging responsibilities can be assigned directly to the “Axonetric LLC: Auto-Hedger” job.

A video demo (note: demo was done on an older version) is available online at http://www.axonetric.com/algos. Please feel free to contact the developer at kevin@axonetric.com with any questions you might have regarding technicalities, client use cases, etc.

Click on the following links to access:
Profiteer Engine Introduction Video
Profiteer Engine Walkthrough Video

Configuration Options

All of the variables below can be configured or modified at runtime. This gives users the power to modify their job behavior throughout the day without having to make code changes.

NameTypeDefaultDescription
hedgeBehaviorOverrideint00=Use per-row settings, 1=No auto-hedging, 2=Auto-hedge via Freeway, 3=Auto-hedge via Metro
closeOutOptionBehaviorint10=Separately neutralize calls/puts at strike, 1=Jointly neutralize calls/puts at strike
immediateOrderTypeint00=IOC, 1=FOK
gammaSideThresholddouble0.0minimum absolute value for buying/selling gamma
vegaSideThresholddouble0.0minimum absolute value for buying/selling vega
dynPartQtyTimeWindowInSecsint201-20 rolling time window over which traded qty is accumulated
dynPartMaxOrderDurationInMsint5000orders will be automatically cancelled after this interval
dynPartMaxSimultaneousOrdersint4in total, for this job instance
disableNoOverlapConstraintint10=Constraint is enabled, 1=Constraint is disabled
disablePositiveEdgeOnlyConstraintint00=Constraint is enabled, 1=Constraint is disabled
listMatchingInstsOnActivationsint10=Do not list, 1=List in log
checkVolsOnActivationsint20=Do not check, 1=Check and abort, 2=Check and exclude
testInstIdstringwill overrride the instrument string for all rows
specialModeint00=Normal, 1=AF-compatibility
verbosityint2log detail level: 0=Minimal, 1=Basic, 2=Full
excludeInstrsWithTextstringoptional comma-delimited list of search strings to exclude (case-sensitive)
rowStateAfterRestartint00=Deactivate all rows, 1=Reactivate previously active rows, 2=Reactivate all rows

Screenshots

Remember that in Metro NOW, dashboards and widgets can be utilized in both OnRamp and Metro clients.

Profiteer Engine by Axonetric

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