The Lab

Expand all   Collapse all

Versions Compared

Old Version 131

changes.mady.by.user Renghanath Natarajan

Saved on

compared with

New Version 132

changes.mady.by.user Hymavathi Velagapudi

Saved on

Key

  • This line was added.
  • This line was removed.
  • Formatting was changed.
Comment: Published by Scroll Versions from this space and version 1.5.10

...

Other strategy parameters must be populated as per LP requirements for the specific Algo. The Client will need to reference the venue-provided API documentation for this detail.


Spread Orders

Overview

A calendar spread is a futures strategy with simultaneous long and short positions on the same underlying asset but with different expiry dates. 

  • Bull spread: When a trader buys the nearby month and sells the deferred month.
  • Bear spread: When a trader sells the nearby month and buys the deferred month. 

Whisperer currently only supports Bull Calendar Spreads which are defined with Buy near and Sell far legs.

Order Submission

Side: The LegSide of the first Leg on the client message to Whisperer will represent the Side of the Spread. 

Leg1

Leg2

Action on Spread

Buy

Sell

Buys the spread - buys leg1, sells leg2

Sell

Buy

Sells the spread - sells leg1, buys leg2

Price: The Price on the order will be the spread price. The LegPrice mustnot be populated on the request.

ExecutionReport

The following ExecutionReport messages are published for Fills:

  • 1 Notional Fill: Trade information for the overall Spread, followed by
  • 2 Leg Fills: Trade information for each of the legs. 

The Notional fill and Leg fills for a given trade will all have the same SecondaryExecID

The legs on Notional fill will have the overall Notional fill information with 

  • OrdStatus: Calculated
  • ExecType: Calculated