Introduction

Deltix CryptoCortex MM (briefly C2 MM) is a specialized product addressing the needs of market makers and price arbitrageurs.

The product is installed on your AWS instance located at an AWS data centre of your choice.

Once you have made your AWS instance available our team will install and configure the system. This is a straightforward process and is usually fully completed within a few hours. The specification of the AWS instance require is here.

1) You select a subscription plan that fits best your needs;

2) Deltix C2 MM team setup an instance of the application in Amazon AWS;

3) We send you an email with instructions on application usage and supporting documentation;

4) You configure the tradable universe, market data & trading connectors to the exchanges;

5) You configure optional components such as an email service for trading event notifications and/or wallet balance monitoring service;

6) You configure the trading bot(s);

7) You define risk limits and hedge rules;

8) You run trading.

This guide covers steps 6, 7, and 8 of the process.

Trading Bots

Each instance of the trading algorithm is called a trading bot. A trader creates a new trading bot and then specifies parameters of the bot.

All configuration parameters of the bot are grouped by sections:

Instrument Section

Use parameters in this group to specify a quoting (maker) leg, a target exchange and a list of source exchanges. Use optional parameters to define underlying (second) and fx conversion (third) legs.

Pricer Section

Use parameters in this group to specify bid/ask quote sizes, markups (margins) to be added to an asset base price, and a method of calculating the base price. Use optional parameters to setup min spread between best sell and buy quote, min price change (to calibrate frequency of order flow) and take out rule to specify conditions for the bot to aggress on stale orders on the market.

Risk Limits

Use parameters in this group to specify max long/short exposure of the bot. The limits control open quantity on the market in such a way that prevents the bot from getting long or short position above the limits.

Use other parameters of this group to control max day loss and for adjustment of order flow frequency.

Hedger

Use parameters in this group to specify conditions that will trigger auto-hedge: max & normal position size. Once bot current position (difference between bought quantity and sold quantity) exceeds max limit, the hedging algorithm is activated and tries to reduce current position size to the target size (normal).