Risk/Hedge Page

Use the risk/hedge page to configure max exposure limits and/or auto-hedge logic at the currency/asset level.

Operational Commands

  • Add Currency

Use this command to add/configure new risk limit and/or auto-hedging logic. The risk rule scope could be: (i) currency/asset: global limit for C2 MM instance running on the server; (ii) currency x exchange: per exchange limit; (iii) currency x algo id: per trading bot limit.

  • Delete Currency

Use this command to delete risk limit/auto-hedge logic rule.

General Settings

  • Account Currency

Use this field to specify default currency of the C2MM application.

  • Auto Cutoff checkbox

When it is ON, the system artificially “rollovers” all positions and snapshots up-to-date trading statistics at specified cutoff time. Upon system restart (e.g., maintenance period or manual restart), it is sufficient for the system to look back to the recent cutoff point and to all trades after cutoff to correctly recover bot’s trading state. The following values are reset on CutOff: Quoter Net Qty, Hedger Net Qty, Fees and Daily PnL.

  • Cutoff Time

End time of the current day trading session. All day risk statistics is provided for the current trading day.

The position rollover flag supports rollover of the current position of the bot to the next trading session using synthetic RO orders (closing RO order and opening RO order).

Page Layout Screen

Page layout:

Risk/Hedge Config – Currency Section

Use parameters in this section to specify currency and scope of the risk/auto-hedge rule.

To create a new rule, click on button.

In a new row, specify currency the risk rule will be applied to, and optionally exchange name or trading bot algo id to restrict rule scope.

Click on button to save results.

Currency Section Parameters

Parameter Description
Currency Currency/Asset Name
Exchange/Algo Id The risk rule scope.
If left blank – the scope is the whole C2 MM application.
If exchange is entered, the scope is limited by exchange.
If algo id is entered, the scope is limited by trading bot limits.

Advanced feature:

  • Exchange/Algo Id property has special syntax to limit risk rule’s scope by Quoter and Hedger of trading bots.
    Suffixes ‘H’ (Hedger) and ‘Q’ (Quoter) are supported and can be used as described in the samples below.

Samples

The samples demonstrate a currency/asset risk rules defined at global C2 MM level, per Exchange level, per trading bot level, per Quoter/Hedger level. In Sample D currency risk rule is defined for Quoter of bots 1 and 10 and for Hedger of bots 1 and 5, Sample E defines same behavior. In Sample F currency risk rule is defined for bot 1, for Hedger of bot 5 and Exchange.

Risk rule’s trades will affect bot’s position only in case of defining risk rule’s scope at one bot’s level.

Parameter Sample A Sample B Sample C Sample D Sample E Sample F
Currency LTC LTC LTC LTC LTC LTC
Exchange/Algo Id   BITTREX 245 1Q 1H 5H 10Q 1 5H 10Q 1 5H BITTREX

Risk/Hedge Config – Risk Limits Section

Use parameters in this section to specify max long and max short exposure for the currency/asset.

Click on button to save results.

Risk Limits Section Parameters

Parameter Description
Max Long Exposure Currency Max Long Exposure.
CB + Open Buy Qty + Open Buy Amt <= Max Long Exposure, where:
CB (> 0 long, < 0 short) is a current currency balance;
Open Buy Qty – open quantity (in base units) of all buy orders placed to the market;
Open Buy Amt – calculated as qty * price(order amount) from all sell orders placed to market in case when specified risk rule currency is term currency in order.
Max Short Exposure Currency Max Shot Exposure.
-CB + Open Sell Qty + Open Sell Amt <= Max Short Exposure, where:
CB (> 0 long, < 0 short) is a current currency balance;
Open Sell Qty – open quantity (in base units) of all sell orders placed to the market;
Open Sell Amt – calculated as qty * price(order amount) from all buy orders placed to market in case when specified risk rule currency is term currency in order.

Samples

Algo_id Instrument Exchange Open Buy Qty
Algo 1 BTCUSD BITTREX 5 BTC
Algo 2 ETHBTC KRAKEN 3 ETH
Parameter Sample A Sample B Sample C
Currency BTC BTC BTC
Exchange/Algo Id   BITTREX 2
Open Buy/Sell Qty 5(buy)/0(sell) 5(buy)/0(sell) 0(buy)/0(sell)
Open Buy/Sell Amount 0(buy)/3 ETH * Price (sell) 0(buy)/0(sell) 0(buy)/3 ETH * Price (sell)
Max Long/Short Exposure 6/6 6/6 2/2
Max Long Exposure Validation 0 + 5 BTC + 0 BTC <= 6 0 + 5 BTC + 0 BTC <= 6 0 + 0 BTC + 0 BTC <= 2
Max Short Exposure Validation 0 + 0 BTC + 0.075 BTC <= 6 0 + 0 BTC + 0 BTC <= 6 0 + 0 BTC + 0.075 BTC <= 2

Risk/Hedge Config – Hedger

Use parameters in this section to specify hedge triggering condition and execution parameters of the hedging algorithm.

Click on button to save results.

Hedger Section Parameters

Access to this section is restricted. Please contact us for details.

Samples

Access to this section is restricted. Please contact us for details.