Trading

The trading page is the main page of the application and allows the users to configure trading bots, start / stop them, and monitor real-time status of trading.

Top Menu Commands

  • Add Instrument

Click on this button to create a new trading bot.

  • Delete Instrument

Click on this button to delete a selected trading bot.

  • Stop All

Click on this button to stop all running bots. All stopping bots will remove their open orders from the market.

  • Start All

Click on this button to start all stopped bots.

  • Orders

Use this button to toggle on/off a window with bot orders (active and recent cancelled or rejected).

  • Executions

Use this button to toggle on/off a window with bot recent trades.

  • Alerts

Use this button to toggle on/off a window with all recent trading and system alerts.

  • Quotes Book

Use this button to toggle on/off a window with bot quote book. The quote book is calculated by the pricing component of the bot.

  • Source Book

Use this button to toggle on/off a window with a consolidated limit order book from a list of the source exchanges specified.

  • Target Book

Use this button to toggle on/off a window with a limit order book of the bot target exchange. The target exchange is the exchange the bot is placing quoting orders to.

  • Hedge Book

Use this button to toggle on/off a window with a consolidated liquidity from a list of hedge venues specified. The hedge venues are the venues which accept hedge order flow.

Page Layout

Trading Bot Config – Instrument Section

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Instrument Section Parameters

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Constraints on synthetics construction

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Samples

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Graphical User Interface

Trading Bot Config – Pricer Section

Use parameters in this section to specify bid/ask quote size(s), markups to be added to a pair base price, and method of calculating base prices.

Use optional parameters to setup min spread between best sell and buy quotes, min price change of the quote price that will result to cancel/replace the corresponding limit order on the marker with a new order, take out condition to allow the bot to aggress on stale third party orders on the market.

Pricer Parameters

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TakeOut Sample

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Source / FX Aggregation

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Samples

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PRICER CONFIG

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Graphical User Interface

Expand/Collapse the Pricer section of the bot by clicking on > and < icons:

To start pricing click on “Start” button in the Pricer / Running column .

To stop pricing click on “Stop” button in the Pricer / Running column.

To propagate changes in the section, click on the button.

To display quotes calculated by Pricer, toggle on the Quotes Book button.

REPLICATION

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Sample One.

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Sample Two.

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Trading Bot Config – Hedger Section

Use parameters in this section to specify triggering conditions to run auto-hedging: Max/Normal position size. When an absolute value of the bot CP (current position) hits the max size, the auto-hedge algorithm is triggered and works on reducing CP to the normal level.

Hedger Parameters

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Samples

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Graphical User Interface

Expand/Collapse the Hedger section of the bot by clicking on “>” and “<” icons:

Edit section parameters and click on “Save” button, the changes will be propagated immediately.

Trading Bot Config – Risk Limits Section

Use parameters in this section to specify max long/short exposure of the bot.

Use optional parameters of these section to specify max loss acceptable for the bot and minimum time to keep the quoting orders on the market.

Risk Limit Parameters

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Samples

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Graphical User Interface

Expand/Collapse the Risk Limits section of the bot by clicking on “>” and “<” icons:

Edit section parameters and click on “Save” button, the changes will be propagated immediately.

Trading – Statistics Section

The Statistics section displays bot current day trading statistics.

Statistics Parameters (View Only)

Parameter Description
Current Position Size The difference between bought quantity and sold quantity for the current trading session. To track multi day position check on position rollover flag.
Open Buy Qty Total open quantity of the buy orders on the market.
Open Sell Qty Total open quantity of the sell orders on the market
Quoter BOT Qty Total quantity of the base asset units/contracts the quoter bought since the last position reset
Quoter SLD Qty Total quantity of the base asset units/contracts the quoter sold since the last position reset
Hedger BOT Qty Total quantity of the base asset units/contracts the hedger bought since the last position reset
Hedger SLD Qty Total quantity of the base asset units/contracts the hedger sold since the last position reset
Quoter Net Qty Difference between Quoter BOT Qty and Quoter SLD Qty
Hedger Net Qty Difference between Hedger BOT Qty and Hedger SLD Qty
Gross P&L Profit or loss (in term currency units)
Net P&L Profit or loss (in term currency units) that includes fees
Daily Net P&L Day profit or loss (in term currency units) that includes fees. Daily Net P&L will be reset to 0 at Cutoff Time
Fees Fees
Acct P&L Profit/Loss in account currency (defined on Risk/Hedge page) since the last position reset
Cost Cost of the current position (in term currency units)
Market Price The value depends on algorithm settings. By default MarketPrice is calculated as MidPrice for bot instrument from aggregated OrderBook.

Graphical User Interface

Expand/Collapse the Statistics section of the bot by clicking on “>” and “<” icons:

Trading - Start and Stop Commands

To start a trading bot, use the command Start/Stop in the bot instrument section. You may also separately start and stop Pricer and Hedger of the bot.

To start/stop all trading bots use the commands Start All / Stop All at the top/right corner of the screen.

Trading – Monitoring Windows

Orders Window

The “Orders” window displays all active orders on the market placed by the bot and recent history of the cancelled orders.

Use command to toggle on/off Orders window.

Executions Window

The “Executions” window displays recent trades of the bot.

Use command to toggle on/off Executions window.

Alerts Window

The “Alerts” window displays all recent alerts in the system.

Use command to toggle on/off “Alerts” window.

There are two kind of alerts in the application:

  • Errors;

  • Warnings.

The alert color is yellow for warning messages and red for error messages. An additional indication is provided at the bot level for the errors that cause bot stopping.

Click on Exclamation Mark appeared right after bot Start/Stop button to bring alerts causing bot to stop working to the top of the Alerts window:

Context Menu Operations with a Trading Bot

Use right mouse button click on a trading bot to get bot’s context menu:

Show/Hide Currency

Shows or hides currency alphabetic code to the fields reported in Statistics section.

Reset Current Position Size

Resets bot’s trading statistics: Current Position Size, Quoter BOT/SLD/Net Qty, Hedger BOT/SLD/Net Qty, P&L, Acct P&L, Cost.

Export JSON

Export trading bot configurations to JSON file.

Import JSON

Imports trading bot configurations from JSON file

Advanced -> Add External Trade

This command allows to add an external trade to correct bot position, PnL, etc. If you choose this command the External Trade window will appear:

You should specify trade side, quantity, symbol and price and click Add button.

Other parameters are optional. You can select “Hedge External Order” check box and specify exchange to hedge position created by external trade. Also you can specify Account, Trader, Trader Group, and Eternal Attributes for external order.

Note that external order will not be sent to the Exchange.

Advanced -> Aggressive Mode

This mode will allow sending only aggressive orders to an exchange when the take-out rule is triggered. Note, that it works only if take out value is specified for bot.

Note also that the quote book in this mode is empty, so before switching to this mode, you need to make sure that the bot calculates the required prices.

Bot running in Aggressive Mode is marked with red label:

Advanced -> Resting Mode

This mode limits calculated SELL price to current Best Ask on Target - 1 tick and limits calculated BUY price to current Best Bid on Target + 1 tick in case of calculated price is on the top of the book. Note, resting mode works correctly only when trading bot has one level on each side.

Bot running in Resting Mode is marked with blue label:

Advanced -> Currency Conversion

This command allows to specify currency conversion for basis trading. See more information here: Basis Trading Implementation - Currency Conversion.

Duplicate

Trading Bot will be duplicated: copy of the bot will be added to the end of the bots list. All components of the copied bot will be in stopped state (bot itself, pricer, and hedger).




Description of other context menu commands see in next section, “Standard Operations with Grid control”.

Standard Operations with Grid control

The Trading Bot configuration window, Orders, Execution and Alert windows all are based on powerful ag-Grid control:

[https://www.ag-grid.com/best-angular-2-data-grid/]

Tool Panel

  • Place mouse cursor into the grid and right mouse click. The context menu will be open:

  • Choose tool panel to add it to a table:

  • Check On/Off columns you want to display/hide and right mouse click to open context menu:

  • Choose Tool Panel command to close tool panel.

Pin Left

Provides ability to reorder particular column so the column come first and freeze.

Pin Right

Provides ability to reorder particular column so the column come last and freeze.

Unpin

Available for pinned column only and resets pinned state.

Auto Size All Columns

  • Place Mouse Cursor into the grid and right mouse click.

  • Choose Auto-Size command to auto size all grid columns.

Reset Columns

  • Place Mouse Cursor into the grid and right mouse click.

  • Choose Reset Columns to return to default column configuration.

Copy / Ctrl-C

Use this command to copy a value of the selected cell into the clipboard.

Export

Use this command to export table content to either .CSV file or to Excel:

Sorting & other operations

Click on table caption to sort rows up and down or unsort them.

Explore other available commands

Books

Quote Book

A Quote Book displays quotes calculated by a pricing component of a bot.

Use command to toggle on/off the window.

Source Book

A Source Book provides consolidated view on source liquidity available for the bot.

Use command to toggle on/off the window.

Target Book

A Target Book displays limit order book of the target exchange. The liquidity supplied by the bot is displayed in “My Size” Column of the window.

Use command to toggle on/off the window.

Hedge Book

A Hedge Book provides consolidated view on hedge liquidity available for the bot. Hedge orders supplied by the bot (if hedging by passive price is chosen) is displayed in “My Size” Column of the window.

Use command to toggle on/off the window.

GUI

Tradable: LTCBTC. Quote(s): 30 LTC. Source: Binance. Target: Bittrex.

APPENDIX A. Basis Trading

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APPENDIX B. SOR Algorithm

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