Risk/Hedge Screen
On the Risk/Hedge screen, you can 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 limits and/or auto-hedging logic. The risk rule scope could be:
currency/asset: global limit for Deltix MM instance running on the server.currency x exchange: per exchange limit.currency x algo id: per trading bot limit.
Delete Currency
Use this command to delete the existing 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, 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).
Configuration
Currency
In this section, you can specify the currency and the scope of risk/auto-hedge rules.
To create a new rule:
- Click Add Currency. 2, In a new row, specify the currency the risk rule will be applied to, and (optionally) an exchange name or a trading bot algo id to restrict the rule scope.
- Click Save button to save the results.
Currency Parameters
| Parameter | Description |
|---|---|
| Currency | Currency/Asset Name. |
| Exchange/Algo Id | The risk rule scope. If left blank - the scope is the whole C2 Market Maker application. If exchange is entered, the scope is limited by the exchange. If algo id is entered, the scope is limited by trading bot limits. |
Advanced Features
- Exchange/Algo Id property has special syntax to limit the scope of the risk rule 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.
Examples
These examples demonstrate a currency/asset risk rules defined at a global C2 Market Maker level, per Exchange level, per trading bot level, per Quoter/Hedger level.
In Sample D, the currency risk rule is defined for Quoter of bots 1 and 10 and for Hedger of bots 1 and 5, Sample E defines the same behavior. In Sample F, the currency risk rule is defined for bot 1, for Hedger of bot 5 and Exchange.
Trades related to a specific risk rule affect the position of the bot only if the scope of the risk rule is defined on the 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 |
Hedger
Use parameters in this section to specify hedge triggering condition and execution parameters of the hedging algorithm.
Refer to Bot Configuration to learn more.
| Parameter | Description |
|---|---|
| Position Max/Normal Size | Whitespace separated pair of numbers: max and normal currency balance. When the balance hits max threshold and hedger is turned on, hedging algorithm will start working on balance reduction to the normal level. |
| Hedge Instrument | Hedge Instrument. If not specified, the hedging instrument will be formed from the given currency (base) and account currency (term). |
| Hedge Strategy | Available options: LIMIT (default), SOR (default) or a custom algo. |
| Execution Price | Options available: LEAN, PASSIVE, RESTING, IMPROVE, CROSS_MARKET LEAN: hedger will place child orders at best marketable price. If more than one venue is specified, the hedger will route the order to the exchange which offers a best market price adjusted with taker fees. PASSIVE: child orders will be placed at one tick distance from the best marketable price (LEAN price). RESTING: place a resting bid to buy at the lowest price venue (after fees) and place a resting offer to sell at the highest offer to sell (after fees) IMPROVE: place BUY order at RESTING bid + one tick on the lowest bid venue; place SELL order at RESTING - one tick on the highest offer venue. CROSS_MARKET: hedge orders will be placed with an aggressive offset to the LEAN price at the child order sent time: LEAN + Max Offset for buy orders, LEAN - Max Offset for sell orders. |
| Venues List | Comma or whitespace separated list of exchanges to execute hedge order. |
| Max Order Size | Hedger will not place to the market the orders with size exceeding this value. If hedged size is greater than max order size, it will be divided on separate clips of the max order size. |
| Resend Time (ms) | Hedger will place a new order or replace existing one after the time interval defined by this parameter. |
| Max Offset | This parameter allows a user to control worst limit price (WLP) for the hedging algorithm for all Execution Price modes except CROSS_MARKET. Max Offset can be specified in either abs. units or in basis points. WLP calculation: WLP = lean price of the first child order +/- Max Offset (in abs. units) WLP = lean price of the first child order * (1 +/- Max Offset bps / 10000). For CROSS_MARKET the MaxOffset value used as an aggressive margin for hedge order price. |
| Max Bid (optional) | Specifies the worst price the hedging algorithm can buy on the market. If calculated bid price for hedge order is above the limit, the order will be placed at Max Bid price. |
| Min Ask (optional) | Specifies the worst price the hedging algorithm can sell on the market. If calculated ask price for hedge order is below the limit, the order will be placed at Min Ask price. |
Risk Limits
Use parameters in this section to specify max long and max short exposure for the currency/asset.
Refer to Bot Configuration to learn more.
Examples
| 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 |