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The “Auto-Hedger” job’s detailed parameters include the max aggregate quantity to work, max show quantity (iceberging support), working offset in ticks, max working slippage in ticks, accumulated delta hedge trigger, aggressive execution via market- or limit-type orders, minimum required side size ratio, and others. The “Auto-Hedger” job is capable of offsetting deltas from incoming hedge requests in four different and independent ways, including modifying or cancelling already working orders. The algo also supports out-of-the-box integration with two different (optional) quantitative models that can further improve execution of working quantities: the FastFutures model by Morris Consulting LLC, and the Anti-Flicker model by Axonetric LLC. For traders unfamiliar with intelligent passive execution, the benefits are significant.

For each instruments mapping, hedging responsibility can optionally be assigned for filled Freeway-originated orders and/or filled Metro-originated orders and/or filled quotes (from Metro or Freeway). Users can also manually enter working futures orders via a supplied manual order entry interface. This allows traders access to the optimal futures execution logic even outside of auto-hedging events.

Please contact the developer at kevin@axonetric.com with any questions you might have regarding technicalities, client use cases, etc.

All of the variables below can be configured or modified at runtime. This gives users the power to modify their job behavior throughout the day without having to make code changes.

NameTypeDefaultDescription
verbosityint2log detail level: 0=Minimal, 1=Basic, 2=Full, 3=Debug
whenReturnHedgeCompleteStatusint00=Immediately, 1=No more than N seconds, 2=Once fully hedged/offset/expired
Nint10the max number of seconds before any hedge complete status is returned
afterExceedingWorkingSlippageint00=Let order sit, 1=Execute aggressively, 2=Let sit for Metro order hedges only
hedgeReqProcessingDelayInSecsint00=Process normally/immediately, 1+ =The number of seconds to delay before processing incoming hedge requests
enforceSingleManualOrderEntryRowint00=No, 1=Yes
hedgeFillsReportIntervalInMinsint00=No reports, 1+ =The number of minutes between each logged report
testCodeint20=Normal operation, 1=Force grid rows refresh, 2=Update grids for new column, 3=Clear grids db
alsoReqMetroOrderTicketHedgeFlagint10=No, 1=Yes
sideQtyBookDepthint1number of price levels to include in the side qty ratio (1+)
sideQtyBookDepthWeightingint00=Simple sum, 1=Linear, 2=Exponential
insertAllMetroOrderHedgesStaticallyint00=No, 1=Yes
onHedgeOrderUserCxlint00=Treat normally, 1=Cancel whole future reservoir
onlyHedgeForTradersListstringoptional comma-separated list of traders to auto-hedge for (blank = all)
onlyHedgeForAccountsListstringoptional comma-separated list of accounts to auto-hedge for (blank = all)

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