Skip to main content

After an initial fill, the “Futures Scalper” will place a new buy order below that price and a new sell order above that price. New orders that add to the established position are placed at the scalp interval, while new orders with position-closing effect are placed at the profit interval. Users can choose between two different modes of booking orders: either persistent order mode (which can allow multiple orders to become laddered in the book for better queue position) or non-persistent order mode (which will never book more than one order above and/or one order below the current price). An optional user-configurable smoothing parameter allows the algo to compute a “true price” point in realtime. This “true price” involves a double-weighting of both volume-at-price and time-at-price. This feature can enhance the profitability of transient, small-scale deviations away from the “true price” by dynamically expanding the profit interval at appropriate times.

The “Futures Scalper” job also contains logic to widen out intervals by a user-defined multiplier in the case of increased volatility. By allowing the user to set a “move duration” and a “move size” for each contract, the job will automatically apply a multiplier if the future moves greater than the “move size” within the specified “move duration”. The job’s parameters will return to their normal state once the market returns to normal conditions.

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
smoothing_windowint45in seconds (2-100), or 0=disabled
onPriceLimitsExceededint00=work one-sided market only, 1=close out position and deactivate row
remainingPositionOnRowDeactivationint00=leave as-is, 1=close out position
algoBiasint20=auto, 1=aggressive, 2=normal, 3=conservative
grid_namestringthe main grid will be named ‘scalpers_[grid_name]’
verbosityint1log verbosity: 1=normal, 2=detailed, 3=extended
makeOrdersPersistentint00=no, 1=yes
persistentOrderDensityControlint00=off, 1=opening side only, 2=opening and closing sides

More About Exegy

Related Resources

OmniFeed Market Data logo

OmniFeed Brings High-Quality US Market Data to Retail Market

Exegy and Bookmap have partnered to launch OmniFeed, which offers real-time depth-of-book market data for US futures and equities.

TradingTech Insight USA Awards

Exegy’s Low-Latency Solutions Win TradingTech Insight USA Award

Exegy’s direct market data feed solution won the award for Best Low Latency Data Feed – Direct at the TradingTech Insight USA Awards 2022. 

Image - Exegy Default

CEO of CloudQuant, Morgan Slade, Talks Signum Summary Data

Morgan Slade, CEO of CloudQuant, joined us last week to talk about Signum’s Liquidity Lamp Summary Data. We talk about finding the edge, how this data is different than anything…