Skip to main content

Play the video below to see the widget or algo in action. Metro NOW gives widgets the ability to work in a similar behavior across several asset classes or exchanges. This keeps usability consistent and promotes high application stability.

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
Timerint1000Interval, in milliseconds at which the job should generate volatility curves.
autostartbooleanfalseIf checked, the job will start when the OC Metro server starts.
testmodebooleanfalseIf checked, the job will determine fitted skews, but not publish them.
debugmodebooleanfalseIf checked, the job will produce extra, detailed logging.
SymbolsStringEmpty StringA comma-delimited list of symbols (products) for which the job will generate volatility curves.
Days Until Exp RangeStringEmpty StringAn expression of the form ‘int – int’ specifying a range where the first int is the minimum of the range and the second int is the maximum of the range. The range specifies the min number of days until expiration and max number of days until expiration an instrument month must fall into in order to be fitted by the job. If left blank all instrument months of the desired symbol will be fitted.
Start TimeStringEmpty StringAn expression of the form ‘hh:mm’, specifying the time in CST after which the job can fit.
End TimeStringEmpty StringAn expression of the form ‘hh:mm’, specifying the time in CST after which the job cannot fit.
Sparse Min Data Thresholddouble100.0The percentage of strikes required to have missing data before the job employs an alternative fit strategy.
One-Shot FitbooleanfalseIf checked, the job shall generate only one set of volatility curves and cease execution.
Put Wing Cut-off Deltadouble5.0The cutoff point of the put wing, specified in model-specific deltas. If set to 0, put wing cutoff will be automatically determined
Call Wing Cut-off Deltadouble5.0The cutoff point of the call wing, specified in model-specific deltas. If set to 0, call wing cutoff will be automatically determined
Put Wing Slopedouble0.0The slope (in vol/strike) of the put wing
Call Wing Slopedouble0.0The slope (in vol/strike) of the call wing
Autodetermine Wing SlopebooleanfalseIf checked, previously configured slopes will be ignored and instead the wing slopes will be autodetermined

More About Exegy

Related Resources

Exegy Sponsors Series in Traders Magazine

‘Trading Reimagined’, a series sponsored by Exegy in Traders Magazine, examines how tech breakthroughs are reshaping the markets.

build vs interview Markets Media

It’s not a Build vs. Buy Technology Choice Anymore 

Trading firms no longer face binary build vs buy choices. Markets Media outlines more nuanced paths offered by tech partners such as Exegy.

CME crypto blog post image

Crypto Options Are Back: Can CME Help Your Firm Dive In? 

As institutional interest in cryptocurrency rebounds, accessing CME crypto derivatives via Metro is an easy path to entering this market.