FFastFill’s spreading engines provide sophisticated spread trading tools employing proprietary execution strategies to generate a competitive edge for traders.
Queue Management - No Double Fills and Better Fills
FFastFill SpreadIntellligence offers optimised spread execution that preserves valuable queue position in FIFO markets. Reusing working orders as hedging orders provides several advantages.
- Since SpreadIntelligence does not enter a new order for working legs when it is required to hedge that means there is no possibility of the existing working order being filled unexpectedly and thus no prospect of a "double fill"
- SpreadIntelligence never modifies a working quantity up, but inserts a new hedge order thus not losing queue position of existing orders.
- In the scenario where a spread has two or more working legs and one is partially filled if the other legs working price is the same as the hedge price (i.e. the hedger is trying to 'pick up a tick' by working the bid or offer) SpreadIntelligence will share the existing order between the hedger and the working leg, preserving the queue position of the whole order.
Once all or part of a working spread leg is filled the other legs are worked immediately afterwards. SpreadIntelligence offers two different execution strategies for hedging orders.
- A limit order is submitted a user-defined number of ticks through the best bid/ask price - effectively a market order.
- The trader specifies a Pay Up Quantity and SpreadIntelligence works hedging orders one tick below the best ask for buys or one tick above the best bid for sells, as long as the quantity bid or offered remains above the Pay Up Quantity. If the bid/offer quantity falls below the Pay Up Quantity the before the hedge order is filled the system modifies the order to the bid/ask price as appropriate.
This provides the opportunity to pick up a tick on one or more legs and avoids buying or selling into very large bid offers. When using the hedging functionality the prospect can arise that a trader will be required to buy or sell a contract as a hedge while at the same time requiring the opposite in the same contract to hedge another spread order. SpreadIntelligence has an internal matching facility which will net off any opposing hedging orders thereby reducing the chances of crossing the bid-ask spread twice and saving commissions.
Leg mode enables a trader to manually work an order in a single instrument which when filled will be treated as part of a spread. SpreadIntelligence will also give an estimate of the eventual spread fill price were the order to be at filled now. This spread price estimate uses the settings from the spread to estimate the fill price on the other legs.
If a trader decides they want to manage a working leg order manually, for example they believe the working order has an excellent queue position and would like to attempt to manually trade it for a tick, they can detach the order from the spreader. Detaching cancels the spread order the leg order is associated with and lets the trader manage the order as they would any other outright order.
Spread Location Management
As part of the FFastFill global network, Spread\intelligence benefits from user configurable per spread execution location. Traders may decide on a per order basis, which datacentre in the FFastFill network will manage the orders.
Often when a spread order is filled a trader will wish to work an opposing order to take profit on the filled order. This procedure relies on the trader being in front of his computer when the fill comes through and has a minimum lag of a few seconds that means the opportunity for a quick profit maybe lost.
- When Auto-Take Profit is activated, once an order is filled SpreadIntelligence will immediately enter an opposing order to take profit, a user-defined price gap away from the initial order.
- If the reversal is filled quickly enough, outstanding hedge orders can internally fill giving improved fills and reduced transaction costs.
The auto suspend feature stops working the legs at the exchange when the spread is further than a user-defined distance from the best bid/ask price in the market. SpreadIntelligence is still working the order and will reinsert the legs at the exchange when close enough again. There are three principle advantages to this feature:
- Reduces exchange transactions by not working spread orders that have no immediate prospect of a fill.
- Traders may place many spread orders far from the market without impacting speed or over quoting.
- Reduces the chance of a large miss on spread orders far from the market.
SpreadIntelligence has a spread iceberg mode that splits spread orders up into smaller units and executes them sequentially.
To calculate the working price for a leg of a spread it is necessary to estimate the price the other legs of the spread will be executed. In SpreadIntelligence we term these estimated trade prices 'Lean Prices'. There are two strategies for estimating these prices in XS:
- Basic Mode – Size Factor and Lean Quantity are user defined as is the minimum Required Lots to be traded as part of the spread. If the opposing bid/ask quantity is greater than the Adjusted Lean Quantity, SpreadIntelligence will use the best/bid ask price. If Adjusted Lean Quantity is less than the opposing bid/ask quantity the leaner will use the Lean Not Met Price which is a user-defined number of ticks behind the best price.
- Speculative Legging™ Mode. In this mode the leaner will, when user defined conditions are met, report the lean price to be one tick better than the best bid for a buy or one tick better than the best sell for an offer. This uses user-defined variables Threshold and Ratio.