The Enterprise Edition for professional traders is a server installation of AlgoEye which includes the following features. Not all features are available in a hosted solution yet, we are working on it! To be finished by early 2014.
Volatility surface fitter¶
Automatically fit the volatility surface with quadratic spline, cubic spine or hyperbolic based volatility models. The surface is optimized in a way that theoretical prices stay within bid-ask option prices as possible.
Whenever bid price of an option goes over theoretical price of the option or ask price goes under theoretical price an opportunity is identified and highlighted on the screen.
Discrete delta hedging¶
Just turn on delta hedging and specify a maximum risk delta you can tolerate and AlgoEye will hedge delta by buying or selling the underlying. Useful when you trade delta-neutral.
Act on identified opportunities and trade them. With this volatility arbitrage strategy you bet on volatility of a particular strike to come back to the fitted volatility. Use it together with risk hedging strategies.
Be a market maker and provide liquidity to the market. Post your bids and offers and collect the spread. Use it together with risk hedging strategies.
An advanced cutting-edge strategy which takes position in spread strategies like vertical, ratio, diagonal spreads or butterflies by intelligently combining provision and consuming of liquidity. Allows to trade spreads close to theoretical (mid-market) price on average.
While discrete delta hedging takes care only of your delta risk by trading underlying, vega/gamma hedger trades options to reduce your exposure not only in delta but in vega and gamma as well. Useful when you trade vega-nutral, gamma-neutral or want to hedge delta, vega and gamma altogether.
Forward price fitter¶
The forward price on the expiry date is the price of the futures contract with the same expiry. Unfortunately, not all expiries have their own futures contract. In case an expiry doesn’t have a futures contract the forward price is backed out of the option chain by constructing synthetic futures and solving for a future price.
Use any strategy in a manual mode when you can control the way it works and can react upon the trades.
Market data storage¶
A professional version of AlgoEye uses flat files and MySql to store historical tick option prices.
Market data replay¶
Historical tick option prices can be replayed to recreate the moments from the past. You can watch and trade the market as if you lived that moment again or back test it with Backtester.
Test a strategy with historical data before trading live. Use Backtester to check how your strategy reacts to various market conditions.
Realistic exchange simulator¶
AlgoEye uses realistic exchange simulator both in manual replay mode and automatic backtesting. The recorded sequence of trades and volumes on bid/offer are used to create near-realistic simulation. Posted limit orders are filled according to price-time priority. Backtest a market-making strategy with reliable results.
Portfolio risk graphs¶
Portfolio risk graphs visualize risk metrics and help to consume critical information quicker and easier.
Portfolio greeks attribution¶
Ever traded a strategy but did not get why you got that profit or loss? Greek attribution will tell you how much delta, vega, gamma or theta contributed to the total PnL.
Get real time theoretial and mark-to-market PnL, greek exposure, used margin and more.
Safe guard limits¶
Do not allow your strategy go wild ‘Knight’ style. These limits detect unexpected strategy behaviour.
Order rate limits¶
Set maximum number of outgoing order messages per second to the limits imposed by your broker or exchange. Strategies prioritise orders to lessen the impact of the limits while staying in compliance.
Available margin dictates how a strategy have to implemented. It is not always possible to leg into a spread by first filling a short options leg and then the long one. The required margin for the short options might be too high although the margin for the spread is within your risk tolerance. AlgoEye optimally fills spreads while maintaining the margin within set bounds.
Commissions impact the bottom line in a big way. Frequently an option which is bid over or offered under is not worth trading when commissions are factored in.
Tick table rules¶
When providing liquidity to the market it is critical that a strategy knows at which price to post bid or offer. Many exchanges implement complex tick rules where a gap between price levels depends on the price