TT Uncovered Interface

TT Uncovered consists of three main windows:

• Login Window: allows for the user to enter their secret app key, select the trading environment they are targeting, and choose the desired price display format.
• Main Window: allows for order entry and management and provides information on working and filled orders.
• Synthetic Quote Definition Window: allows for the configuration of synthetic quotes on options and option strategies.

Login Workflow

1. Environment dropdown: Choose the environment to access. Changing the selected environment while part-way through the authentication workflow will reset the process and take the user back to this first screen.

2. Price Format dropdown. Choose the format in which to display prices, either Tick or Decimal.

3. Internet proxy credential fields (optional): Enter a username and password if connecting over an internet proxy that requires credentials. Leave these fields blank if you are not using a proxy.

4. Internet proxy address (optional). To override the system configured proxy, specify the URI of your desired proxy server in this field. Leave this field blank if you are not using a proxy or if you are using the system configured proxy.

5. TT Credentials. The credentials entered here must match the selected environment.

6. Sign In button. Click this button to proceed to the Two-factor authentication (2FA) Page.

7. Enter the Two-factor authentication (2FA) code for the account and environment you are signing into.

8. App Secret Key: Enter the app secret key corresponding to the environment that the user wishes to access. This field will contain the last key that the app was able to successfully authenticate with.

9. Login button: Click this button to login to the selected environment.

Note TT Uncovered automatically attempts to login with the last successful application key used to authenticate. If this authentication fails, you can enter the correct application key.

Main Window

Note You can drag-and-drop a single instrument from the TTW Market Grid or Strategy Creation widgets onto this form. This action opens the Synthetic Quote Definition Window for that instrument. This allows you to quickly create a synthetic quote on an instrument created in the TTW application.

1. New Synthetic Quote button: Click this button to open the Synthetic Quote Definition window.

2. Clone Synthetic Quote button: Click this button after having selected a synthetic quote in the Synthetic Quote pane to open the Synthetic Quote Definition window with values loaded in from the selected synthetic quote.

3. Synthetic Quote name: This field displays the name of the selected synthetic quote.

4. Quantity increment buttons: Click these buttons to increment the value in the order quantity field by the displayed value.

5. Order Quantity field: Enter or edit the order quantity in this text box. The arrow buttons above and below this field increment or decrement the quantity by 1.

6. Soft Limit Price field: Enter or edit a price within which the app will attempt to execute a synthetic order. The arrow buttons above and below this field increment or decrement the limit price by 1 tick. Note that sub-tick values can be entered into this field. For example, a value of 0’16.73 is equivalent to 0’16 + 73% of the way to the next tick.

7. TT Order Tag Defaults Profile dropdown: Select an Order Tag Default Profile to attach to all outgoing orders for a parent order.

8. Account dropdown: Select the account on which to trade a parent order.

9. Parent Order TIF radio buttons: Select the TIF (Time-in-Force) of a parent order. Parent orders with a TIF of DAY can rest passively on the option or UDS books comprising the synthetic quote they are trading. Parent orders with a TIF of IOC will attempt to execute against synthetic liquidity within the Soft Limit price until they are fully filled or there is no quantity left to execute against.

10. Buy and Sell buttons: Click these buttons to submit a buy or sell order against the selected synthetic quote.

11. Cancel button: Click on a working synthetic order in the Orders and Fills grid and then click this button to cancel a working synthetic order.

12. Change button: Click on a working synthetic order in the Orders and Fills grid. This will load the Order Quantity and Soft Limit Price of the selected order into the Soft Limit Price and Order Quantity fields. Edit the fields as desired and then click on the Change button to cancel and replace the working synthetic order to the desired quantity and price.

13. MaxSweepQuantity field: Enter or edit the maximum quantity a parent order can execute while sweeping resting synthetic quantity. For example, if MaxSweepQuantity is set to 100, the app will trade the parent order in slices of 100 and hedge away all future allocations before trading the next slice of 100. If this field is left blank, it will default to the value in the Order Quantity field.

14. MaxPostQuantity field: Enter or edit the maximum quantity a parent order can passively rest on the option or UDS books. For example, if MaxPostQuantity is set to 100, the app will passively work the parent order in slices of 100 at a time. Once a slice is fully executed and all resulting futures allocations are hedged away, the app will work the next slice of the order. If this field is left blank, it will default to the value in the Order Quantity field.

15. Start Time dropdown: Set Start Time to NOW to start working the parent order as soon as it is submitted. Alternatively, set Start Time to TIME and select a time to begin working the order in the field below.

16. End Time dropdown: Set end time to DAY to work the parent order until the end of the current trading session. Alternatively, set End Time to TIME and select a time for the parent order to cancel if it has not already finished executing.

17. Hedge Order TIF radio buttons: Select the TIF (Time-in-Force) of the orders used to hedge away futures allocations resulting from trading UDS contracts. Hedge orders with a TIF of DAY will rest on the futures book until they execute. Hedge orders with a TIF of IOC will cancel back if they cannot immediately execute on the futures book. In the event a futures order with a TIF of IOC cancels back for this reason, the parent order will also cancel back to minimize the risk of the parent order becoming more unhedged.

18. PayUp Ticks field: Enter a number of ticks to add to hedging futures orders to price them more aggressively. The default value for this field is 0, meaning that futures hedging orders will be priced so that the overall parent order aims to trade within the Soft Limit Price. However, by incrementing PayUp Ticks, these hedging orders can be priced more aggressively (thereby reducing leg risk) at the expense of the parent order potentially trading past the Soft Limit Price.

19. Hedge Detail Options:

    • Trade Away Futures Leg checkbox: Leave this box checked to have the app trade away all futures allocations it receives from trading UDS contracts. If this box is unchecked, the app will not trade away futures allocations, though it will still calculate synthetic quotes and decide where to execute parent orders based on where the app would receive the most advantageous futures allocations. This setting will automatically be disabled for synthetic quotes with the “Vs Fixed Based Hedge Price” Pricing Strategy.

    • Only Trade Covered Spreads checkbox: If this box is checked, quotes from the underlying option or option strategy market will be excluded from displayed synthetic quotes, and any order submitted with this feature enabled will not trade the underlying option or option strategy markets. In other words, when this feature is enabled for an order, the app will only trade covered spreads. This setting will automatically be enabled for the “Vs Exiting Futures Leg at Market” Pricing Strategy.

20. Price to Size checkbox: If this box is checked, the app will calculate synthetic quotes based on the quantity entered into the Order Quantity field. This setting can give a more accurate estimation of the final executed price of the parent order, as the app is able to make a better estimation of how many futures allocations a parent order might receive. Please note that when this feature is enabled, clicking on a synthetic price will load in the Soft Limit Price required to achieve execution of the full parent order quantity at the displayed synthetic price. For example, if Price to Size is enabled, and the user has entered an Order Quantity of 200, the application might display a synthetic bid of 0’16.25. In this example, clicking on the synthetic bid loads in a value of 0’16 into the Soft Limit Price field. This is because the app is calculating that the most efficient execution of this parent order involves selling 100 contracts on a UDS market that results in an execution price of 0’16.5 and selling 100 contracts on the option market itself at a price of 0’16. The average execution price of this order is 0’16.25, but since the most aggressive price the app needs to trade all slices of this order is 0’16, this value is loaded into the Soft Limit Price field.

21. Limit Price Strictness radio buttons: These buttons allow the user to select how conservative the app is when calculating synthetic quotes. The reason for the variance in the resulting fill price from trading synthetic quotes is related to the allocation logic of futures for UDS, which is determined solely by the exchange matching engine. Consequently, TT Uncovered allows the user to decide how conservative they want the app to be when estimating futures allocations while trading UDS contracts.

    • Low: The app estimates synthetic prices and quantities based on an “average-case” execution. This means that some individual executions will be above or below this synthetic quote, but over the course of many trades, the total average execution price will converge to the displayed value.

    • Medium: The app includes multiple pessimistic factors when calculating synthetic quotes. Displayed synthetic sizes will be smaller and synthetic quotes will be wider to reflect the pessimistic assumptions made regarding the quantity of futures allocated to orders submitted by the app.

    • High: Synthetic quotes are calculated in the same manner in the Medium mode, with the additional functionality that in the event the app receives an unfavorable futures allocation, the hedging price of the futures order is priced more passively so that the overall parent order still executes within the Soft Limit Price.

22. Enable RFQ checkbox: If this box is checked, the app will send RFQs on instruments in a synthetic quote that are widely quoted and not being actively traded. RFQs are sent in a conservatively rate-limited manner so that the exchange is not flooded with RFQs in the case that the user is monitoring many synthetic quotes that incorporate a large number of UDS.

23. Audio Alert checkboxes and dropdowns: If the user wishes to receive an audio notification in the event of a fill for an option or future contract, they can enable the corresponding checkbox and choose the desired audio notification for the particular instrument type

24. Synthetic Quote grid: This grid displays all information relevant to synthetic quotes.

    • Name: Displays the name of the synthetic quote. Double-clicking on this cell will display a dialog window showing all UDS that comprise the synthetic quote.

    • Status: Displays the status of the synthetic quote. If a synthetic quote is eligible to be traded, this field will display the value Online. If no instruments in the synthetic quote could be created and subscribed to, this field will display Offline. If the underlying markets are closed, this value will display Inactive.

    • SynBidQty: Displays the best synthetic bid quantity. Double-clicking on this cell will display the instrument generating the best synthetic bid.

    • SynBid: Displays the best synthetic bid. Double-clicking on this cell will display the instrument generating the best synthetic bid.

    • SynAsk: Displays the best synthetic ask. Double-clicking on this cell will display the instrument generating the best synthetic ask.

    • SynAskQty: Displays the best synthetic ask quantity. Double-clicking on this cell will display the instrument generating the best synthetic ask.

    • OptBidQty: Displays the best option bid quantity.

    • OptionBid: Displays the best bid of the underlying option.

    • OptAsk: Displays the best ask of the underlying option.

    • OptAskQty: Displays the best option ask quantity.

    • OptionOffer: Displays the best ask of the underlying option.

25. Synthetic Quote Context menu: The user can right-click on a synthetic quote to open this menu.

    • Copy to Clipboard: Clicking this menu item will copy the best synthetic quote to the user’s clipboard so that it can be pasted into other communication platforms

    • New: Clicking this menu item will open the Synthetic Quote Definition window.

    • Clone: Clicking this menu item will open the Synthetic Quote Definition window with values loaded in from the selected synthetic quote.

    • Remove: Clicking this menu item will remove the synthetic quote from the Synthetic Quote grid. A synthetic quote cannot be removed if any orders are working on this synthetic quote.

    • Remove All. Clicking this menu item will remove all synthetic quotes from the Synthetic Quote grid. A synthetic quote cannot be removed if any orders are working on this synthetic quote.

26. Orders and Fills grid: This grid displays execution data for parent orders and all child orders.

    • Display child fills button: Clicking this button will expand the row for the parent order and display execution data for all child fills in a parent order.

    • Name: Displays the name of the parent order. Double-clicking on this cell will display a dialog window that shows all child orders this parent order is currently working.

    • StartTime: Displays the StartTime of the parent order and the submission time of child orders.

    • Side: Displays the side of the order.

    • FillQty: Displays the filled quantity of the order.

    • FillPrc: Displays the filled price of the order.

    • LimitPrc: Displays the Soft Limit Price of the parent order.

    • TIF: Displays the TIF of the parent order.

    • State: Displays the State of the parent order. Values are New, Open, ReplacePending, PartiallyFilled, FullyFilled, and Canceled.

    • OrderQty: Displays the quantity of the parent order.

    • UnHdgQty: Displays the number of futures allocations the app has not yet traded away. This value will always be 0 if Trade Away Futures Leg is unchecked.

    • OrderID: Displays the OrderID of the order.

    • MaxSweep: Displays the MaxSweepQty of the parent order.

    • MaxShow: Displays the MaxShowQty of the parent order.

    • PayUp: Displays the value of PayUpTicks for the parent order.

    • TFL: Displays the value of Trade Away Futures Leg for the parent order.

    • Cov Only: Displays the value of Only Trade Covered Spreads for the parent order.

27. Order and Fills Grid context menu: The user can right-click on a synthetic parent order row to open this menu.

    • Copy to Order Ticket: Clicking on this menu item copies the order ticket parameters of this parent order into the order ticket entry portion of the user interface. Please note that the synthetic quote that this order traded against must still exist in the Synthetic Quote grid in order to perform this operation.

    • Activate: Clicking on this menu item creates UDS and subscribes to market data for Synthetic Quotes that are Inactive. Once all instruments are created and market data subscriptions successfully complete, the Synthetic Quote is Active. Synthetic Quotes created in a previous app session or trading session are loaded in as Inactive so as to limit the number of instrument creation requests the app generates

    • Remove: Clicking on this menu item removes the parent order from this grid. Parent orders must be in a Canceled or FullyFilled state in order to be removed.

    • Remove All: Clicking on this menu item removes all parent orders from this grid. Parents order must be in a Canceled or FullyFilled state in order to be removed.

    • Cancel: Clicking on this menu item will cancel a working parent order.

    • Cancel All: Clicking on this menu item will display a dialog window confirming if the user would like to cancel all orders. If the user confirms this action, then all working parent orders will be canceled.

    • Reprice Hedge Orders to Market: Clicking this menu item will reprice all working future orders to the futures market best quote. This may result in the parent order trading past its Soft Limit Price.

28. Messages pane: Displays messages to the user regarding instrument creation, order rejects, order cancels, and other relevant events to the user.

29. Messages pane context menu: The user can right-click on the Messages pane to open this menu.

    Clear: Clicking this menu item clears all messages from the pane.

30. Open Logs Folder link: Click on this link to open Windows Explorer in the location where TT Uncovered stores log files.

Synthetic Quote Definition Window

Note You can drag-and-drop a single instrument from the TTW Market Grid or Strategy Creation widgets onto this form to automatically load the data for that instrument. Alternatively, you may select an option instrument using the Option Leg panel.

1. Search Type radio buttons: Select the method used to find the option leg of the synthetic quote. Select “Option” to use the dropdowns to find a put or call. Select “Globex Code” to search for an instrument by Globex Code.

2. Product Group dropdown: Select the product group containing the option on which to create a synthetic quote.

3. Option expiry dropdown: Select the expiry of the desired option.

4. Option strike dropdown: Select the strike of the desired option.

5. Call or Put radio buttons: Select the type of desired option.

6. Globex Instrument Code field: If searching for the option leg by Globex Code, enter the option's Globex Code here.

7. Selected Instrument name field: The name of the selected option or option strategy will be displayed here.

8. Find button: If searching by Globex Code, click this button once the user has selected the appropriate Product Group and entered the Globex Instrument Code.

9. Future Leg Expiry dropdown: Select the expiry of the hedging future leg that will be used to create UDS for the selected option or option strategy.

10. Center Delta field: Enter the Center Delta used to generate the chain of UDS that will comprise the synthetic quote. For example, if Center Delta is 3, the Sell radio button is selected, Delta Step Size is 2, and Delta Range is 2, then the application will attempt to create UDS for all specified reference prices with the following list of delta values: -7, -5, -3, -1, 1. Click the refresh button next to the center delta to update the delta from live market data values.

11. Buy or Sell radio buttons: Select the sign of the delta entered into the Delta field.

12. Delta Step Size field: Select the step size of the delta used when creating the UDS chain.

13. Delta Range field: Select the range of deltas used when creating the UDS chain.

14. Center Reference Price field: Select the Center Reference Price used when creating the UDS chain. For example, if Center Delta is 0’12 (and the instrument ticks in values of 0’01), Reference Price Step Size is 3, and Reference Price Range is 2, the app will attempt to create UDS for all specified deltas with the following list of reference prices: 0’06, 0’09, 0’12, 0’15, 0’18. Click the refresh button next to the center reference price to update the reference price from live market data values.

15. Reference Price Step Size field: Select the step size of the reference price ticks used when creating the UDS chain.

16. Reference Price Range field: Select the range of reference price ticks used when creating the UDS chain.

17. Select the Pricing Strategy used to calculate synthetic quotes. If “Vs Exiting Futures Leg at Market” is selected, synthetic quotes will be calculated relative to an estimated hedging futures price. If “Vs Fixed Base Hedge Price” is selected, synthetic quotes will be calculated relative to a fixed price, specified in the Fixed Base Hedge Price field. Synthetic Quotes with this Pricing Strategy will not trade away their futures leg allocations and will only trade Covered Spreads (i.e. the underlying option will not be traded in any circumstances). Synthetic fill prices for orders submitted against quotes with this Pricing Strategy will be calculated with the assumption that all futures allocations were traded away at the Fixed Base Hedge Price.

18. Fixed Base Hedge Price field: Select the Fixed Base Hedge Price used in the “Vs Fixed Base Hedge Price” Pricing Strategy.

19. Cancel button: Click this button to cancel the synthetic quote creation.

20. Create button: Click this button to create a synthetic quote with the specified parameters.