Option Algos

Algo Overview

Sweep Algos

Sweep algorithms enable a synchronized order delivery mechanism to multiple exchanges to maximize liquidity capture.

• Users can send marketable limit orders to the engine to maximize liquidity capture.
• Orders will automatically route to the optimal exchange(s) based on exchange fees and available liquidity.
• Orders can interact with off-exchange liquidity pools to increase available liquidity and reduce exchange fees.

Volatility Algos

Volatility algorithms enable orders with dynamic price or volatility limits to accurately represent client's trading intent in fast markets.

• User seeks best possible fill relative to limit provided. SpiderRock Connect supports a number of tied-to-underlier limit types including volatility and price + delta limits.
• Orders will automatically route to the optimal exchange(s) based on exchange fees and available liquidity.

Multi-leg Algos

Multi-leg algorithms enable spread orders to sweep available liquidity across Exchange COBs or working orders in single-leg markets.

• Spread orders (up to 6 option legs and 1 stock leg) can seek liquidity on Exchange COBs or source liquidity across multiple single-leg exchanges.
• Spread limit price can be static or tied to the underlying instrument.
• Options fills can be automatically hedged / legging style orders can include an auto-complete slippage and a leg size exposure parameter.

Alpha Taking Algos

Alpha taking algorithms reduce transaction costs by timing the release of marketable limit orders based on dynamic surface limits or probability limits.

• Orders wait for actionable opportunity to remove liquidity so that fills are statistically targeting a mid-market or better fill a few minutes forward.
• Probability calculations are inclusive of expected exchange fees.
• Alpha probabilities are recomputed continuously as market data changes.

Alpha Making Algos

Alpha making algorithms reduce transaction costs by posting and moving orders into exchange order books based on dynamic surface limits or probability limits.

• Orders are almost always liquidity-adding orders on exchange and can include a traditional static or tied-to-underlier limit.
• Algo instructions specify how much orders can improve markets.
• Probability calculations are inclusive of expected exchange fees and expected depth profile when adding a new order to an exchange order book.

Facilitation Algos

Facilitation algorithms enable client firms to submit facilitation orders to exchanges for public exposure prior to crossing with firm interest.

• Crossing algos can be used to either maximize or minimize firm interaction with client orders.
• Orders will sweep all available liquidity or create space to facilitate via exchange auction mechanisms.
• Client can leverage SpiderRock alpha probabilities to make real-time facilitation decisions.

Sweep Algos

Sweep algos maximize liquidity capture with immediately marketable limit orders on products that are multiply listed.

Order type: Simple market orders without an explicit destination.

Mechanism: SpiderRock Connect optimizes the child-order delivery to available exchanges in order to either minimize exchange fees when attempting to trade less than visible size, or maximize liquidity capture when attempting to trade visible size or more.

Corresponding FIX Tags

Option	GUI Tool	FIX Tag	FIX Value
Order Type	ActiveTaker	5094	1
Post Type	NoPost	5096	0
Make Limit Class	Simple	5102	0
Take Limit Class	Simple	5100	0
Limit Type	Market	5098	0

Volatility Algos

Volatility algos work an order at the best possible price relative to the user-limit expressed in volatility or price + delta based.

Order Type: Simple dynamic limit orders that are sensitive to exchange fee/rebate profiles

Mechanism: SpiderRock Connect's execution engines will dynamically determine the best venue based primarily on exchange fees followed by available liquidity, and will cancel and replace child orders as the underlier price moves to accurately represent client trading intent.

Corresponding FIX Tags

Option	GUI Tool	FIX Tag	FIX Value
Order Type	ActiveTaker	5094	1
Post Type	PostLimit	5096	4
Make Limit Class	Simple	5102	0
Take Limit Class	Simple	5100	0
Limit Type if Vol	Mid, Cross, Market		5098
Limit Type if Prc	Market, MarketArrival, Prc, PrcDe, PrcDeX, PrcDeT, PrcDeP, PrcDeXT, PrcDeXP, Vol, VolX, PrcV, PrcVX, VolPrc, RelMid, RelJoin, RelCross, SmrtFast, SmrtNorm, RelTurn	5098	0, 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19

Multi-Leg Algos

The SpiderRock spread order handler offers enhanced ways to source liquidity by sweeping the complex order books (COBs) or work orders in single-leg markets.

Order Type: Simple dynamic limit orders that are sensitive to exchange fee/rebate profiles

Mechanism: Spread orders are comprised of a maximum of 6 option legs and 1 stock leg. They are either static limit orders or have a price + delta limit tied to an underlying symbol. They can post liquidity or wait to be marketable before being represented in the market. They can also be auto-hedged with the corresponding underlying instrument.

Mechanism/Algo Settings: Spread orders can be sent up to 3 different COBs. If any responses are received and the parent order remains unfilled, the parent order balance will be moved to the exchange with the best response. If no responses are received, the order will either be left on the COB (Seeker) or switched to the MultiLegLegger handle depending on the order type selected. This handler can source liquidity across multiple single-leg exchanges. While this handler attempts to fill the order in discrete leg packages, it does have legging risk. Users can choose not to post liquidity and wait until some number of spread units become marketable, or post liquidity to compete more aggressively with public interest.

Corresponding FIX Tags

Option	GUI Tool	FIX Tag	FIX Value
Order Type	Seeker, Seek/Leg, Legger, Facilitate	5094	9, 10, 8, 6
Post Type	NoPost, PostWith, PostTurn, PostImpr, PostLimit, PostLmtW, PostWithF	5096	0, 1, 2, 3, 4, 5, 7
Make Limit Class,	Simple, Surface, Probability, mksurf|tkprob	5102	0, 1, 2, 3
Take Limit Class	Simple, Surface, Probability, mksurf|tkprob	5100	0, 1, 2, 3
Limit Type	Market, MarketArrival, Prc, PrcDe, PrcDeX, PrcDeT, PrcDeP, PrcDeXT, PrcDeXP, Vol, VolX, PrcV, PrcVX, VolPrc, RelMid, RelJoin, RelCross, SmrtFast, SmrtNorm, RelTurn	5098	0, 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19
Exposure	10%, 20$, 50%, 100%	5046	Integer (%)
Slippage	Pennies (num field)	5204	Price
Lead	Buy, Sell, Any	5202	1, 2, 0

Alpha Taking Algos

Alpha taking algos reduce transaction costs by timing the release of marketable limit orders based on surface limits or probability limits.

Order Type: These orders are marketable limit orders triggered by the SpiderRock dynamic surface (+ or – an offset) or alpha probabilities. Users can express the probability at which they want to work an order. Parent orders are discretionary and wait for an actionable opportunity. Orders don’t necessarily fill.

Mechanism/Algo Settings: Orders remain dark until triggered by a secondary limit (Surface or Probability). Alpha probabilities are numerical estimates of expected short term profitability of the available price points at or between the current public bid and offer and are derived from SpiderRock machine learning algorithms.

Corresponding FIX Tags

Option	GUI Tool	FIX Tag	FIX Value
Order Type	ActiveTaker	5094	1
Post Type	NoPost	5096	0
Take Limit Class	Surface, Probability, mksurf|tkprob	5100	1, 2, 3
Limit Type if Vol	Mid, Cross, Market		5098
Limit Type if Prc	Market, MarketArrival, Prc, PrcDe, PrcDeX, PrcDeT, PrcDeP, PrcDeXT, PrcDeXP, Vol, VolX, PrcV, PrcVX, VolPrc, RelMid, RelJoin, RelCross, SmrtFast, SmrtNorm, RelTurn	5098	0, 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19
Surface Limit	Prc Offset ask, Prc Offset bid	5518, 5536	Price
Take Probability Alpha Type	Static, Relative, Eagle, Hawk, Falcon	5128	1, 5, 3, 2, 4
Take Probability Limit	If Static: set TakeLimit (Num)	5136	float

Alpha Making Algos

Alpha making algos reduce transaction costs by posting liquidity based on dynamic surface limits or probability limits (which are often better the NBBO).

Order Type: These orders are non-marketable limit orders that are designed to never remove liquidity. These orders typically have a primary user-supplied limit, which acts as a top or bottom limit, and a secondary limit expressed as a + or - offset from the SpiderRock surface, or leaning on the SpiderRock alpha probabilities. Orders are discretionary resting orders and may not fill.

Mechanism/Algo settings: Orders will post in the market at levels that are computed from the effective limit, which is the tightest of the user-supplied limit and the secondary limit (based on the Surface or Probability). The limit at which the order is represented in the market is highly dynamic and will generate a number of cancels/replaces to achieve the desired level of execution.

Corresponding FIX Tags

Option	GUI Tool	FIX Tag	FIX Value
Order Type	PostOnly	5094	2
Post Type	PostWith, PostTurn, PostImpr, PostLimit, PostLmtW, PostWithF, PostFlash	5096	0, 1, 2, 3, 4, 5, 7
Make Limit Class	Surface, Probability	5102	1, 2, 3
Limit Type if Vol	Mid, Cross, Market	5098	9, 10, 0
Limit Type if Prc	Market, MarketArrival, Prc, PrcDe, PrcDeX, PrcDeT, PrcDeP, PrcDeXT, PrcDeXP, Vol, VolX, PrcV, PrcVX, VolPrc, RelMid, RelJoin, RelCross, SmrtFast, SmrtNorm, RelTurn	5098	0, 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19
Surface Limit	Prc Offset ask, Prc Offset bid	5518, 5536	Price
Make Probability Alpha Type	Static, Relative, Eagle, Hawk, Falcon	5130	1, 5, 3, 2, 4
Make Probability Limit	If Static: set MakeLimit (Num)	5138	float

Corresponding Alpha Taking and Making Algos

Alpha Taking and Alpha Making algos can be combined. Users will post in the market, if the limit becomes marketable the taking component of the algo will take that price.

Corresponding FIX Tags

Option	GUI Tool	FIX Tag	FIX Value
Order Type	ActiveTaker	5094	1
Post Type	PostWith, PostTurn, PostImpr, PostLimit, PostLmtW, PostWithF, PostFlash	5096	0, 1, 2, 3, 4, 5, 7
Take Limit Class	Surface, Probability, mksurf|tkprob	5100	1, 2, 3
Make Limit Class,	Simple, Surface, Probability, mksurf|tkprob	5102	0, 1, 2, 3
Limit Type if Vol	Mid, Cross, Market	5098	9, 10, 0
Limit Type if Prc	Market, MarketArrival, Prc, PrcDe, PrcDeX, PrcDeT, PrcDeP, PrcDeXT, PrcDeXP, Vol, VolX, PrcV, PrcVX, VolPrc, RelMid, RelJoin, RelCross, SmrtFast, SmrtNorm, RelTurn	5098	0, 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19
Surface Limit	Prc Offset ask, Prc Offset bid	5518, 5536	Price
Take Probability Alpha Type	Static, Relative, Eagle, Hawk, Falcon	5128	1, 5, 3, 2, 4
Make Probability Alpha Type	Static, Relative, Eagle, Hawk, Falcon	5130	1, 5, 3, 2, 4
Take Probability Limit	If Static: set TakeLimit (Num)	5136	float
Make Probability Limit	If Static: set MakeLimit (Num)	5138	float

Common Order Parameters

Common Order Modifiers	Description	FIX Tag	FIX Value
Start Type	Immediate, WaitTrigger, Staged	5090	0, 1, 2
ActiveOrderSize	(num)	5044	int
TimeInForce	Day, IOC, GTD, ExtDay, Week, ExtWeek	5084	1, 2, 3, 4, 5, 6
OrderDuration	(num)seconds	5086	int
GoodTillDttm	UTC Timestamp	5088	datetime
AltRouteCode	Alternative child order route code	5028	string
Strategy	Text strategy field	5034	string
Exchanges	Comma-separated exchange list, default=all	5082	string
MaxExposureSize	Maximum exposure size of order	5046	int
NumMakeExchanges	Number of public exchanges to post	5048	int
PublicSize	None, Randomize, MktSize, FullSize	5050	0, 1, 2, 3
CanCxlOverlap	Yes, No	5052	Y, N
MaxChildOrders	Upper bound for the number of child orders	5080	int
TwapSliceCount	Number of TWAP slices (default = 1)	5056	int
TakeReach	Immediate, Delayed, Passive, WeakOnly	5104	0, 1, 2, 3
OrderPriceOffset	default = 0	5126	price
OrderPrcLimit	If LimitType = Prc	5106	price
TakeAlphaFactor	For relative probability limit	5132	float
MakeAlphaFactor	For relative probability limit	5134	float
MaxAccDayDDeltaLn	max account day $delta long (num)	5253	float
MaxAccDayDDeltaSh	max account day $delta short (num)	5254	float
MaxSymDayDDeltaLn	max symbol day $delta long (num)	5259	float
MaxSymDayDDeltaSh	max symbol day $delta short (num)	5260	float
OrderRefUPrc	stock reference price, default = 0	5108	price
OrderRefDelta	Reference delta, default = option delta	5110	float
OrderRefGamma	Reference delta, default = option gamma	5112	float
OrderRefTheta	Reference theta, default = option theta	5114	float
OrderRefMetric1	User-supplied custom risk metric #1	5192	float
OrderRefMetric2	User-supplied custom risk metric #2	5194	float
OrderRefMetric3	User-supplied custom risk metric #3	5196	float
OrderRefMetric4	User-supplied custom risk metric #4	5198	float
OrderVolLimit	if LmtType=Vol, VolX,VolPrc. Igrored if LmtType=Market	5116	float
RateOverride	ignore is 0, if > 0, override	5118	float
SDivOverride	SDivOverride	5120	float
DDivOverride	Discrete Div Override	5122	string
srOverrideCode	is LimitType = Vol, SDivOnly, DDivOnly, Both	5124	S, D, B
srMakeSurfacePrcOffset	default = 0	5144	float
srTakeSurfacePrcOffset	default = 0	5410	float
srMakeSurfaceVolOffset	default = 0	5146	float
srTakeSurfaceVolOffset	default = 0	5142	float
srCxlUPrcRange	Cancel order is outside stock price range	5072	Y, N
srMinUBid	Will hold if outside min stock price	5074	float
srMaxUAsk	Will hold if outside max stock price	5076	float
srMinOptionPx	Option floor price for tied to stock orders	5078	float
srAutoHedge	NoHedge, FastCrx, AutoCrx, AutoTrn, AutoMid, SpdrAuto, Spdr10S, Spdr30S, Spdr90S, Spdr5M, Spdr30M, Static	5152	N, X, F, S, M, A, 1, 3, 9, 5, H, T
srAutoHedgeSSaleFlag	Long, Short, Exempt, Auto, Open, Close, Cover, NA	5172	1, 2, 3, 4, 5, 6, 8, 7
srAutoHedgeClOrdID	Required if AutoHedge enabled. ClOrdld that will be used on hedge execution	5010	string
srMaxAccDayWtVegaLn	max account day wvega (time-weighted) short	5251	float
srMaxAccDayWtVegaSh	max account day wvega (time-weighted) long	5252	float
srMaxExpDayWtVegaLn	max account+expiration day wvega (time-weighted) long	5255	float
srMaxExpDayWtVegaSh	max account+expiration day wvega (time-weighted) short	5256	float
srMaxSymDayWtVegaLn	max account+symbol day vega long	5257	float
srMaxSymDayWtVegaSh	max account+symbol day vega short	5258	float