2. Alt + Z - Option Strategy (Spread, Triangle, Butterfly)
G.E.T.S. Option Strategy window provides 3 in build strategies SPREAD, TRIANGLE & BUTTERFLY
and user friendly platform, where user can generate various recognized option strategies on selected
(NSE – BSE – MCX’SX) Exchange Derivatives & Currency Segment. This Algorithm
consists of Quote / 2LEG / 3 LEG order type.
i) SPREAD – user can select the combination of two different strike price / option type (CE/PE) /
Expiry of the same underlying currency options.
ii) TRAINGLE – supports to select the combination between currency future (option underlying) and
both option type of single strike price.
iii) BUTTERFLY – user can select the combination of three different strike price / option type (CE/PE)
/ expiry of same underlying currency options.
3. SPREAD
Difference Type & Difference
Amount
Absolute Difference
Choose Your Strategy Choose Order Type:
Absolute Ratio
Choose Your Exchange QUOTE
Product Diff
and Pro/Cli with ID IOC
Leg Combo:
Order Execution
Sequence
QUOTE BASED
L-1 L-2
L-2 L-1
2 LEG IOC
[L-1 + L-2]
Leap & Jump
Opportunity Check: Profit Diff: Reversal Profit Amount Reference Point for
Trigger Point for Order Net Qty: Shifting Point for diff Amt Order Generation
Generation Jump Diff: Change Figure for Diff
4. All input parameters are explained below: -
1. Exchange: Define the desired Exchange
2. Pro/Cli: Pro ID or Client ID
3. Order Type: Quote/ 2-Leg (for Opportunity)
4. Fields for First Option Order (L-1) & Second Option Order (L-2)
a. Expiry Date: Derivative Expiry Date
b. Strike: Exchange Available Strike Price for the Instrument.
c. Opt Type : CE/PE
d. Buy/Sell : Order Type – Buy or Sell
5. e. Total Qty : Total No. of Lots to be executed
f. Order Qty : No. of Lots per order
5. Base Order : Leg Combo for Order Execution Sequence
6. Price Type:
g. Absolute Difference – Desired Price Diff between the two instruments.(Sell Price-Buy Price)
Strike Opt Type Buy/Sell Order Qty Market Price
5500 CE Buy 100 150
5600 CE Sell 200 100
Absolute Difference -50
6. h. Absolute Ratio – Desired Price Ratio between the two instruments (Higher Price/Lower Price)
Strike Opt Type Buy/Sell Order Qty Market Price
5500 CE Buy 100 150
5600 CE Sell 200 100
Absolute Ratio 1.5
i. Product Difference – Desired Product difference between the two instruments.{(Sell value –
Buy Value)/Minimum Quantity}
Strike Opt Type Buy/Sell Order Qty Market Price Value
5500 CE Buy 100 150 -15,000.00
5600 CE Sell 200 100 20,000.00
Product Difference .{(Buy value – Sell Value)/Minimum Quantity} 50
7. 7. Pending First Order
j. Opportunity Check & Difference – This facility will enable the user to define a trigger point in
terms of difference; beyond or above which the algo’s will start the order generation for the
spread.
Example:
If the targeted difference for a specified spread strategy is Rs.10 but the user wants to avoid
the continuous order generation by the algo, user can select order opportunity check and
define the opportunity difference amount as shown above. In that case the Algo will start the
order generation if the ongoing market difference is beyond the opportunity difference Amount
i.e. Rs.8 as illustrated above.
8. k. Bidding for Best - Amount by which the order price will be made better.
l. Tick Size – Minimum tick size movement in the underlying to trigger order
generation/modification
m. Depth Up to – Denotes the market depth level from 1 to 5.
n. Threshold Qty - Threshold quantity percentage indicates the quantity availability within market
depth mentioned into Depth Up to column.
8. Pending Second Order Conditions
o. Price Type
i. Market – Submit against order as Limit order with order price at a specified percentage
at or below the LTP, upon receiving the trades of first order.
ii. Best Bid / Ask – Submit against order at the ongoing actual best bid / ask price, upon
receiving the trades of first order.
iii. Best Buyer / Seller – Submit against order at an order price making it the best buyer /
seller price in the ongoing market, upon receiving the trades of first order.
9. iv. Actual diff – Submit against order at the actual difference set by the user, considering
the avg. trade price of counter order.
9. Timer - denotes the time interval within which pending orders will be modified.
10. Mod count - denotes the number of modifications for the pending order.
11. Market Order Upto – denotes the amount by extent to which the order price generation will be
made better than the last generated order price.
12. Leap & Jump – If opted for, after trading a specific net quantity at a specified difference, user
can alter/change the spread amount by the mentioned jumped difference figure for the next
phase of quantity.
Profit Difference – After trading the user mentioned order quantity, the algo’s will self generate
the spread reversal order at the spread difference +/- Profit Difference.
Jump Difference – On achieving the desired net quantity, user can shift the spread difference
by the mentioned jump difference.
Net Qty – The desired phase quantity to be traded before shifting the spread difference.
Example : -
10. 13. Reference Point: User can set a Reference point to trigger an order generation.
Depending upon the strategy, user can define the trigger point in Equity, Future or Option
segment to command the algo for spread order generation.
14. Strategy Name: For easy identification, facility is provided to name a particular strategy.
15. Add: Adds the new arbitrage opportunity setting to the arbitrage Grid
16. Update : Modifies any previously added settings to the arbitrage Grid
17. Remove: Removes any previously added settings from the arbitrage Gird
18. Clear All: Removes all arbitrage settings from the arbitrage Gird
19. Start : Starts calculating the opportunity and submission of the orders
20. Stop: Stops calculating the opportunity. Calling this will cancel all pending orders from order
book operated by the arbitrage module
21. Hide: Hide the active strategy window
11. TRIANGLE
Choose Order Type:
Strategy Type
Choose Your Strategy QUOTE
2 Leg IOC Conversion
Choose Your Exchange Reversion
3 Leg IOC
and Pro/Cli with ID
Leg Combo:
Order Execution
Sequence
QUOTE BASED
L-1 L-2 L-3
L-2 L-1 L-3
L-3 L-1 L-2
L-1 L-3 L-2
L-2 L-3 L-1
2 LEG IOC
[L-1 + L-2] L-3
[L-2 + L-3] L-1
[L-1 + L-3] L-2
3 LEG IOC
[L-1 + L-2 + L-3)
Leap & Jump
Opportunity Check: Profit Diff: Reversal Profit Amount
Trigger Point for Order Net Qty: Shifting Point for diff Amt
Generation Jump Diff: Change Figure for Diff
12. All input parameters are explained below: -
1. Exchange: Define the desired Exchange
2. Pro/Cli: Pro ID or Client ID
3. Order Type: Quote/ 2-Leg IOC/ 3- Leg IOC
4. Symbol: Symbols listed on Exchange with respect to instrument selected
5. Fields for First Option Order (L-1) & Second Option Order (L-2) & Third Contract Leg
Note: User needs to feed in data only for the first leg.
a. Expiry Date: Derivative Expiry Date
b. Strike: Exchange Available Strike Price for the Instrument.
c. Opt Type : CE/PE
d. Buy/Sell : Order Type – Buy or Sell
13. e. Total Qty : Total No. of Lots to be executed
f. Order Qty : No. of Lots per order
6. Base Order : Leg Combo for Order Execution Sequence
7. Price Type:
a. Conversion: (Call Sell - Put Buy - Future Buy + Strike Price)
b. Reversion: (Put Sell - Call Buy + Future Sell - Strike Price)
14. 6. Pending First Order Conditions
a. Opportunity Check & Difference – This facility will enable the user to define a trigger point in
terms of difference; beyond or above which the algo’s will start the order generation for the
spread.
Example:
If the targeted difference for a specified spread strategy is Rs.1.5 but the user wants to avoid
the continuous order generation by the algo, user can select order opportunity check and
define the opportunity difference amount as shown above. In that case the Algo will start the
15. order generation if the ongoing market difference is beyond the opportunity difference Amount
i.e. Rs.0.5 as illustrated above.
b. Bidding for Best - Amount by which the order price will be made better.
c. Tick Size – Minimum tick size movement in the underlying to trigger order
generation/modification
d. Depth Up to – Denotes the market depth level from 1 to 5.
e. Threshold Qty - Threshold quantity percentage indicates the quantity availability within market
depth mentioned into Depth Up to column.
7. Pending Second Order Conditions
p. Price Type
i. Market – Submit against order as Limit order with order price at a specified percentage
at or below the LTP, upon receiving the trades of first order.
ii. Best Bid / Ask – Submit against order at the ongoing actual best bid / ask price, upon
receiving the trades of first order.
iii. Best Buyer / Seller – Submit against order at an order price making it the best buyer /
seller price in the ongoing market, upon receiving the trades of first order.
16. iv. Actual diff – Submit against order at the actual difference set by the user, considering
the avg. trade price of counter order.
8. Timer - denotes the time interval within which pending orders will be modified.
9. Mod count - denotes the number of modifications for the pending order.
10. Market Order Upto – denotes the amount by extent to which the order price generation will be
made better than the last generated order price.
11. Leap & Jump – If opted for, after trading a specific net quantity at a specified difference, user
can alter/change the spread amount by the mentioned jumped difference figure for the next
phase of quantity.
Profit Difference – After trading the user mentioned order quantity, the algo’s will self generate
the spread reversal order at the spread difference +/- Profit Difference.
Jump Difference – On achieving the desired net quantity, user can shift the spread difference
by the mentioned jump difference.
Net Qty – The desired phase quantity to be traded before shifting the spread difference.
17. 12. Strategy Name: For easy identification, facility is provided to name a particular strategy.
13. Add: Adds the new arbitrage opportunity setting to the arbitrage Grid
14. Update : Modifies any previously added settings to the arbitrage Grid
15. Remove: Removes any previously added settings from the arbitrage Gird
16. Clear All: Removes all arbitrage settings from the arbitrage Gird
17. Start : Starts calculating the opportunity and submission of the orders
18. Stop: Stops calculating the opportunity. Calling this will cancel all pending orders from order
book operated by the arbitrage module
19. Hide: Hide the active strategy window
18. BUTTERFLY / 3 LEG OPTION STRATEGY
Choose Order Type: Strategy Type Quantity Ratio
Choose Your Strategy Choose Your Exchange
QUOTE BUTTERFLY 1–2–1
and Pro/Cli with ID 2 Leg IOC ABSOLUTE 1–1–1
3 Leg IOC PROD DIFF 1–1–1
Leg Combo:
Order Execution
Sequence
QUOTE BASED
L-1 L-2 L-3
L-2 L-1 L-3
L-3 L-1 L-2
2 LEG IOC
[L-1 + L-2] L-3
[L-2 + L-3] L-1
[L-1 + L-3] L-2
3 LEG IOC
[L-1 + L-2 + L-3)
Opportunity Check: Leap & Jump
Trigger Point for Order Profit Diff: Reversal Profit Amount
Generation Net Qty: Shifting Point for diff Amt
Jump Diff: Change Figure for Diff
19. All input parameters are explained below: -
1. Exchange: Define the desired Exchange
2. Pro/Cli: Pro ID or Client ID
3. Order Type: Quote/ 2-Leg IOC/ 3- Leg IOC
4. Symbol: Symbols listed on Exchange with respect to instrument selected
5. Fields for First Option Order (L-1) & Second Option Order (L-2) & Third Option Order
Note: User needs to feed in data only for the first leg.
a. Expiry Date: Derivative Expiry Date
b. Strike: Exchange Available Strike Price for the Instrument.
c. Opt Type : CE/PE
d. Buy/Sell : Order Type – Buy or Sell
e. Total Qty : Total No. of Lots to be executed
20. f. Order Qty : No. of Lots per order
6. Base Order : Leg Combo for Order Execution Sequence
8. Price Type:
a. Butterfly – Desired Price Diff between the three option instruments.
Strike Opt Type Buy/Sell Order Qty Market Price
5500 CE Buy 100 150
5600 CE Sell 200 100
5700 CE Buy 100 70
Butterfly -20
21. b. Absolute – Desired Price Diff between the three option instruments
Strike Opt Type Buy/Sell Order Qty Market Price
5500 CE Buy 100 150
5600 CE Sell 100 100
5700 CE Buy 100 70
Absolute -120
c. Product Difference – Desired Product difference between the three option instruments.{(Buy
value – Sell Value)/Minimum Quantity}
Strike Opt Type Buy/Sell Order Qty Mkt Price Value
5500 CE Buy 100 150 -15,000.00
5600 CE Sell 200 100 20,000.00
5700 CE Buy 100 70 -7,000.00
Product Difference .{(Buy value – Sell Value)/Minimum Quantity} -20
22. 9. Pending First Order Conditions
a. Opportunity Check & Difference – This facility will enable the user to define a trigger point in
terms of difference; beyond or above which the algo’s will start the order generation for the
spread.
Example:
If the targeted difference for a specified spread strategy is Rs.1.5 but the user wants to avoid
the continuous order generation by the algo, user can select order opportunity check and
define the opportunity difference amount as shown above. In that case the Algo will start the
order generation if the ongoing market difference is beyond the opportunity difference Amount
i.e. Rs.0.5 as illustrated above.
b. Bidding for Best - Amount by which the order price will be made better.
23. c. Tick Size – Minimum tick size movement in the underlying to trigger order
generation/modification
d. Depth Up to – Denotes the market depth level from 1 to 5.
e. Threshold Qty - Threshold quantity percentage indicates the quantity availability within market
depth mentioned into Depth Up to column.
10. Pending Second Order Conditions
q. Price Type
i. Market – Submit against order as Limit order with order price at a specified percentage
at or below the LTP, upon receiving the trades of first order.
ii. Best Bid / Ask – Submit against order at the ongoing actual best bid / ask price, upon
receiving the trades of first order.
iii. Best Buyer / Seller – Submit against order at an order price making it the best buyer /
seller price in the ongoing market, upon receiving the trades of first order.
iv. Actual diff – Submit against order at the actual difference set by the user, considering
the avg. trade price of counter order.
11. Timer - denotes the time interval within which pending orders will be modified.
24. 12. Mod count - denotes the number of modifications for the pending order.
13. Market Order Upto – denotes the amount by extent to which the order price generation will be
made better than the last generated order price.
14. Leap & Jump – If opted for, after trading a specific net quantity at a specified difference, user
can alter/change the spread amount by the mentioned jumped difference figure for the next
phase of quantity.
Profit Difference – After trading the user mentioned order quantity, the algo’s will self generate
the spread reversal order at the spread difference +/- Profit Difference.
Jump Difference – On achieving the desired net quantity, user can shift the spread difference
by the mentioned jump difference.
Net Qty – The desired phase quantity to be traded before shifting the spread difference.
15. Reference Point: User can set a Reference point to trigger an order generation.
25. Depending upon the strategy, user can define the trigger point in Equity, Future or Option
segment to command the Algo for spread order generation.
16. Strategy Name: For easy identification, facility is provided to name a particular strategy.
17. Add: Adds the new arbitrage opportunity setting to the arbitrage Grid
18. Update : Modifies any previously added settings to the arbitrage Grid
19. Remove: Removes any previously added settings from the arbitrage Gird
20. Clear All: Removes all arbitrage settings from the arbitrage Gird
21. Start : Starts calculating the opportunity and submission of the orders
22. Stop: Stops calculating the opportunity. Calling this will cancel all pending orders from order
book operated by the arbitrage module
23. Hide: Hide the active strategy window
