2. Alt + X - Option Box / 4 Leg (White Box) Strategy
G.E.T.S. Option Box Strategy window provides two in build strategies Box & 4 Leg (White Box) and user
friendly platform, where user can generate recognized option strategies on selected (NSE – BSE –
MCX’SX) Exchange Derivatives & Currency Segment. This Algorithm consists of Quote /
2LEG / 3 LEG order type.
i. BOX – Box is a combination of a dual option position involving a bull and bear spread with
identical expiry dates that has a certain payoff.
ii. 4 LEG (White Box) – 4 Leg is a combination of option position spread - Long Condor
Spread , Iron Butterfly, Iron Condor, etc with identical or different expiry dates and identical
or different quantities for each four leg.
3. Alt + X - Box Strategy and 4 Leg (White Box) Strategy
Choose Your Strategy Choose Your Exchange
Box Choose Choose Order Type:
and Pro/Cli with ID
4 Leg Strategy Order QUOTE
2 Leg IOC
Type 3 Leg IOC
Choose your Symbol
Leg Combo: Order
Execution Sequence
QUOTE BASED
[L1] [L2 L3 L4]
[L2] [L1 L3 L4]
[L3] [L1 L2 L4]
[L4] [L1 L2 L3]
2 LEG IOC
[L1+L2] [L3 L4]
[L1+L3] [L2 L4]
[L1+L4] [L2 L3]
[L2+L3] [L1 L4]
[L2+L4] [L1 L3]
[L3+L4] [L1 L2]
3 LEG IOC
[L1+L2+L3] [L4]
[L1+L2+L4] [L3]
[L1+L3+L4] [L2]
[L2+L3+L4] [L1]
Facilitates to define different
quantities for each leg in 4
Against Order
Leg (White Box) strategy
Parameter
4. All input parameters are explained below: -
1. Strategy Type : Box Strategy/4 Legs Order
2. Exchange: Define the desired Exchange
3. Pro/Cli: Pro ID or Client ID
4. Order Type: Quote/ 2-Leg / 3-Leg (for Opportunity)
5. Symbol: Symbols listed on Exchange with respect to instrument selected
6. Fields for First Option Order (L-1), Second Option Order (L-2), Third Option Order (L-3) & Fourth Option Order (L-4)
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. 7. Base Order : Leg Combo for Order Execution Sequence
8. Quantity: [For All Four Legs]
a. Order Quantity : Max Quantity to be placed per opportunity
b. Total Quantity : Total Quantity to be done for the specified side
9. First Order Price Conditions:
a. Price Type :
6. I) Box Strategy
BOX - [STRIKE PRICE DIFFERENCE +/- NET PREMIUM PAYOFF]
Strike Opt Type Buy/Sell Order Qty Market Price
5800 CE Sell 100 35
5700 CE Buy 100 72
5800 PE Buy 100 165
5700 PE Sell 100 105
Box Spread [Strike Difference +/- Net Premium Payoff] 3
ii) 4 Leg [White Box] Strategy
Absolute Difference - [+/- NET PREMIUM PAYOFF]
Strike Opt Type Buy/Sell Order Qty Market Price
5700 CE Buy 100 265
5800 CE Sell 150 180
5900 CE Buy 200 115
6000 CE Sell 250 65
4 Leg (White Box) Strategy – Abs. Diff [ +/- Net Premium Payoff] -135
7. Product Difference - {(BUY VALUE – SELL VALUE)/MINIMUM ORDER QUANTITY}
Strike Opt Type Buy/Sell Order Qty Market Price Value
5700 CE Buy 100 265 -26,500.00
5800 CE Sell 150 180 27,000.00
5900 CE Buy 200 115 -23,000.00
6000 CE Sell 250 65 16,250.00
4 Leg (White Box) Strategy - Product Diff. {(Buy value – Sell Value)/Minimum Quantity} -62.5
a. Bidding for Best - Amount by which the order price will be made better.
b. Time – Applicable for the counter order
c. Abs% - When the mentioned percentage is reached then remaining orders will be triggered.
10. Against Order Parameter
a. Price Type
i. Market – Submit the against order as Limit order with price as LTP, upon receiving the trades of first order
ii. Best Bid / Ask – Submit the against order at best bid / ask price, upon receiving the trades of first order
iii. Best Buyer / Seller – Submit the against order at best buyer / seller price, 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.
8. 11. Timer - denotes the time interval within which pending orders will be modified.
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. Mod Ord – Tick size for against order (for best buyer/seller)
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
