Strategy Settings
In this window is possible to modify the general settings of the strategy. The window “Strategy Settings” is divided in three section: Strategy, Ticks e Margins.
Strategy
In this section is possible to modify the name, the color of the strategy, the profit/loss calculation mode and the time after that the paper trading orders have to register. The color of the strategy is used to identify it in the Portfolio. Every strategy have the edge with its color.
| Ignore Market Session Times | It allows you to exclude the filter of market session set in Symbol Manager. Every stock exchange has its own trading hours. By enabling this command the system will exclude the filter of times and you will receive realtime prices also outside the trading hours set. By default this setting is disabled. |
Moneyness
In this section is possible to choose the mode whereby Iceberg will calculate the Moneyness of the options .
The following calculation methods are available:
- Alternative Underlying: Another underlying can be used, among those included in the Strategy, for example a futures;
- Put/Call Parity: For each deadline is calculated the value of the underlying through the Put/Call Parity. You only need to set the necessary deadlines and the Risk Free Rate;
- Underlying with Dividends: the price of the underlying is adjusted according to dividends entered by the user in Symbol Manager;
- Underlying without Dividends: It uses the underlying ignoring any dividends.
| For more information on Moneyness and Dividends Please read the appropriate section of the manual link |
Theoretical Prices
In this section the user can set the use of the theoretical price. Theoretical prices are calculated from Iceberg, based on the acquired volatility curves. Please read the appropriate section of the manual link.
In Session: choose if use the theoretical prices and eventually set the number of seconds since the last realtime update should take over the theoretical price;
Off Session:it set up and use the theoretical prices outside of the underlying market session set in Symbol Manager.
VaR
In this section it is possible to set the parameters for the calculation of Value At Risk. This value is also used in the Portfolio.
Margins
In this section it is possible to align the margin calculated by Iceberg with those actually required by the broker. The margin calculated by Iceberg is that required by clearing house. The broker charges an additional percentage of margin to the user . Once the strategy is saved the user imputed value is also transferred to Portfolio.
Example: when the strategy is at market you can verify the deviation occurs, we suppose 350%, now you know that the difference between broker margin and theoretical margin is 350% So it is adjusted and that remains for the life of the strategy. We used the Margine Naked ss the margin with defined risk strategies coincides with the maximum risk and does not need to be calculated, so you can, in spread case, If you first close the purchased part which will be the required margin.