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--- en:hedging [2016/08/11 12:38]
127.0.0.1 modifica esterna
+++ en:hedging [2017/12/29 14:52] (versione attuale)
playoptions
@@ Linea 1: / Linea 1: @@
-=====Hedging=====
+=====Strategy - Hedging=====
-\\
 Hedging section has two tab: Settings e Charts which will be analyzed.
 ----
 ====Video Tutorial====
-|{{ :film_camera_35mm_b_24.png |}}|24/03/2016|[[https://youtu.be/2cKAByNwlsQ?list=PL4sktvLDfqTQinSncUVPd3NytIHrEHVoT| Hedging - Cos'è l'hedging - Didattico]]| 11:42|
+|{{ :film_camera_35mm_b_24.png |}}|24/03/2016|[[https://youtu.be/2cKAByNwlsQ?list=PL4sktvLDfqTQinSncUVPd3NytIHrEHVoT| Hedging - Cos'è l'hedging - Didattico]]| 11:42|{{ :italy_24.png |}}|
-|{{ :film_camera_35mm_b_24.png |}}|24/03/2016|[[https://youtu.be/LYDVa2_ytdA?list=PL4sktvLDfqTQinSncUVPd3NytIHrEHVoT| Hedging - Impostazioni]]| 18:44|
+|{{ :film_camera_35mm_b_24.png |}}|24/03/2016|[[https://youtu.be/LYDVa2_ytdA?list=PL4sktvLDfqTQinSncUVPd3NytIHrEHVoT| Hedging - Impostazioni]]| 18:44|{{ :italy_24.png |}}|
-|{{ :film_camera_35mm_b_24.png |}}|24/03/2016|[[https://youtu.be/PLGEE4foSAk?list=PL4sktvLDfqTQinSncUVPd3NytIHrEHVoT| Hedging - Analisi]]| 12:52|
+|{{ :film_camera_35mm_b_24.png |}}|24/03/2016|[[https://youtu.be/PLGEE4foSAk?list=PL4sktvLDfqTQinSncUVPd3NytIHrEHVoT| Hedging - Analisi]]| 12:52|{{ :italy_24.png |}}|
-**Click[[video_tutorial|qui]] to see other video [[video_tutorial|Video di Iceberg]]**
+**Click [[video_tutorial|here]] to watch other video [[video_tutorial|Video di Iceberg]]**
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@@ Linea 31: / Linea 31: @@
 ===Strategy===
-|{{:eng_strategy.png?nolink }}| Open the sub-menu Strategy||
+|{{:eng_strategy.png?nolink }}| open the sub-menu Strategy||
-|{{:eng_strategy_new.png?nolink }}| It allows to create a new strategy||
+|{{:eng_strategy_new.png?nolink }}| it allows to create a new strategy||
-|{{:eng_strategy_open.png?nolink }}| It allows to open a previous saved strategy ||
+|{{:eng_strategy_open.png?nolink }}| it allows to open a previous saved strategy ||
-|{{:eng_strategy_save.png?nolink }}| It allows to save the strategy in use||
+|{{:eng_strategy_save.png?nolink }}| it allows to save the strategy in use||
 |{{:eng_strategy_settings.png?nolink }}| open the window [[strategy_settings|Strategy Settings]] for strategy settings||
 ===Edit===
-|{{:eng_wf_finish.png?nolink|}}| it confirm changes in Hedging settings
+|{{:eng_wf_finish.png?nolink|}}| it confirm changes in Hedging settings|
 |{{:eng_wf_cancel.png?nolink|}}| it delete changes in Hedging settings|
 ===Hedging===
-|{{:eng_hedging_enable.png?nolink }}| Enable or Disable Hedging||
+|{{:eng_hedging_enable.png?nolink }}| enable or disable Hedging||
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@@ Linea 51: / Linea 51: @@
 |{{:eng_menu_button_template.png?nolink }}| open the sub-menu "Template" ||
-|{{:eng_template_load_template.png?nolink }}| It allows to save the template of the payoff in use. Il template is the configuration of the Payoff||
+|{{:eng_template_load_template.png?nolink }}| it allows to save the template of the payoff in use. Il template is the configuration of the Payoff||
-|{{:eng_template_save_template.png?nolink }}| It allows to load template previously saved and apply them to the payoff in use||
+|{{:eng_template_save_template.png?nolink }}| it allows to load template previously saved and apply them to the payoff in use||
 |{{:eng_template_default.png?nolink |}}| it allows to save template in use as default for the next payoff ||
-|{{:eng_payoff_reset.png?direct }}| It allows to reset the zoom||
+|{{:eng_payoff_reset.png?direct }}| it allows to reset the zoom||
-|{{:view_crosshair.png?direct }}| It allows to enable or disable the Crosshair for the payoff||
+|{{:view_crosshair.png?direct }}| it allows to enable or disable the Crosshair for the payoff||
-|{{:eng_payoff_save.png?nolink }}| It allows to save the payoff of the strategy in image format (*.png). The image will be saved to the Pictures folder of beeTrader, in the user's Documents||
+|{{:eng_payoff_save.png?nolink }}| it allows to save the payoff of the strategy in image format (*.png). The image will be saved to the Pictures folder of beeTrader, in the user's Documents||
-|{{:eng_payoff_print.png?nolink }}| It allows to print the Payoff of Strategy currently in use. Feature available on the PC in use if there is a printer||
+|{{:eng_payoff_print.png?nolink }}| it allows to print the Payoff of Strategy currently in use. Feature available on the PC in use if there is a printer||
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@@ Linea 69: / Linea 69: @@
   * Continuos: This type of hedging starts neutralizing Delta immediately and it buy/sell the instrument to mantain delta-zero for every price fluctuation. The advantage is that delta will be always next to zero. The disadvantage is that a huge amount of operations will be needed to mantain delta next to zero so we will have high costs of transactions and spreads. Continuos Hedging is usually used when the profit target is the free risk rate.\\
   * Threshold: This type of hedging starts neutralizing Delta when underlying price reach to a threshold which is a price established by the user.\\
+----
+===Delta Threshold===
+{{ :hedging_settings_9.png?nolink&600 |}}
+Delta 0 with tolerance-: allows you to set a threshold for the value of the delta to be protected, so not delta to 0, but for example +/- 2 €. The system will keep the strategy delta within the set threshold. As soon as the delta exceeds the threshold (positive or negative), the delta will be brought to 0 and the set thresholds will revert to +/- 2 € in the example.
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@@ Linea 93: / Linea 102: @@
 In this section you can add the instrument (stocks, futures, options, ETF, etc.) to be used to neutralize delta.
+|**Nota: If you use an ETF as an hedging instrument you need to set the "ETF ratio" of that ETF. You set this parameter in [[http://manuals.playoptions.it/beeTrader/doku.php?id=symbol_manager|Symbol Manager]]. It denote the ratio between the underlying and the ETF. Take an example: The underlying is the dj Euro Stoxx 50 and it quote 2800 points, the ETF quote 28, the ETF ratio that you have to set is 100. This rule is valid for long ETF, whether the ETF is short you have to set a negative value.**|
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@@ Linea 102: / Linea 113: @@
   * Name: it displays the instrument used for delta hedging and its settings;
-  * Order Direction: the user can choose the direction of order used to hedge the delta: Long, Short e Long & Short. This think is useful when options are used to hedge ;
+  * Hedge Order Direction: the user can choose the direction of order used to hedge the delta: Long, Short e Long & Short. This think is useful when options are used to hedge ;
   * Contract Delta: it represents the delta value expressed in euro of one contract;
   * Hedge Priority: The user can choose between Macro Adjustment and Fine Adjustment. Depending on the choice made by the user in the system will give priority to instruments indicated by Macro Adjustment to neutralize much of the delta and then use the instrument marked with Fine Adjustment to refine the delta hedging. If multiple instruments is associated with the same priority (Macro Adjustment and Fine Adjustment) the system will balance the delta dividing it evenly among the instruments. The most common use is to use futures as Macro Adjustment and stocks as Fine Adjustment;
-  * Order Type: the user can choose the type of order to use between Market, Join, Improve, Split, Shave, Hit & Take, Hit & Take +. For the description of [[orders_type|Orders Type]], click [[orders_type|qui]];
+  * Hedge Price Type: the user can choose the type of order to use between Market, Join, Improve, Split, Shave, Hit & Take, Hit & Take +. For the description of [[orders_type|Orders Type]], click [[orders_type|qui]];
-  * Smart Move: the Smart Move system allows the sending of an order and the automatic change pf the price if it is not executed;
+  * Hedge Use Smart Move: the Smart Move system allows the sending of an order and the automatic change pf the price if it is not executed;
-  * Smart Move Amount (Ticks):it represents the price change between an order and the subsequent expressed in ticks;
+  * Hedge Smart Move Step (Ticks):it represents the price change between an order and the subsequent expressed in ticks. User needs to write the ticks quantity, conversion to currency or points be automatically carried out based on security ticks settings in [[http://manuals.playoptions.it/beeTrader/doku.php?id=symbol_manager|Symbol Manager]]. For more informations on [[it:orders_type|Smart Move]], click [[it:orders_type|here]];
-  * Smart Move Interval (secs): It represents the interval of time between an order and the next;
+  * Hedge Smart Move Interval (Secs): It represents the interval of time between an order and the next. For more informations on [[it:orders_type|Smart Move]], click [[it:orders_type|here]];
   * Order Placement Mode:  Here you choose how Iceberg must manage the delta hedging orders. Suggest Only: in this case the generation of an order in Iceberg is reported on the General tab, and the pending order is finalized in  [[paper_real|Real Market]] o [[paper_real|Paper Trading]]. Paper Trading (Automatic): In this case the generation of an order it is automatically finalized Paper Trading. Real Market (Manual): in this case the generation of an order appears the book corresponding to sending the order in Real Market. Real Market (Automatic): In this case the generation of an order is automatically sent to the broker with the price of the type previously set. **For any order, generation is conditioned to Date Filters.**
@@ Linea 117: / Linea 128: @@
 {{ :hedging_settings_6.png?nolink&600 |}}
-This section allows to set the control frequency of the strategy's delta, or the system will calculate delta. Four modality are disponible:
+This section allows to set the control frequency of the strategy's delta, or the system will calculate delta.
-  * Contracts: the system hedge the delta only after the specify number of contract  definite in Hedge Min. Quantity is reached. It is possible to choose the minimum amount for every instrument  ;
+Mode:
+  * Contracts: the system hedge the delta only after the specify number of contract  definite in Hedge Min. Quantity is reached. It is possible to choose the minimum amount for every instrument;
   * Time Interval: the system checks whether is necessary hedge the delta every Time Interval (minutes);
-  * Time of Day: The system checks whether is necessary hedge the delta in a determined hour of the day  ;
+  * Time of Day: The system checks whether is necessary hedge the delta in a determined hour of the day;
-  * Price Change: The system checks whether is necessary hedge the delta after a % underlying price change .
+  * Price Change: The system checks whether is necessary hedge the delta after a % underlying price change.
+The "Contracts" mode is equivalent to using the "Delta 0 with tolerance" that can be set on the Delta Thresholds tab. Each contract has its own delta value therefore, in the example, setting a minimum quantity of 2 shares (with a delta 1 €) is equivalent to having set 2 € in the Delta Threshold value.\\
+For all other modes (Time Interval, Timo of Day, Price Change) the Delta Threshold acts as primary filter, so until you have exceeded the set value the hedging system will not make corrections independently of any other setting frequency.
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