Hedge Agent

Hedge Agent delta hedges an entire portfolio of managed orders at market price, BASB (buy ask/sell bid), or BBSA (buy bid/sell ask). The hedging occurs on executions as they arrive and only for those orders sent by the user running the managed order.

The hedge trade is placed in a destination portfolio using the selected route at the correct price. No hedging occurs until the accumulated hedge quantity is equal to, or greater than, the defined minimum delta.

With the Managed Order Console selected:

Ctrl + Shift + H

Alternate Method:

Right-click in the Managed Order Grid and select New Managed Order --> Hedge Agent

The basic configuration of Hedge Agent consists of selecting the portfolio containing the orders to be hedged and the destination portfolio for the hedged orders. Additionally, the route, minimum order size, price type, and optional incremental value are defined.

Portfolio To Hedge

From the drop-down list of portfolio names, select the portfolio in which orders will be delta hedged.

Destination Portfolio

Select the destination portfolio in which hedged orders will be placed, from the drop-down list of portfolio names. Select <Default> to use the global default portfolio for the hedged orders.

Note: The destination portfolio can be the same as the one selected in the Portfolio To Hedge.

Route

Select a route that Hedge Agent will use to delta hedge orders. Select <Default> to use the system default route (as defined in Global Configuration).

Min(imum) Delta

Hedge Agent will not delta hedge a portfolio below the value entered in the Min(imum) Delta field.

Enter the minimum delta value or select a value using the up/down spinner arrows.

Price Type

Hedge Agent supports the Market, BASB, and BBSA price types.

To have BASB & BBSA price types available for selection, the option "Allow side relative price types in orders tickets (BBSA, BASB, Peg BBSA, Peg BASB)" must be checked on the Orders page of Global Configuration.

Inc(rement)

When the price type is BASB or BBSA, it can be modified by a specified increment.

Enter an increment value or select one from the up/down spinner arrows.

The Root Hedge Overrides table allows a user to hedge incoming options of the root and hedge symbol. It "overrides" the default behavior of WTP to hedge with the underlier.

In the Root column, type a symbol name or select one from the drop-down list.

In the Hedge Symbol column, enter the symbol to hedge with (either from the drop-down list or by typing directly in the column).

Delete a root hedge override by selecting the Del button in the appropriate row.

Symbols in the Portfolio To Hedge may be subject to short-sale and restricted rules.

In the Advanced Parameter grid of Hedge Agent, such symbols can be selected and confirmed for short sales. Each row in the Advanced Parameters grid can be defined for a different symbol.

Select a symbol from the drop-down list.

Confirm Short Sale—Normally, WTP issues a confirmation message when a short-sale condition exists. Checking the Confirm Short Sale box means that a short-sale with the selected symbol is "pre-approved", and no confirmation message will be issued.

When Confirm Short Sale is unchecked, a confirmation message will launch when Hedge Agent tries to work a short sale.

Confirm Rule—Similar in function to Confirm Short Sale, checking the Confirm Rule box indicates that a warning about a particular security (for example, the security is restricted) will not be generated because the security has been "pre-approved".

When Confirm Rule is unchecked and a rule needs to be confirmed, the symbol will stall.

Key in the Locate ID and/or Override Reason as necessary.

Round Lots Only

Check this box if trading shares only in round lots (i.e., 100, 200, 300, etc.) is desired.

Safeguards are common throughout all Managed Orders. Click here to learn about them.

If Hedge Agent is unable to trade a particular symbol, a stall occurs. Hedge Agent will, however, continue to hedge the remaining symbols despite the stall.

There are a number of issues that could cause a symbol stall. Here are just a few:

No market data
Stale market data
Short sale
Route issues: Invalid, route, route unavailable, can't trade on route, price type not allowed on route, etc.
Trading halted
Hard-to-borrow confirmation required
Invalid delta (not between -1 and 1)

If a symbol stall occurs, Hedge Agent will report it in the Symbol Status table. Select Symbol Status to view the table.