User-Defined Strategies (UDS)

UDS are multi-leg, tradable options strategies created by an individual and registered by an exchange for general open market trading. The formula includes legs composed of an operator, ratio, and contract.

Generally, a definition of UDS is exchange specific. Some common UDS are recognized by exchanges, but they may have different specifications. You should be aware of these differences and should refer to specific exchanges for detailed information. For example, Exchange A and Exchange E may recognize certain butterflies, but Exchange A may require their specification from the buy side, while the Exchange E may support buy and sell side specification.

In CQG, UDS are built in to Strategy Analysis (on the Strategy drop-down menu). The menu includes several common strategies as well as strategies that are not tradable (such as covered UDS). You can also create custom UDS.

UDS are saved as QFormulas, and you work with them in that format. QFormulas can be created through Strategy Analysis or using Formula Builder and the User Defined Strategy (UDS) function.

UDS format

UDS expressions are composed of a UDS formula and UDS type preceded by the strategy identifier:

UDS (<UDS formula>, <UDS type>)

A UDS formula is composed of multiple legs in this format:

 <operator><ratio>*<CQG symbol>

operator  = buy (+) or sell (-)

ratio =  positive integer used to state quantity

Examples:

UDS (C.US.CLEN1410400-2*C.US.CLEN1410450+C.US.CLEN1410500, BflyCL)

UDS (-C.US.TYAU1412400+C.US.TYAU1412450+P.US.TYAU1412500-P.US.TYAU1412550, IBGutS)

UDS (C.US.ENQU1437900-C.US.ENQU1438000+P.US.ENQU1438000-P.US.ENQU1437900, Box)

UDS (P.US.USAU1413500+P.US.USAU1413600-P.US.USAU1413700, CTreePS)

UDS (C.EPZ317850 - 2 * P.EPH417900 + C.EPM417950) = custom options strategy

Notes:

•      Intercommdity UDS are allowed. All leg commodities must have the same conversion parameters.

•      The same put/call side must be used for all legs of options UDS.

•      For custom formulas, the UDS type is not used.

•      These strategies cannot be nested; that is, they cannot be the leg of another synthetic strategy and they cannot contain another strategy as a leg.

UDS types

UDS that do not use one of these strategies are considered custom.

The strategy abbreviation is used as part of UDS expression (strategy formula).

Note that exchange strategy names may be different from CQG names.

UDS market data

UDS data can be viewed on:

•      Time and Sales

•      Monitors

•      Strategy Analysis ((options)

•      Trading Applications, including Spreadsheet Trader

Until an order for a spread is sent and accepted by an exchange for trading, the market data shown on the DOM ladder is synthetic.

If the UDS has been defined by someone else and the spread is trading, then the market data shown is actual, not synthetic.

For example:

You create a Ratio Call spread for EP in the Strategy Analysis window.

You click the Trade button to view the market for this spread on DOMTrader.

The spread does not exist, and so synthetic market data is displayed on the DOMTrader.

You place an order for this spread. CQG sends the request over our gateway to the exchange.

The exchange accepts the order and creates the spread.

The market data goes from synthetic to actual.