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

The UDS expression ( UDS_expr ) has the following format:

UDS_expr = "UDS("UDS_formula [","UDS_type ] ")"

UDS_formula = ["-"] Leg [ ("-"|"+") Leg] +

Leg = [ratio "*"] (symbol | UDS_expr | Cover_expr )

Ratio = a positive integer value

Symbol = Standard CQG option symbol (e.g. C.EPH2117850) | Standard CQG future symbol

Cover_expr = " COVER("Future_Symbol ","Option_Delta ","Future_Price")"

Where:

Futures_Symbol = Standard CQG futures symbol

Options_Delta = value whose meaning is similar to the option Delta greek. It shall be a non-zero decimal value. (There are no other formal restrictions on its value, but in reality, its value is usually between 0 and 1. It is used (1) in UDS price calculation and (2) implicitly, by exchange, in calculating sizes of the future leg fills when the exchange executes UDS order.)

Future_Price = futures price value (always in decimal format)

UDS_type = one of predefined UDS abbreviations agreed between CQG IC and the CQG Gateway.

Examples: "BearC", "BullC". If the UDS_type is not specified explicitly, then this is a custom strategy.

Examples:

UDS(C.EPM2117850 - 2 * C.EPM2117900 + C.EPM2117950, BflyCL) – a butterfly call long

UDS(C.EPM2117850 - 2 * P.EPH2117900 + C.EPM2217950) – a custom option strategy

UDS( UDS(C.US.CLEG214800 - C.US.CLEH214800) - COVER(F.US.CLEG21, 0.50, 47.91), CalC_US) – a recursive covered strategy

UDS(F.US.FRIH21 + F.US.FRIM21 + F.US.FRIU21 + F.US.FRIZ21, Pack) - a pack future-only strategy

UDS(EP?1 - EP?2) – a custom futures strategy

UDS( UDS(F.US.FRIH21 + F.US.FRIM21) - 2* UDS(F.US.FRIU21 + F.US.FRIZ21)) - a recursive custom future-only strategy

UDS formula describes strategy from a buy perspective. It specifies a set of legs (contracts and quantities) to be bought or sold to buy the given UDS strategy.

Please note that the leg order may vary from exchange to exchange for the same strategy type. Please refer to particular exchange rules for the given strategy to avoid rejection. From the CQG IC perspective two strategies UDS(A+B, strategy_type) and UDS(B+A, strategy_type) are equal, but from the exchange perspective one could be rejected and another one could be accepted as correct one.

Option UDS:

All strategy legs should be options (Call and/or Put) or nested UDS with option legs. Intercommodity spreads are possible.

Futures UDS:

All strategy legs should be futures contracts or nested UDS with futures legs. Intercommodity spreads are possible.

Covered UDS:

Futures and options can be mixed in the same strategy. In this case the future instrument can only specify a cover leg, which implies that valid values of option delta and future price parameters shall be specified for it. Non-cover legs of a Covered UDS can only be option legs or nested UDSs with option legs. It is possible to specify several cover legs as well as several nested UDS legs, in any mutual order.

Examples (not exhaustive) of structures of covered UDS:

- UDS(COVER(F.US.EPH21, 0.3, 3780) + option leg + option leg )

- UDS(option leg + option leg + COVER(F.US.EPH21, 0.3, 3780))

- UDS(UDS( option leg + option leg ) + COVER(F.US.EPH21, 0.3, 3780))

- UDS(UDS( option leg + option leg ) + COVER(F.US.EPH21, 0.3, 3780) + COVER(F.US.EPM21, 0.25, 3800))

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.

• Future-only UDS that are recognized by an exchange as so-called UmaFs (UDS masqueraded as Futures) are not fully supported: they can be traded, but the displayed quotes will remain synthetic ones.

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).

User-defined strategy	Abbreviation (user type)	User-defined strategy	Abbreviation (user type)
2x1 Ratio Spread Call / Buy U	2x1C_UL	Iron Condor	ICndr
2x1 Ratio Spread Call / Sell U	2x1C_US	Iron Condor / Buy U	ICndr_UL
2x1 Ratio Spread Put / Buy U	2x1P_UL	Iron Condor / Sell U	ICndr_US
2x1 Ratio Spread Put / Sell U	2x1P_US	Jelly Roll	JRoll
2x3x2 Ratio Butterfly Call	2x3x2BflyC	Ladder Call / Buy U	CTreeCL_UL
2x3x2 Ratio Butterfly Call / Buy U	2x3x2BflyC_UL	Ladder Call / Sell U	CTreeCL_US
2x3x2 Ratio Butterfly Call / Sell U	2x3x2BflyC_US	Ladder Put / Buy U	CTreePL_UL
2x3x2 Ratio Butterfly Put	2x3x2BflyP	Ladder Put / Sell U	CTreePL_US
2x3x2 Ratio Butterfly Put / Buy U	2x3x2BflyP_UL	Location Spread	LSpread
2x3x2 Ratio Butterfly Put / Sell U	2x3x2BflyP_US	Pack, Futures	Pack
3 Way: Call Spread vs a Put	CSpr_P	Pack: Blue	BluePack
3 Way: Put Spread vs a Call	PSpr_C	Pack: Copper	CopperPack
3 Way: Straddle vs a Call	Strd_C	Pack: Gold	GoldPack
3 Way: Straddle vs a Put	Strd_P	Pack: Green	GreenPack
3x1 Ratio Spread Call	3x1C	Pack: Orange	OrangePack
3x1 Ratio Spread Call / Buy U	3x1C_UL	Pack: Pink	PinkPack
3x1 Ratio Spread Call / Sell U	3x1C_US	Pack: Purple	PurplePack
3x1 Ratio Spread Put	3x1P	Pack: Red	RedPack
3x1 Ratio Spread Put / Buy U	3x1P_UL	Pack: Silver	SilverPack
3x1 Ratio Spread Put / Sell U	3x1P_US	Pack: White	WhitePack
3x2 Ratio Spread Call	3x2C	Ratio Risky	RRatio
3x2 Ratio Spread Call / Buy U	3x2C_UL	Ratio Risky / Sell U	RRatio_US
3x2 Ratio Spread Call / Sell U	3x2C_US	Ratio Spread, Call	RatioC
3x2 Ratio Spread Put	3x2P	Ratio Spread, Put	RatioP
3x2 Ratio Spread Put / Buy U	3x2P_UL	Reversal/Conversion	Rev
3x2 Ratio Spread Put / Sell U	3x2P_US	Risk Reversal	SynUL
Back Spread, Call	BackC	Risky Swap	RSwap
Back Spread, Put	BackP	Risky Swap / Buy U	RSwap_UL
Basis Spread	Basis	Risky Swap / Sell U	RSwap_US
Bear Call Spread	BearC	Risky Time Spread	RTime
Bear Put Spread	BearP	Risky Time Spread / Sell U	RTime_US
Bond Futures Spread	InterBonds	Semi-Underlying, Long	SemiUL
Box Spread	Box	Semi-Underlying, Short	SemiUS
Bull Call Spread	BullC	Skinny Butterfly Call	SkinBflyC
Bull Put Spread	BullP	Skinny Butterfly Call / Buy U	SkinBflyC_UL
Bundle, Futures	Bndl	Skinny Butterfly Call / Sell U	SkinBflyC_US
Butterfly Call / Buy U	BflyCL_UL	Skinny Butterfly Put	SkinBflyP
Butterfly Call / Sell U	BflyCL_US	Skinny Butterfly Put / Buy U	SkinBflyP_UL
Butterfly Call, Long	BflyCL	Skinny Butterfly Put / Sell U	SkinBflyP_US
Butterfly Call, Short	BflyCS	Spread Call / Sell U	BullC_US
Butterfly Put / Buy U	BflyPL_UL	Spread Call vs Call	BullC_C
Butterfly Put / Sell U	BflyPL_US	Spread Call vs Call / Buy U	BullC_C_UL
Butterfly Put, Long	BflyPL	Spread Call vs Call / Sell U	BullC_C_US
Butterfly Put, Short	BflyPS	Spread Call vs Spread Put	BC_BP
Butterfly, Futures	Bfly	Spread Call vs Spread Put / Buy U	BC_BP_UL
Calendar 2x1 Ratio Call	Cal2x1C	Spread Call vs Spread Put / Sell U	BC_BP_US
Calendar 2x1 Ratio Call / Buy U	Cal2x1C_UL	Spread Call vs sell Put	BullC_P
Calendar 2x1 Ratio Call / Sell U	Cal2x1C_US	Spread Call vs sell Put / Sell U	BullC_P_US
Calendar 2x1 Ratio Put	Cal2x1P	Spread Put / Buy U	BearP_UL
Calendar 2x1 Ratio Put / Buy U	Cal2x1P_UL	Spread Put vs Put	BearP_P
Calendar 2x1 Ratio Put / Sell U	Cal2x1P_US	Spread Put vs Put / Buy U	BearP_P_UL
Calendar Call	CalC	Spread Put vs Put / Sell U	BearP_P_US
Calendar Fly Call	CalFlyC	Spread Put vs sell Call	BearP_C
Calendar Fly Call / Buy U	CalFlyC_UL	Spread Put vs sell Call / Buy U	BearP_C_UL
Calendar Fly Call / Sell U	CalFlyC_US	Spread Swap Call	SwapC
Calendar Fly Put	CalFlyP	Spread Swap Call / Buy U	SwapC_UL
Calendar Fly Put / Buy U	CalFlyP_UL	Spread Swap Call / Sell U	SwapC_US
Calendar Fly Put / Sell U	CalFlyP_US	Spread Swap Put	SwapP
Calendar Put	CalP	Spread Swap Put / Buy U	SwapP_UL
Calendar Spread Call / Buy U	CalC_UL	Spread Swap Put / Sell U	SwapP_US
Calendar Spread Call / Sell U	CalC_US	Straddle / Buy U	StradL_UL
Calendar Spread Put / Buy U	CalP_UL	Straddle / Sell U	StradL_US
Calendar Spread Put / Sell U	CalP_US	Straddle Calendar Spread	SCal
Calendar Spread, Futures	Cal	Straddle Clnd Sprd / Buy U	SCal_UL
Christmas Tree Call, Long	CTreeCL	Straddle Clnd Sprd / Sell U	SCal_US
Christmas Tree Call, Short	CTreeCS	Straddle Fly	StradFly
Christmas Tree Put, Long	CTreePL	Straddle Fly / Buy U	StradFly_UL
Christmas Tree Put, Short	CTreePS	Straddle Fly / Sell U	StradFly_US
Clean Dark Spread	CDark	Straddle vs Call	Strad_C
Clean Spark Spread	CSpark	Straddle vs Call / Buy U	Strad_C_UL
Combo	CmbS	Straddle vs Call / Sell U	Strad_C_US
Combo / Buy U	CmbS_UL	Straddle vs Put	Strad_P
Condor Call	CndrC	Straddle vs Put / Buy U	Strad_P_UL
Condor Call / Buy U	CndrC_UL	Straddle vs Put / Sell U	Strad_P_US
Condor Call / Sell U	CndrC_US	Straddle vs Strangle	SD_SG
Condor Put	CndrP	Straddle vs Strangle / Buy U	SD_SG_UL
Condor Put / Buy U	CndrP_UL	Straddle vs Strangle / Sell U	SD_SG_US
Condor Put / Sell U	CndrP_US	Straddle, Long	StradL
Condor, Futures	Condor	Straddle, Short	StradS
Covered Call Write	CovCW	Strangle	Strang
Delta Neutral Call Ratio	DNeutC	Strangle / Buy U	Strang_UL
Diag Calendar Spread Call	DCalC	Strangle / Sell U	Strang_US
Diag Calendar Spread Put	DCalP	Strangle Spread	StrSpr
Diag Clnd Call Sprd / Buy U	DCalC_UL	Strangle Spread / Buy U	StrSpr_UL
Diag Clnd Call Sprd / Sell U	DCalC_US	Strangle Spread / Sell U	StrSpr_US
Diag Clnd Put Sprd / Buy U	DCalP_UL	Strangle, Long	StrangL
Diag Clnd Put Sprd / Sell U	DCalP_US	Strangle, Short	StrangS
Diag Straddle Clnd Spread	DSCal	Strip	Strip
Diag Strdl Clnd Sprd / Buy U	DSCal_UL	Synthetic Call, Long	SynCallL
Diag Strdl Clnd Sprd / Sell U	DSCal_US	Synthetic Call, Short	SynCallS
Dirty Dark Spread	DDark	Synthetic Offpeak Spread	Offpick
Dirty Spark Spread	DSpark	Synthetic Put, Long	SynPutL
Emission Spread	ESpread	Synthetic Put, Short	SynPutS
Fence, Long	FenceL	Synthetic Underlying Short	SynUS
Fence, Short	FenceS	Time Spread	TSpread
Guts	Guts	Volatility Trade, Call	CallVT
Guts / Buy U	Guts_UL	Volatility Trade, Put	PutVT
Guts / Sell U	Guts_US
Inter-commodity spread	InterComm
Iron Butterfly / Buy U	IBflyS_UL
Iron Butterfly / Sell U	IBflyS_US
Iron Butterfly Gut, Long	IBGutL
Iron Butterfly Gut, Short	IBGutS
Iron Butterfly, Long	IBflyL
Iron Butterfly, Short	IBflyS

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.