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.

The Strategy dropdown control in the Strategy Analysis view is split into three groups: those suitable for trading at the CME, those suitable for trading at the Eurex, Euronext, and ICE exchanges, and those that are not tradable UDS.

Select Setup/Customize Strategy List/Filter to choose the exchange. The chosen exchange is listed in parenthesis next to Strategy in the top left hand corner of the main window.

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.

• Futures 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). Then next three tables detail the strategies available by the exchanges, which are chosen from the Setup/Customize Strategy List/Filter

CME: User-defined strategy	Abbreviation (user type)	CME: User-defined strategy	Abbreviation (user type)
1x2 Ratio Spread	Call RatioC	Condor, Futures	Condor
1x2 Ratio Spread	Put RatioP	Diag Calendar Spread Call	DCalC
1x3 Ratio Spread	Call 1x3C	Diag Calendar Spread Put	DCalP
1x3 Ratio Spread	Put 1x3P	Guts	Guts
2x3 Ratio Spread	Call 2x3C	Horizontal Call	HrzC
2x3 Ratio Spread	Put 2x3P	Horizontal Put	HrzP
3 Way: Call Spread vs a Put	CSprd_P	Horizontal Straddle	HorzStr
3 Way: Put Spread vs a Call	PSpr_C	Inter-commodity spread	InterComm
3 Way: Straddle vs a Call	3WStd_C	Iron Butterfly, Short	IBflyS
3 Way: Straddle vs a Put	3WStd_P	Iron Condor	ICndr
Bear Put Spread	BearP	Jelly Roll	JRoll
Box Spread	Box	Pack, Futures	Pack
Bull Call Spread	BullC	Reduced Tick Options Spread	RdTick
Bundle, Futures	Bndl	Risk Reversal	SynUL
Butterfly Call, Long	BflyCL	Straddle, Long	StradL
Butterfly Put, Long	BflyPL	Strangle	Strang
Butterfly, Futures	Bfly	Strip	Strip
Calendar Spread, Futures	Cal	XMas Tree Call, Long	CTreeCL
Condor Call	CndrC	XMas Tree Put, Long	LdrP
Condor Put	CndrP

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

Non-UDS	Abbreviation (user type)	Non-UDS	Abbreviation (user type)
Bear Call Spread	BearC	Semi-Underlying, Long	SemiUL
Bull Put Spread	BullP	Semi-Underlying, Short	SemiUS
Butterfly Call, Short	BflyCS	Straddle, Short	StradS
Butterfly Put, Short	BflyPS	Strangle, Long	StrangL
Call, Long	CallL	Strangle, Short	StrangS
Call, Short	CallS	Synthetic Call, Long	SynCallL
Covered Call Write	CovCW	Synthetic Call, Short	SynCallS
Delta Neutral Call Ratio	DNeutC	Synthetic Put, Long	SynPutL
Iron Butterfly Gut, Long	IBGutL	Synthetic Put, Short	SynPutS
Iron Butterfly Gut, Short	IBGutS	Synthetic Underlying Short	SynUS
Iron Butterfly, Long	IBflyL	XMas Tree Call, Short	CTreeCS
Put, Long	PutL	XMas Tree Put, Short	CTreePS
Put, Short	PutS

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.