Download User Guide - Berkeley Futures Limited

Trading With J-Trader
Column
Description
Enter or select
Name of the MEL strategy: e.g. DAX FTSE SPREAD.
Legs
Pricing
Settlement
Ticks
Clips
(Information only)
Number of legs currently included in the strategy.
How you want the displayed price to be calculated:
Weighted: The MEL price is calculated allowing for the ratios between the legs, the
ratios themselves being specified in the —Legs— frame, Ratio column. For example,
(4 x FDAX price) against (3 x FTSE price).
Linear: Each leg is priced at a ratio of one, irrespective of the ratio at which it is
executed: (1 x FDAX price) against (1 x FTSE price).
Note: This does not affect transactions. The legs of the strategy are always executed in
the ratios specified.
Tick this checkbox to include the settlement price at the previous close: e.g. (4 x
FDAX price - settlement price) against (3 x (FTSE price - settlement price).
Tick-size increment in which you want the MEL’s price to be displayed.
The base (base 32, base 64, and base 128) or decimal used depends on the contracts
you select in the —Legs— frame. If different legs use different bases, J-Trader defaults
to the largest tick.
Clip size.
For example, you could simulate an iceberg by trading 100 lots of the MEL in clips of
10.
4 Add the legs. Each leg represents a separate buy or sell operation, to be executed the number of
times shown in the Ratio column, and in the order they are shown in the list.
For each leg you add:
i. Click Add.
ii. Fill in the row, as follows:
Column
B/S
Ratio
Exchange
Commodity
Contract
Coefficient
Type
Enter or select
Buy or Sell.
Quantity or weighting of this leg.
Exchange, commodity and contract for the leg.
5 Click OK to save and close the Settings dialog.
Trading a MEL
To trade a MEL:
Factor by which the leg price is multiplied, to manage tick size differentials
(and/or account for FX exposure).
For example, suppose you had a DAX leg (priced at €25 per tick with an exchange
value of £17) and the FTSE (priced at £10 per tick): you’d give the FTSE a coefficient
of 1.7.
Whether the leg is to be traded as a Market or Limit order.
54 © Patsystems Ltd 31/05/2011 15:19:00