Gatekeeper User Manual
Contents
1. 30 5 Clone Range 30 6 Delete Strategy 30 7 View Strategy 30 8 Disable All 30 7 7 2 Strategy List 31 7 7 3 Volatility Edit Reviewed 31 1 Left Panel Volatility Grid View 32 2 Right Panel Volatility Graphical View 33 7 7 4 How To Clone Range 342. 48 9 Additional Information 49 10 Legal Notices 50 3 1 Introduction Welcome to Gatekeeper This manual details the installation setup configuration and functionalities of Scaled Dynamics Gatekeeper The manual is divided into the following sections About Gatekeeper Introduction to Gatekeeper and its applications Gatekeeper 3 Version Overview New features of Gatekeeper 3 Installing Gatekeeper Directions on how to install Gatekeeper Gatekeeper Set Up Instructions detailing how to get started Gatekeeper Overview Quick breakdown of Gatekeeper s Main Window with explanations of their functions Gatekeeper Detailed Review In depth examination of Gatekeeper functionalities Licensing Information about Gatekeeper licensing Additional Information Where to find additional information on Gatekeeper Legal Disclaimers and copyright notices Gatekeeper is a cutting edge trade execution platform that allows users to apply its core advanced formula evaluation engine to a wide array of trading strategies At a glance Gatekeeper may appear similar to other trading software However the level of customization and speed it delivers mak
3. 42 7 9 2 Functions Reviewed 43 1 Boolean Operators 43 2 Black 76 43 3 Black Scholes 43 4 Math 44 7 9 3 How To Create a Formula 45 7 10 Sound Manager 46 7 10 1 How To Import Sounds into Gatekeeper 47 7 10 2 How To Assign Sounds Change Sounds or Delete Sounds 47 8 Licensing
4. 16 7 4 4 Fill Book Panel 18 7 4 5 P amp L Panel 18 7 4 6 How To Modify Orders 19 7 5 Market Window 20 7 5 1 Dropdown Menus 20 7 5 2 Order Panel 21 7 5 3 Instrument List Panel 22 7 5 4 Market Depth Window Overview 24 7 5 5 How To Enter an order through a Market Depth Window 25 7 5 6 Options Sheet Printer Window Overview 25 7 5 7 How To Create an Option
5. Gatekeeper User Manual Scaled Dynamics Inc Document Version 3 01 02 1 Table of Contents 1 Introduction 3 2 About Gatekeeper 4 3 Gatekeeper 3 Version Overview 5 4 Install Gatekeeper 6 5 Gatekeeper Setup 7 5 1 How To Connect Gatekeeper to X_Trader and Link Instruments 7 5 2 How To Connect Gatekeeper to CTS 8 6 Gatekeeper Main Window 9 6 1 Main Window 9 7 Gatekeeper Detailed Review 11
6. 7 8 Strategy Builder 34 7 8 1 Instrument Select Tab 35 7 8 2 Formula Strategy 35 7 8 3 Bookstacker 38 1 Orders Tab 39 7 8 4 SpreadBandit 40 7 9 Formula Audit 41 7 9 1 Variables Reviewed 42 1 General Variables 42 2 Instrument Variables
7. 7 1 Open Workspace 11 7 1 2 Workspace Tabs 12 7 1 3 Open Local Workspaces 13 7 2 Save Workspace 13 7 3 Save Workspace As 13 7 3 1 How To Save Workspace As 13 7 4 Order Book 14 7 4 1 Drop Down Menus 14 7 4 2 Order Modification Panel 15 7 4 3 Order Data Panel
8. Panel 15 c Show Fill Book Show or hide the Fill Book Panel in the Order Book window d Show P amp L Show or hide the P amp L Panel in the Order Book 3 P amp L a Bid Ask Settle If the P amp L Panel is displayed this feature allows users to set how their open P amp L s are calculated When this menu item is selected default setting open position P amp L s are calculated using the current Bid Ask prices of the market When this menu item is deselected open position P amp L s are calculated by using the most recent settlement price of the market b FIFO LIFO If the P amp L Panel is displayed this feature allows users to select how their current P amp L is calculated When this menu item is selected default setting each new trade buy or sell will be matched to the earliest counterpart of that trade For instance if the user sells a contract that sale s P amp L will be calculated against the earliest purchase of the same contract if any first in first out FIFO When this menu item is deselected the P amp L is calculated in the opposite manner last in first out LIFO which calculates P amp L by matching new orders with their most recent existing counterparts 19 Order Modification Panel Orders in the Order Book can be changed or deleted by using the Order Modification Panel There are four modification buttons and two modification fields in the panel 20 Delete Filtered Delete every ord
9. When checked working orders appear in the market When unchecked orders are only placed when they can be filled immediately d Type Order type Limit is the default setting e Account Account associated with the strategy f Remove Delete this pane from the window and strategy g Max Qty Set the maximum allowed working quantity of the strategy h Edit Qty When this button is clicked a window pops up and prompts the user to enter a quantity Users can enter a formula developed in the Formula Audit window by using the drop down menu at the bottom left of the window i Edit Price When this button is clicked a window pops up and prompts the user to enter a price Users can enter a price or a formula developed in the Formula Audit window j Enabled Turn on the strategy when selected 125 Bookstacker A bookstacker strategy allows users to place several orders in the market at multiple prices and then adjust those orders based on market movement As with the Formula Strategy window users first choose the desired instrument via the Instrument Select tab and then select the Orders tab to create the strategy Refer to section 7 8 1 1 to learn how to select instruments The bookstacker logic uses two different types of orders initiating orders and offset orders When enabled a bookstacker order will send as many initiating orders as set in Order Qty on each side of the market that is checked Initiating orders will move in
10. quantity of the order that has been filled 14 Strategy The name of the strategy associated with the order 15 Stop Price If set the stop price associated with the order 16 Order ID Identification number assigned to the order 17 Native ID The order ID given to the order by X_Trader or CTS 18 Side Whether the order is on the buy or sell side of the trade 19 Send Time Time the order was sent to the market 20 Order Expiry Time the order is set to expire if at all 18 27 Fill Book Panel A record of users filled orders can be displayed in the Order Book window This panel is hidden by default and can be shown or hidden by using the Window dropdown menu Columns can be rearranged by clicking and dragging the columns to their desired destinations The Fill Book displays the following data as described in the column headings 28 Time Execution time of the trade 29 Instrument Instrument on which the trade was executed 30 Inst Type Instrument type future option etc 31 Fill Qty The total number of individual fills in the order 32 Price The fill price of the order 33 Strategy The strategy associated with the order if any 34 Source Origin of the order manual or strategy 35 Account The account that filled the order 36 Adapter The adapter X_Trader or CTS Gatekeeper used 37 Side The type of order buy or sell 38 Order ID Identificati
11. volatility settings sync to implied volatility or set an implied volatility offset On the right side of the window is a graphical representation of the current volatility settings The volatility runs along the Y axis and the strategies are on the X axis Users can click and drag each data point to adjust the volatility of that strategy Strategy List Action Buttons 30 This window is covered more in depth in section 7 7 3 87 Edit Strategy If users wish to augment their strategy other than adjusting the volatility they can do so by selecting the strategy in the strategy list and selecting the Edit Strategy button This opens the Strategy Builder screen associated with that strategy covered in section 7 8 88 Clone Strategy Cloning a strategy is done by selecting the strategy to be cloned in the Strategy List and then selecting the Clone Strategy action button The cloned strategy will appear at the bottom of the Strategy List with an asterisk preceding the strategy s name 89 Clone Range Instead of having to go through the process of creating a new strategy in the Strategy Builder window each time users can create one strategy and use it as a basis for a range of contracts How to clone a range is covered in section 7 7 4 90 Delete Strategy Deleting a strategy from the Strategy Window is done by selecting the strategy and selecting Delete Strategy A dialogue box will appear asking users to confirm they want to de
12. 2 Workspace Tabs There are three ways users can access different workspaces a My Remote Workspaces Access all remotely saved workspaces Remote workspaces are saved on Scaled Dynamics server which enables users to share workspaces with one another b Contact Workspaces Access all workspaces that have been shared with the user by other users c Share Workspaces Share workspaces with other users on your contact list 3 Workspace Information Panel Display available workspaces and management options 4 Workspace Action Buttons Open delete share or unshare workspaces in the corresponding Workspace Information Panel under the Workspace Tab that has been selected 5 Open Local Workspace Find and open saved workspaces that have been saved on the computer Workspace Information Panel Workspace Tabs Workspace Action Buttons Workspace Management Buttons Open Local Workspace 12 6 Workspace Management buttons Refresh remote data listing and close Workspace Central 7 Workspace Tabs Any workspace that has been saved remotely is accessible through one of the three workspace tabs 8 My Remote Workspaces Workspaces that have been saved remotely appear under this tab with the heading Available Workspaces In the Workspace Information Panel users can open or delete workspaces a Open Workspace Select the desired workspace and click the Open button b Delete S
13. Audit Below is a detailed explanation of these variables 1 General Variables 1 CV1 A constant value used for computation entered by the user 2 CV2 Another constant value used for computation entered by the user 3 False Returns the value of 0 signifying a false Boolean statement 4 Inf 5 NaN Stands for not a number 6 Rate 7 True Returns the value of 1 signifying a true Boolean statement 8 Volatility The volatility of a specific instrument 9 YearsToExpiry The amount of time a specific instrument expires 10 Fill Price The price to fill 11 Fill Qty The quantity of instruments 12 Math E The value of e 13 Math PI The value of Pi 2 Instrument Variables The following variables will be preceded by either Primary indicating it references the primary instrument for calculation or ReferenceX X being the number in order of assignment of the reference instrument indicating it references the corresponding reference instrument for calculation These variables appear once a primary instrument is selected 1 Ask Current on the market ask price for the instrument 2 AskQty Current on the market quantity of offers at the ask price of the instrument 3 Bid Current on the market bid price for the instrument 4 BidQty Current on the market quantity of bids at the bid price of the instrument 5 Last Most recent or last price traded in the instrument 6 PriceIncrement The size
14. BS Volga Measures second order sensitivity to volatility 14 Math 1 Math Abs 2 Math Acos 3 Math Asin 4 Math Atan 5 Math Ceiling 6 Math Cos 7 Math Cosh 8 Math Exp 9 Math Floor 45 10 Math Log10 11 Math Ln 12 Math Sign 13 Math Sin 14 Math Sinh 15 Math Sqrt 16 Math Tan 17 Math Tanh 18 Math Truncate 19 Math Atan2 20 Math IEEERemainder 21 Math Max 22 Math Min 23 Math Pow 24 Math Round 15 How to Create a Formula Formulas can be used to compute fair value of an option or as part of a defined strategy as covered in Formula Strategy Builder section 7 8 1 Once a formula has been created it can be saved and used for different strategies with different contracts Once a user creates a function for one strategy the user can easily apply the created strategy to other strategies and contracts The following example uses Black 76 Price Call formula with Mini Dow Dec 13 15000 Calls 16 Select Instruments Using the Instrument Select Panel set the primary and reference instrument to be used in the strategy 17 Set Volatility and Risk free Rate Enter the volatility percentage This can later be changed in the Strategy Window via Volatility Edit section 7 7 3 Enter the risk free rate For this example volatility is set at 4 and the risk free rate is at 0 5 18 Select Function In the Functions and Variables Panel s
15. Management a Name Name of the strategy b Account Account associated with strategy 2 Instrument Select Panel Search and select contracts to be used with the strategy 3 Instrument Assignment Buttons Add or remove primary and reference instruments to the Select Instrument Panel 4 Selected Instrument Panel Display instruments that have been chosen 5 Formula Action Buttons Save or cancel a formula strategy construction and allow users to change the expiry of a selected option if desired 121 Formula Strategy Formula strategies implement one or more functions that automate both valuations and corresponding trading strategies Before running a formula strategy users must first build and save the strategy in Gatekeeper This is primarily done in the Formula Audit window covered in section 7 9 The Formula Strategy Builder consists of two tabs The first tab the Instrument Select tab is covered in section 7 8 1 Once contracts have been selected users can configure them in the Order tab Note This tab is used for both formula strategies and bookstacker strategies The same process of selecting the instrument and adding it as a primary or reference instrument is used for both advanced strategy types 36 In the Order tab users can add one or many formulas to be used in a formula strategy On this initial screen users can set the risk free rate any constant values and can choose the type of order to ad
16. ays price in decimals ex corn price would be displayed as 65475 for 6 5475 10 Show Greeks Add the Greeks to the data in the Instrument List panel and allow users to select a Greek based formula 22 11 Instrument List Panel Every instrument linked to Gatekeeper appears on this list Users can set up filters rename and save individual instrument list panels or use it in its totality Depending on the field users can search filter or sort by defined data points Right clicking on the column headings also allows users to show or hide columns as well as freeze columns Columns can be rearranged by clicking and dragging columns to their desired destinations 12 Description Display the contract name 13 Type The instrument type Instrument types include a Unknown b Future c Option d Binary Option e Spread f Gatekeeper Spread 14 Source Display which adapter Gatekeeper is using 15 CallPut Display whether the instrument is a call or a put option 16 Strike Display the current strike price of the instrument 17 Status Display the current status of the order Order statuses include a Unknown b Pre Open c Open d Restricted Open e Pre Closed f Closed g Failed h Pre Cross i Cross j Expired k Rejected l Unavailable 23 m No Permission n Other 18 Buy Wrk Number of contracts users are currently trying to buy 19 Buy Qt
17. ch filter and place orders in instruments that are linked to Gatekeeper 7 Instrument Explorer Link instruments to Gatekeeper from outside sources 8 Strategy Window View sort and toggle established strategies 9 Strategy Builder Create and save strategies 10 Formula Audit Create and test formulas and calculate fair value on live price feeds 11 Sound Manager Set up sound alerts for Gatekeeper actions 12 Adapter Settings Configure available adapters for Gatekeeper 13 About View Gatekeeper information 14 Minimize Windows Minimize all Gatekeeper windows 15 Always On Top Toggle Gatekeeper Main Window to always be on top of the desktop 16 Show Hide Audit Trail Display or hide Gatekeeper Audit Trail It s recommended to always display the Audit Trail Note Gatekeeper cannot access instruments or compile fill and order actions from outside sources without first connecting to the adapter and linking instruments from the adapter covered in section 5 1 for X_Trader and section 5 2 and 7 6 for CTS 11 7 Gatekeeper Detailed Review This section delves deeper into Gatekeeper s features and describes how to utilize them to their full potential 1 Open Workspace Once a workspace has been saved or a user has been granted permission to access saved workspaces workspaces can be accessed through the Open Workspace button This button opens the Workspace Central window
18. d to the strategy There are three different types of orders that can be created 122 Option Used in options contracts exclusively 123 Event A formula dependent on an event such as a fill 124 Formula A function based formula strategy Once a user adds an order one of three panes appear depending on the order type 1 Option a Sell Buy Select whether the order is on the buy or sell side of the option b Don t Cross When checked orders in the market do not cross one another When unchecked orders are allowed to cross c Show When checked working orders appear in the market When unchecked orders are only placed when they can be filled immediately d Type There are 2 Types Limit and Stop e Account Account associated with the strategy f Remove Delete this pane from the window and strategy g Volatility Set volatility of the order Either enter the percentage in the field or use the slider directly below This can later be changed in the Vol Edit window located in the Strategy Window h Max Qty Set the maximum allowed working quantity of the strategy i Edit Qty When this button is clicked a window pops up and prompts the user to enter a quantity Users can enter an integer or a formula developed in the Formula Audit window by using the drop down menu at 37 the bottom left of the window j Edit Price When this button is clicked a window pops up and prompts the user to e
19. der by entering it or selecting a quantity button 39 Price Set the price by selecting it in the market depth ladder entering it or moving it up and down with the arrows 40 Account Select the account associated with the order 41 TIF Select GTD or GTC 42 Buy Sell Buttons Select whether the order is a buy or a sell order 43 Volume NetChange Display the volume and net change for the instrument 25 44 Market Depth Ladder Display the current market depth for the instrument 45 Scroll Up Down Select the blue buttons to scroll the market up or down 46 Recent Order History Display recent orders that were placed 47 Order Actions Delete one or all of the orders in the market depth ladder and liquidate any positions in the market note users will be asked to confirm they wish to delete all or liquidate their positions 48 How to Enter an order through a Market Depth Window 49 Open a Market Depth Window Find the instrument in the Market Window and double click on it 50 Select Account Use the drop down menu to select the appropriate account 51 Select TIF Choose GTC or GTD order 52 Set Quantity Enter or click on the quantity desired 53 Set Price Click on the price in the market depth window enter it or use the arrows to adjust to the desired price 54 Buy or Sell Select whether the order is a buy or a sell order 55 Options Sheet Printer Window Overview 56 F
20. e Workspace As button Note All Gatekeeper workspaces are saved as gkwx files compressed and most commonly used or gkw uncompressed 14 16 Choose to save the workspace locally on the user s computer or remotely on a server or shared network a If saving locally Enter file name and select location for the workspace file b If saving remotely Enter file name and include any additional comments 17 Order Book The Order Book displays Gatekeeper orders fills and P amp L and allowsusers to sort and filter the data displayed as well as modify existing orders It consists of dropdown menus and Order Modification Order Book Fill Book and P amp L panels A live market ladder will appear for the order if it is double clicked 18 Drop Down Menus 1 Window a Rename Enter in a new name for the Order Book window in the blank field that appears to the right of this option once it has been selected This is helpful for traders who have multiple Order Books running simultaneously b Bold Text Make all text in the Order Book bold c Large Text Make all text in the Order Book larger 2 View a Show Order Modifiers Show or hide the Order Modification Panel in the Order Book b Show Orders Show or hide orders in the Order Book orders can only be hidden when the Fill Book or the P amp L Panel are displayed Order Modification Panel Fill Book Panel P amp L Panel Order Book
21. e strategy is based upon 5 Volatility Column This column is the only changeable column in the Volatility Grid View Users can set volatility here by selecting this column of the appropriate strategy and entering in or using the arrows that appear to adjust it up and down 1 33 113 Right Panel Volatility Graphical View 1 Strategy Info When the cursor is placed over a data point on the graph information of the data point is displayed here This information includes a Strategy Strategy name b Side Whether the strategy is on the bid or offer side of the market c Volatility Current volatility setting for the strategy d Price The theoretical price of the option according to the strategy 2 Volatility Graph A graphic representation of the volatility settings for strategies 3 Show Implied Volatility Toggles an overlay on the graph of the implied volatility The data points are orange and the lines are green shown above 4 Skew From Volatility can be set by choosing a data point to skew from Whatever strategy is selected in the left column appears on this button In the example above the 130 Put strategy is selected From there users can set positive or negative skews on either side of the skew point 5 Exponential Skew When setting a skew from a specific contract users can select this option to show the exponential extrapolation of the skew 6 Commit Changes Close Once volatility has been adj
22. eeper Setup Once Gatekeeper is installed the next step is to connect it to the market through the user s primary trading software This can be done through X_Trader or CTS Follow appropriate instructions below 1 How to Connect Gatekeeper to X_Trader and Link Instruments 1 Open X_Trader Start X_Trader and sign in 2 Open Gatekeeper Start Gatekeeper and sign in 3 Open Adapter Settings Window Select the Adapter Settings button 4 Select Instrument Drop To add instruments to Gatekeeper keep the Instrument Drop box checked This will open the X_Trader drop window 5 Select Default Account Use the dropdown menu at the bottom of the Adapter Settings window to select the default account if it is not already set 6 Connect Click the Connect button to connect to X_Trader 7 Link Instruments Upon connecting to X_Trader a drop window will appear To link instruments from X_Trader to Gatekeeper click and drag contracts from the X_Trader explorer into the drop window Instruments added to Gatekeeper from the drop window will be available for strategies and visible in the market grid 8 2 How to Connect Gatekeeper to CTS 1 Open CTS Start CTS and sign in 2 Open Gatekeeper Start Gatekeeper and sign in 3 Open Adapter Settings Window Select the Adapter Settings button 4 Select Default Account Use the dropdown menu at the bottom of the Adapter Settings window to select the default accou
23. elect the desired function It will appear in the Formula Calculation Field For this example Black 76 Price Call will be used 46 19 Determine Variables In the Formula Calculation Field the Black 76 Price Call formula will appear as B76 Price Call Future Future Strike Strike Rate Rate Time Time Volatility Volatility This is a textual representation of the formula Gatekeeper uses to make its computations Purple indicates whether the formula is for a call or a put words in orange with a colon next to them represent the part of the formula that will be computed words in blue following the orange words represent variables that have yet to be defined words in red following the orange words represent variables that have been defined In this example the future being used the strike price and the expiry time are undefined and are in blue The risk free rate and volatility have already been defined in step 2 so they are in red 20 Define Variables To make this a complete formula all the undefined blue variables need to be defined red To do this select the word in blue by double clicking on it This will highlight the word Future In the variables pane double click on Reference1 Bid This will replace the blue word Future with Reference1 Bid This process is repeated for strike Primary Strike and time Primary YearsToExpiry 21 Calculate Now that the variables have been defined cl
24. elect the desired workspace and click the Delete button 9 Contact Workspaces Workspaces that have been shared with users appear under this tab with 13 the heading Available Workspaces In the Workspace Information Panel users can open workspaces that have been shared a Open Select the desired workspace and click the Open button 10 Shared Workspaces Sharing workspaces with other users is done through this tab The Workspace Information Panel displays both Available Workspaces and Available Contacts a Share Unshare Select one of the available workspaces and click the Share Unshare button to either share or unshare it 11 Open Local Workspaces Opening a workspace that has been saved locally is done by selecting the Browse button and choosing the Gatekeeper workspace file that has been saved 12 Save Workspace After a user saves a workspace using the Save Workspace As function and further changes are made they can save the new version of the workspace over the existing version by clicking the Save Workspace button This automatically overwrites the previously saved version of the workspace with the same file name 13 Save Workspace As After creating a workspace a user can save the workspace locally or remotely Save Workspace As includes information like adapter settings instrument subscriptions formulas strategies and window configurations 14 How to Save Workspace As 15 Select the Sav
25. en transacted 12 Delta The current delta value 13 Gamma The current gamma value 14 Vega The current vega value 15 Theta The current theta value 41 How to Modify Orders 42 Select Order Choose an order or multiple orders to be modified by selecting them in the Order Book Panel 43 Delete or Modify To delete an order click the Delete button To modify the order use the arrow buttons next to the quantity and price boxes or select the boxes themselves and enter the desired quantity 44 Change Order Once the desired changes have been entered select the Change button to modify the order 20 45 Market Window The Market Window displays all the instruments that have been linked to Gatekeeper From this window users can place orders view market depth on a ladder create an option sheet and match instruments in Gatekeeper The window consists of dropdown menus an Order Panel and an Instrument List Panel 46 Dropdown Menus 1 Window a Rename Enter a new name for the Market Window in the blank field that appears to the right of this option once it is selected This is helpful for traders who have multiple Market Windows open simultaneously b Bold Text Make all text in the Market Window bold c Large Text Make all text in the Market Window larger d Show Order Panel Show or hide the Order Panel 2 Market Depth Open a Market Depth Ladder for the selected instrum
26. ent in the Instrument List Using this ladder is covered in section 7 5 4 and 7 5 5 3 Create Options Sheet Open the Options Sheet Printer which allows users to make printer friendly options tables with desired information Creating an Options Sheet is covered in section 7 5 6 and 7 5 7 4 Instrument Manager Open the Instrument Manager which allows users to match options with their corresponding futures Using the Instrument Manager is covered in section 7 5 8 Order Panel Instrument List Panel 21 47 Order Panel The Order Panel is used for the entry or change of orders in a particular instrument Once an instrument is selected orders can be placed through the order panel 1 Buy Sell Choose between buying and selling the instrument 2 Quantity Display and change the quantity of the order 3 Price Display and change the price of the order 4 Adapter Display the originating adapter of the instrument 5 Type Choose the order type This includes limit market stop stop limit and manual fill 6 Account Switch between different accounts 7 Time In Force Switch between GTC and GTD orders 8 Stop Trigger Set the stop price for stop or stop limit orders 9 Price Format Change how price is displayed in Gatekeeper The Native option displays price according to CME price display standards ex corn price would be displayed as 6546 for 6 5475 The Decimal option displ
27. er that has been filtered using the Order Data Panel s filter search fields This button is always available 21 Delete All Delete every order in the Gatekeeper Order Book This button is always available 22 Delete Delete the order that is selected in the Order Data Panel This button is only available after an order has been selected 23 Change Alter the selected order This button is only available after a user has selected and changed an order 24 Quantity Display the quantity of the selected order Quantities can be changed by entering a quantity in the field or by clicking the arrows It is used in conjunction with the Change button to make changes 16 25 Price Show the desired price of the selected order Prices can be changed by entering a quantity in the field or by clicking the arrows It is used in conjunction with the Change button to make changes 26 Order Data Panel Gatekeeper tracks orders through 20 filterable searchable and sortable data points These data points are displayed as the column headings in the Order Data Panel Depending upon the column users can search or filter the data by right clicking on the column heading and selecting or entering criteria Also users can sort most columns from first to last or vice versa by clicking the directional arrows that appear on the right side of the column headings when moused over To show or hide data columns in Order Data Panel right click in the co
28. es Gatekeeper a powerful and transformative trading tool For additional support please contact support scaleddynamics com WARNING Scaled Dynamics strongly recommends testing trades and strategies in simulated environments before performing live trades 4 2 About Gatekeeper Gatekeeper enables users to manage complex trading strategies using the advanced formula evaluation engine while also allows for basic point and click trading Whether users are brokers or traders Gatekeeper is a powerful tool that delivers sub microsecond computations and applies versatile market strategies Brokers Search sort and filter account data Manage multiple accounts with ease Options Traders Configure trading strategies based on calculated fair value Make markets in options based on customized formula based valuation models Automatically hedge delta Automatically set volatility skews to offset implied volatility Create and print valuation sheets for floor traders View position and risk information Utilize significant options trading functionality o Black 76 Black Scholes and binomial based market making o Delta hedging o Gamma hedging o Automatic quoting Deploy scalping strategies o Gamma hedging o Book stackers o Event based trades Futures Traders Advanced automated trading capabilities o Create formula based automated orders o Manage spread trades using the advanced
29. ick the Calculate button If done correctly a number should appear next to Result 22 Save Formula Once the formula has been created it should be saved This opens up a Saved Formula panel in the Formula Audit window and enables users to use this formula again both in Formula Audit and in Strategy Builder 23 Sound Manager Gatekeeper offers the option of pairing actions performed in Gatekeeper with sound alerts This feature is set up in Sound Manager The window has two main panels the Sound Assignment Panel and Assigned Sounds Panel Users can assign sounds to be paired with the following actions order submit order fill order partial fill order reject order delete order action reject strategy enabled strategy disabled strategy finished external fill and external partial fill 47 24 How to Import Sounds into Gatekeeper In order to access any sounds through Gatekeeper users must first import the sound files 25 Click the Import button clicking the Import button brings up a file locator window on the user s computer 26 Select Sounds Once the sound files are found select the desired sounds files 27 Import sounds Click Open and the chosen files will be imported into Gatekeeper 28 Preview Delete Users can preview the sound selected or delete it by clicking the Preview and Delete buttons respectively in this panel 29 How to Assign Sounds Change Sounds or Delete Sounds 30 Select Even
30. ike and price interval of the option The interval is in price increments of the underlying instrument 70 Choose if the sheet will show calls puts or both 71 Set volatility a Sync to Settlement When this option is selected Gatekeeper automatically retrieves the most current market data on an option s volatility b Skew From Users can choose to set volatility based on a skew from a particular option and give or take volatility above and below it When an option is selected in the Options Selected panel it automatically appears on the Skew From button From there users can set positive or negative volatility skews on either side of the option 72 Preview and print the option sheet it will open a print dialog window 73 Instrument Manager When Gatekeeper cannot match an options contract with a futures contract if users are using options that have different delivery months than the futures for instance users can match them using the Instrument Manager If contracts are matched incorrectly they can be selected among the list of matched options and unmatched by selecting the Unmatch Instruments button This window will automatically appear when a workspace with unmatched instruments is loaded 27 74 How to Match Instruments in Instrument Manager 75 Select an options contract that is currently unmatched 76 Select the futures contract that corresponds with the unmatched options contract If users a
31. ilter Filter the instrument list for the desired instruments 57 Instrument List List of all available instruments 58 Strike Settings Set the range of strike prices and the interval for the Options Sheet 59 Price Settings Set the range of futures prices and the interval to be used 60 Options Used Select whether to include calls puts or both 61 Options Selected Display a list of options used as well as the volatility used Users can change the volatility by manually entering it in this space or sync volatility to the market and set a skew Filter Instrument List Strike Settings Price Settings Options Used Print Settings Volatility Settings Options Selected 26 62 Sync Volatility synchronize the options in the Options Selected panel to current market data 63 Volatility Skew Select an option to use as a starting point D 30m Euro FX Apr13 13000 C in the example above and set their own volatility skew in relation to the starting point down 2 5 and up 2 5 in the example above 64 Print Settings Select portrait or landscape and print or preview the Options Sheet 65 How to Create an Options Sheet 66 In the Market window select the Create Options Sheet option 67 Select the desired option on the Instrument List The Options Selected panel should populate with the desired option 68 Set desired strike range and price range 69 Set the desired str
32. in decimals of one price increment tick 43 7 Settle Settle price of the instrument 8 Strike Strike price of the instrument will not be displayed if the instrument is a futures contract 9 YearsToExpiry Date of expiration of an instrument 10 Functions Reviewed There are 66 different functions in 4 catagories Boolean operators Black Scholes 76 Black Scholes and math Below is a detailed explanation of these formulas 11 Boolean Operators Used as Boolean operators in formulas 1 IsInfinity Returns 1 when the result of the operator is infinity 2 IsNaN Returns 1 when the result of the operator is NaN Not a Number 3 IsNum Returns 1 when the result of the operator is a real number 4 IsPositiveInfinity Returns 1 when the result of the operator is positive infinity 12 Black 76 Variables used in these formulas include futures contract strike price of the option risk free rate time till delivery and volatility 1 B76 Delta Call The degree to which a change in price in the underlying instrument affects the price of the call option commonly used in hedge ratios 2 B76 Delta Put The degree to which a change in price in the underlying instrument affects the price of the put option commonly used in hedge ratios 3 B76 Gamma As a derivative of delta it measures the velocity at which the price of the option changes in relation to the price of the underlying 4 B76 I
33. int was at the time the first initiating order was filled 40 12 Offset Once When enabled offset orders will not offset when filled Instead a new initiating order will be sent at a price determined by the current midpoint and interval a Do Not Re Initiate Upon the successful completion of a buy or sell in either order bookstacker does not enter a new order For example if a user is working 4 orders on either side of the midpoint and a buy side order gets filled and its corresponding sell side also gets filled completing the trade Gatekeeper does not go back to working 4 orders on either side rather it works 3 on the bid side since the first one was filled and 4 on the sell side 127 SpreadBandit Spreadbandit strategies use Gatekeeper s advanced spread engine to deliver sub microsecond results 128 Spread Definition Panel a Name Name of spreader instance b Display Decimals Manually enter the display decimals c Auto Calculate Automatically calculate the proper display decimals 129 Synthetic Account The account name that will show up in all the account drop downs throughout GateKeeper 130 Instrument Search Select Panel Search for and select the instruments to use in the spreader 131 Leg Configuration Panel a Account Account associated with spreader instance b Active Quoting When selected Gatekeeper places orders in that leg according to the user s specified paramete
34. lete the strategy 91 View Strategy View Strategy is used when a user wishes to see the construction of a strategy while it s being implemented Since a strategy cannot be edited while it is running this is useful for checking the strategy while it is running 92 Disable All In the top right corner of the Strategy Window there is the Disable All button Selecting this button stops all strategies currently running Note A strategy cannot be edited while it is running To edit a strategy first stop the strategy make sure it is selected and then select Edit Strategy 31 93 Strategy List The main portion of the Strategy Window the Strategy List displays the strategies available Like most of the other windows in Gatekeeper users can rearrange the columns and sort them in ascending or descending order The columns available include 94 On Off Selecting this checked box turns a strategy on or off 95 Name Name of the strategy 96 Description Name of the contract the strategy is using 97 Strike Strike price the strategy uses 98 Bid Qty The amount being bid on the market 99 Bid Price currently bid on the market 100 Ask Price currently offered on the market 101 Ask Qty The amount being offered on the market 102 Last Last price traded 103 Settle Settlement price of the previous trading day 104 Change Net change between the settlement and the last trade 105 Bid V
35. lumn headings to reveal a drop down menu then select or deselect desired columns Below is a detailed breakdown of the Order Data Panel from left to right and the filter search field options 1 Change Time The last time the order was modified 2 Instrument The instrument if any from which the order originates 3 Instrument Type The instrument type of the order Instrument types include a Unknown b Future c Option d Binary Option e Spread f Gatekeeper Spread 4 Status Current status of the order Statuses include a Working b Filled c Partial d Hold e Deleted f Expired Note Columns can be rearranged by clicking and dragging columns them into position 17 g Rejected h Pending 5 Adapter Origin of the order 6 Source How the order was placed Sources include a Manual b Book Stacker c Formula d Formula Event e External f User g Spreader h Other 7 Price The desired price of the order 8 TIF Time in force is the duration an order will remain active before it is executed or expires TIF options include a GTD b GTC c Unknown d Other 9 Account The account associated with the order 10 Order Type The type of order placed Order types include a Limit b Market c Stop d Stop Limit e Manual Fill f Unknown g Other 11 Order Qty The quantity of the order 12 Wrk Qty The quantity of the order that is working 13 Fill Qty The
36. mpPrice Call Calculate the implied price of the futures contract based on the price of the call 5 B76 ImpPrice Put Calculate the implied price of the futures contract based on the price of the put 6 B76 ImpVol Call The implied volatility for call options 7 B76 ImpVol Put The implied volatility for put options 8 B76 Price Call The implied price of a call option based on the futures price 9 B76 Price Put The implied price of the put option based on the futures price 10 B76 Rho Call The degree to which a change in the risk free interest rate will affect the price of the call 11 B76 Rho Put The degree to which a change in the risk free interest rate will affect the price of the put 12 B76 Theta Call The degree to which a change in the time till expiration affects the price of the call 13 B76 Theta Put The degree to which a change in the time till expiration affects the price of the put 14 B76 Vega The degree to which change in volatility affects the price of the option 13 Black Scholes 44 1 BS Charm Call The instantaneous rate of change of delta for a call option over the passage of time delta decay 2 BS Charm Put The instantaneous rate of change of delta for a put option over the passage of time delta decay 3 BS Color The rate of change of the gamma of an option over the passage of time gamma decay 4 BS Delta Call The degree to which a change in price in
37. ns you can select which contracts are to be used while testing formulas As contracts are selected the Variables pane populates Instrument Select Panel Formula Calculation Field Functions and Variables Panel Note Setting a primary or a reference instrument in the formula auditor does not create a global association throughout the application The names Primary and Reference n are intended to provide a layer of abstraction between the instrument and the formula so that a single formula can be used on multiple instruments 42 135 Functions and Variables Panel This panel is used to select the formula to be calculated and set variables including constant values set by the user When a formula is selected it automatically appears in the Formula Calculation Field 136 Formula Calculation Field Displays and calculates the formula selected and allows users to name and save the formula Whether the formula deals with a call or a put is in purple if a variable is undefined it is in blue if a variable is defined it is in red definition of formula component is in tan any computational text entered by the user 1 in the example above is in cyan Gatekeeper uses formulas computed in this field to perform its calculations in strategies 7 1 1 Variables Reviewed There are 21 more depending on how many reference instruments are included variables that can be later included in formulas developed in Formula
38. nt if it is not already set 5 Connect Click the Connect button to connect to CTS Note The primary way Gatekeeper links with instruments is through the Instrument Explorer covered in section 7 6 If a fill originating from outside of Gatekeeper is detected Gatekeeper will automatically subscribe to the instrument and it will automatically become available 9 6 Gatekeeper Main Window This section covers the Main Window and the basic functions of all of the buttons therein Those windows needing further explanations are addressed in full in section 7 of this manual 1 Main Window The SD Gatekeeper Main Window is the main point of entry into the Gatekeeper software From here all of Gatekeeper s windows and functionalities can be accessed This window contains 14 access buttons and a retractable Audit Trail arrow to the right of buttons Closing this window will close Gatekeeper 2 Open Workspace Open the Workspace Central window open saved or shared workspaces and share workspaces 3 Save Workspace Save the current workspace All strategies saved formulas window configurations adapter settings and instrument subscriptions will be saved with the workspace 4 Save Workspace As Save a workspace configuration as a new workspace 5 Order Book View sort modify and cancel active orders View position fill information and P amp L information 10 6 Market Window Sear
39. nter a price Users can enter a price or a formula developed in the Formula Audit window k Enabled Turn on the strategy when selected 2 Event a Side When an option or formula order is filled event trigger the event order is activated Users can select whether they want the event order to be sent to same side of the trade Same or the opposite side b Type There are 7 different types of order types SD_ID_Fill A Fill previous stored on the cloud by the position manager Unknown Other Limit Market Stop StopLimit and ManualFill c Account Account associated with the strategy d Remove Delete this pane from the window and strategy e Instrument The contract the event order uses f Time In Force Select GTD or GTC orders g Edit Qty When this button is clicked a window pops up and prompts the user to enter a quantity Users can enter a formula developed in the Formula Audit window by using the drop down menu at the bottom left of the window h Edit Price When this button is clicked a window pops up and prompts the user to enter a price Users can enter a price or a formula developed in the Formula Audit window i Enabled Turn on the strategy when selected 3 Formula a Sell Buy Select whether the order is on the buy or sell side of the option b Don t Cross When checked orders in the market do not cross one another When unchecked orders are allowed to cross 38 c Show
40. ol Volatility setting of the bid 106 Theo Bid Qty The quantity a user would theoretically be bidding according to the strategy 107 Theo Bid The bid price the user would theoretically be bidding according to the strategy 108 Theo Ask The offer price the user would theoretically be offering according to the strategy 109 Theo Ask Qty The quantity a user would theoretically be offering according to the strategy 110 Ask Vol Volatility setting of the offer 111 Volatility Edit Reviewed 32 112 Left Panel Volatility Grid View 1 Show This drop down menu allows users to switch between different ask and bid strategies When a user selects ask or bid the theoretical pricing column changes to reflect this change and the graph on the right side of the window turns the data points into enlarged diamonds so a user can identify them 2 Sync to Implied Vol When selected the volatility of the strategies is set to the implied volatility as computed by Gatekeeper 3 Offset When syncing to implied volatility users can choose to offset the sync by entering the percentage increase or decrease desired 4 Volatility Grid View A grid representation of the strategies It includes the following columns a Name Name of the strategy b Volatility Current volatility of the strategy c Theo Prc The theoretical price of the option according to the strategy d MKT Prc Current market price of the option th
41. on reproduction duplication or dissemination of this document or any portion of it is illegal and may result in severe civil and criminal penalties Unauthorized reproduction of any Scaled Dynamics software or proprietary information may result in severe civil and criminal penalties Information in this document is subject to change without notice and Scaled Dynamics Inc assumes no liability express or implied for any information obtained in this document All trademarks displayed in this document are subject to the trademark rights of Scaled Dynamics or are used under agreement by Scaled Dynamics Trading Technologies and X_TRADER are registered trademarks of and the Trading Technologies logo and TT are trademarks of Trading Technologies International Inc
42. on number assigned to the order 39 Fill Key Unique identifier for the fill provided by the adapter 40 P amp L Panel The Order Book window also provides information related to the profit and loss of each order through the P amp L Panel This panel is hidden by default in the Order Book and can be shown by selecting the Window drop down menu and selecting the Show P amp L Panel option Columns can be rearranged by clicking and dragging columns to their desired destinations The P amp L Panel provides the following data as represented by the column headings 1 Instrument Name of the contract associated with the order 2 Net Position Current net position users have in the market If users are long this field is blue if users are short this field is red 19 3 Buy Qty Number of contracts users have entered to buy 4 Sell Qty Number of contracts users have entered to sell 5 Buy WRK Number of contracts users are currently trying to buy 6 Sell WRK Number of contracts users are currently trying to sell 7 Avg Buy Prc If users have buys at multiple prices this column computes and displays the average buy price 8 Avg Sell Prc If users have sells at multiple prices this column computes and displays the average sell price 9 PNL Users current P amp L of the filled order 10 Open P amp L Amount of P amp L that has not been transacted 11 Realized P amp L Amount of P amp L that has be
43. re unable to find the correct futures contract it most likely has not been linked to Gatekeeper Use Instrument Explorer to link the correct futures contract to Gatekeeper 77 Select the Match Instruments button The unmatched option will reappear with its match in the list of matched options 28 78 Instrument Explorer The Instrument Explorer is used to link instruments from an adapter other than X_Trader to Gatekeeper Initially all instruments that a user wants to use must be added to Gatekeeper using this window There are 6 available fields in this window 1 Adapter This drop down menu allows users to toggle between different Gatekeeper adapters 2 Filter Selecting this allows users to enter filtering criteria for the instruments to be matched in the panel below 3 Available Exchanges Contracts Markets Panel Displays all available exchanges contracts markets Once an exchange has been selected a new tab opens up in the same panel to display contracts Once a contract has been selected a new tab appears with available markets Users can go back and forth by selecting the tabs 4 Add Instrument Selecting this button moves instruments highlighted in the Found Instrument panel to the Selected Instruments panel 5 Linked Instrument Panel Displays instruments that have been linked to Gatekeeper Note this window is not used to link instruments from X_Trader go to section 5 1 page 6 for direction
44. relation to their midpoint and interval until they are filled When an initiating order is filled an offset order is sent according to the profit target and offset criteria Orders are sent in relation to a set midpoint profit target lot size interval and order quantity Midpoint profit target lot size and interval can be set as the output of a formula and Order Qty is a pre set static variable 39 126 Orders Tab 1 Interval The number of ticks between each level of the bookstacker strategy 2 Lot Size Number of contracts traded per order 3 Profit Target Profit margin in ticks that Gatekeeper attempts to meet 4 Midpoint Price that the bookstacker strategy will use to determine where to place orders 5 Order Type Type of order submitted limit 6 Stop Market Use the limit price as the trigger price offsetting orders will also be sent as stop market orders 7 Account Account associated with strategy 8 Order Qty Number of orders the bookstacker strategy places on each side of the market For example an Order Qty of 10 will submit 20 orders if both bids and offers are enabled 9 Enable Bids Bookstacker strategy is applied to the buy side of the market 10 Enable Offers Bookstacker strategy is applied to the sell side of the market 11 Freeze on Fill All remaining initiating orders will stop moving in relation to the pre set midpoint and will instead assume whatever the midpo
45. rs c Order Multiplier Determine parameters of what the spreader will do upon a fill in one leg of the spread If it is positive the order submitted will be on the same side if it is negative it will be on the opposite side The size Spread Definition Panel Instrument Search Select Panel Leg Configuration Panel Save Cancel 41 of the integer determines how to scale the spread quantity for order submissions d Price Multiplier Used to enter a ratio value that equals the prices in the legs of the spreader For example 1 1 when dealing with contracts that are equivalent e Remove Leg Removes leg that was added to the spreader instance 132 Save Cancel Save or cancel a spreader instance 133 Formula Audit The Formula Audit window can be used as a computational tool or to create and test formulas that can be applied in other Gatekeeper windows The formulas developed in this window can be applied to any correct set of variables for the given formula The Formula Audit window is divided into three different sections Instrument Select Panel Formula and Variable Panel and Formula Calculation Field 134 Instrument Select Panel Choose the primary instrument and any reference instruments This panel is similar to other instrument selection panels throughout Gatekeeper It displays the available contracts It allows users to filter search Through the Set Primary Remove and Set Reference butto
46. s Sheet 26 7 5 8 Instrument Manager 26 7 5 9 How To Match Instruments in Instrument Manager 27 7 6 Instrument Explorer 28 7 6 1 How To Link Instruments to Gatekeeper with Instrument Explorer 29 7 7 Strategy Window 29 7 7 1 Action Buttons 29 1 Window 29 2 Volatility Edit 29 2 3 Edit Strategy 30 4 Clone Strategy
47. s on how to link instruments from X_Trader 29 6 Subscribe amp Close Selecting this button automatically links all instruments in the Selected Instruments panel into Gatekeeper These instruments will then be displayed in the Market Window 79 How to Link Instruments to Gatekeeper with Instrument Explorer 80 Find and select the instrument to be linked to Gatekeeper in Available Exchange Contract Market panel 81 Click the Add Instrument button The instrument then appears in the Linked Instrument Panel 82 Click the Subscribe and Close button 83 Strategy Window After a user has created a strategy and saved it it appears in the Strategy Window and is ready to be implemented In the Strategy Window users can toggle strategies edit strategies edit volatility clone strategies and delete strategies The Strategy Window is comprised of action buttons at the top of the window and a strategy list 84 Action Buttons 85 Window This drop down menu has the same options as most other Window menus in similar windows in that it allows users to rename the window bold text and increase text size There is also the option of adding an Order Modification Panel to the top of the window 86 Volatility Edit Users can adjust the volatility settings in their strategies by selecting the Volatility Edit window The window has two main sections both expressing the same information On the left side users can key in new
48. spread engine o Book Stacking o Event Based Trades Trade manually using easy to use order book fill information and positions 5 3 Gatekeeper 3 Version Overview Gatekeeper 3 has been updated to be faster easier to use and more dynamic Updated Formula Engine Easier to read formulas Faster math engine Saved formulas with workspaces Gatekeeper API Write your own adapters for exchange connectivity that are not currently supported Write your own strategies utilizing existing adapters New Order Book Position sliders for options traders Separate panels for positions fills and orders Show position by delta gamma vega theta and rho Download stored fills using SD_ID Set manual fills for floor orders New Formula Strategies Configure orders for options or futures Set multiple orders per strategy Set multiple event based orders per strategy New Bookstacker Strategies Set midpoint order size profit offset and interval using formula engine New Features Print option valuation sheets Integrated SpreadBandit advanced spread engine CTS integration 6 4 Installing Gatekeeper To install Gatekeeper locate the Setup exe file provided by Scaled Dynamics Double clicking this will launch the installation window Follow the on screen instructions to complete the installation of Gatekeeper 7 5 Gatek
49. t Use the drop down menu that lists actions that can be paired with sounds 31 Set sound Use the drop down menu with the sounds loaded in it 32 Delete Augment Optional Users can delete a sound by selecting the X button that appears in the right most column or change sound assignments by selecting the action and selecting a new sound 33 Set sounds Once the user is done managing sounds click Modify Event The sound assignment will then appear in the Assigned Sounds Panel and the user can select OK to confirm any changes Sound Assignment Panel Assigned Sounds Panel 48 8 Licensing Licenses for Gatekeeper are configured by Scaled Dynamics account managers If users have any questions about their current license they can contact their account manager or email support scaleddynamics com 49 9 Additional Information Any additional inquiries or requests for added functionality should be directed to sales scaleddynamics com Any support related inquiries should be directed to support scaleddynamics com For additional information on Scaled Dynamics Inc and its products visit www scaleddynamics com 50 10 Legal Notices This document and all related documents computer programs examples and source code are the exclusive property of Scaled Dynamics Inc and are protected by licensing agreements patent and copyright law and international treaties Unauthorized possessi
50. the underlying instrument affects the price of the call option commonly used in hedge ratios 5 BS Delta Put The degree to which a change in the price in the underlying instrument affects the price of the put option commonly used in hedge ratios 6 BS DualDelta Call 7 BS DualDelta Put 8 BS DualGamma 9 BS Gamma As a derivative of delta it measures the velocity of a change in the underlying price affects the value of the option 10 BS ImpPrice Call The implied price based on implied volatility of a call option 11 BS ImpPrice Put The implied price based on implied volatility of a put option 12 BS ImpVol Call The implied volatility of the call 13 BS ImpVol Put The implied volatility of the put 14 BS Price Call The theoretical price of the call 15 BS Price Put The theoretical price of the put 16 BS Rho Call The degree to which a change in the risk free interest rate will affect the price of the call 17 BS Rho Put The degree to which a change in the risk free interest rate will affect the price of the put 18 BS Theta Call The degree to which a change in the time till expiration affects the price of the call 19 BS Theta Put The degree to which a change in the time till expiration affects the price of the put 20 BS Vanna The second order derivative of the option value 21 BS Vega The degree to which a change in volatility affects the price of the option 22
51. usted select the commit changes button to change them in the strategies then select Close to exit the Volatility Edit window 34 114 How to Clone Range Cloning a strategy to a range of contracts saves time by applying an existing strategy to other contracts without having to recreate them in the Strategy Builder window 115 Select Original Strategy In the Strategy List select the contract to be cloned 116 Select Clone Range Bring up the Clone Range window by selecting Clone Range 117 Choose Contracts Select the contracts to be cloned from the original strategy 118 Create Strategies Once contracts have been chosen clicking this button clones the strategy and lists them in the Strategy List of the Strategy Window In the example above the user is cloning a strategy originally developed for a Black 76 129 put in the March13 10 year contract and applying it to other puts in that range of strike prices 119 Strategy Builder There are three advanced strategies Gatekeeper can implement formula bookstacker and SpreadBandit To construct these strategies users select the Strategy Builder icon and choose one of the three advanced strategies Formula and bookstacker strategies both start users in the Instrument Select tab Users select the instruments used in the strategy This usually includes setting a primary instrument and a reference instrument 35 120 Instrument Select Tab 1 Strategy
52. y Number of contracts users have entered to buy 20 Bid Qty Amount currently bid at price 21 Bid Current bid price 22 Ask Current ask price 23 Ask Qty Amount currently offering at price 24 Sell Wrk Number of contracts users are currently trying to sell 25 Last The most recently traded price 26 Last Qty The amount contracts most recently traded at a price 27 Settle Settlement price of instrument if any 28 Change Change in price from the SETTLEMENT OR OPEN OF DAY 29 Volume Number of trades in the trade day for the instrument 30 Expiry Expiration date of the contract 31 Implied Volatility Percentage implied volatility 32 Delta The current delta value 33 Gamma The current gamma value 34 Vega The current vega value 35 Theta The current theta value 36 Rho The current rho value 24 37 Market Depth Window Overview Market Depth Windows are another way to see a market s price action In Gatekeeper it can be used to enter or edit orders When an order is working at a price in the Market Depth Window the price is highlighted 7196 and 7182 in the picture below To center the ladder currently selected press the space bar To center all Market Depth Windows center click on the mouse Users can change colors of the Market Depth Window by using the Window drop down menu and selecting Edit Colors 38 Quantity Control Set the quantity of the or
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