AlgoTraderAlgoTrader Documentation

Chapter 25. Synthetic Securities and Derivative Spreads

25.1. Combination Example
25.2. CombinationService
25.2.1. Create Combination
25.2.2. Update Component Quantity
25.2.3. Remove a Component
Combinations and Components

Figure 25.1. Combinations and Components

AlgoTrader provides a feature to create Synthetic Securities & Derivative Spreads based on the two Entities Combination and Component.

Combinations are handled like every other Security except that they cannot be traded externally. A Combination consists of one or many Components. Each component has a quantity.

The AlgoTrader Server generates Ticks based on the size of the components of the combination and the current marketValues of the associated securities. This calculation is handled by the module module-combination.epl which provides the ComponentWindow.

A Combination is available to all strategies and can be subscribed/unsubscribed in the usual manner.

The example above shows a Combination based on 39 VIX April 2013 Futures and 5 VIX May 2013 Futures. The example shows that the marketPrice of the combination is based on a weighted average of the prices of both combinations, e.g.:

(39 * 14.90 + 5 * 15.95 ) / 44 = 15.02

The CombinationService is responsible for handling all Combination / Component related DB-Operations.