Trading Dashboard - Hedger Explain Tab
Overview
The trading dashboard in Compass allows us to quickly view PnL and VaR swings, determine which instruments and positions cause them, and address the systems performance with a superior Time-to-Action.
The hedgers tab allows us to identify what the hedgers are thinking in real-time. This is useful for assessing high VaR events and understanding which rules are active, disabled or blocked and why.
Here we can view charts specific to the hedging processes such as 'Hedging Spread P&L attribution', 'Hybrid hedger rule', 'Arb trader constraints by mode' and 'Stat arb constraints by mode' as well as the standard graphs shown on all analytics tabs such as PnL, volume and fill ratios.
Hybrid hedger rule
The hybrid hedger rule chart shows exactly what the hybrid hedger is currently thinking for each rule and instrument. Filtering on the the instrument allows you to see in finer-grained detail which rules have been triggered, are active, idel or have failed.
The count on the right of the chart will show the live count whilst the rest of the chart plots what happened over the viewed period. A higher count indicates what is currently happening
e.g. if the highest count is FailingPredicate-QSpread, G8 BACKSTOP , that would indicate the BACKSTOP rule on the G8 rule group was active and looking to remove risk but blocked by the Spread Quantile.
If a rule is blocked, this chart will detail the specific predicate which is causing the rule to stand down and not trade. Read more here about the different messages blocking a rule and how to solve them
stat arb and Arb trader constraints by mode
The arb trader constraints act pre and post the Stat arb constraints.
Similar to the Hybrid rule chart, these charts will detail what the arb hedger is thinking split by instrument and mode (i.e. risk increasing, risk decreasing or NOP decreasing).
Stat arb constraints:
In order to place an order the opportunity/arb hedger has to satisfy all the constraints imposed on its hedging. When the arb is not firing, each reason blocking the Stat arb constraints is plotted.
The constraints are ordered by a number e.g. 02-PxAge. Constraints have to be satisfied from highest to lowest ending at 01-Fired meaning a successful trade. Therefore, the lowest non-zero count constraint is usually the reason for why the hedger is not deciding to place a trade in that instrument.
e.g. If "02-PxAge" has a larger count in the right-hand count column than "03-PxDeltaSize", this would indicate that the majority of the time all higher numbered constraints were satisfied i.e. PxDeltaSize constraints were satisfied and it was the PxAge constraint that constrained the placement.
Once the "01-Fired" count is non-zero it is showing that the Stat arb constraints are satisfied and the only reason it is not firing is due to Arb Trader constraints.
- 4-QtyNotLargeEnough indicates that the amount it wants to get it done is insufficient due to system configuration. This indicates it wants to do a non zero amount.
- 4B-ZeroQty indicates the amount it wants to do is zero
- 4D-MktDef0Qty - wants to do less than the minimum on the market definition i.e. desired trade quantity is less than the minimum from reference.marketInstrumentDefinitions.quantityDefinition
- 4C-DecZeroQty - StatArbLogic wants to do zero quantity
- 4E-RuleMinZeroQty - StatArbLogic wants to do less than the hedging.arb.varRules.minTradeAsMultipleOfMaxVar or hedging.arb.rules.minTradeQuantity
- 5-VarAsessor indicates that the var reduction is insufficient for it to hedge.
- By examining both the Arb Trader constraints and Stat arb constraints you can determine whether the system is responding in a way that you expect with respect to risk management.
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