T4 Custom Strategies is a client side application that allows the user to create, chart, and trade custom strategies and spreads. Orders rest on the user’s PC, not on CTS servers, and they are not submitted to the exchange until the specified market conditions have been met, i.e. an order that is 8 bid will not be submitted until there is an 8 offer or better in the market. T4 Custom Strategies is not an autospreader and will not cancel and replace orders at the exchange. T4 Custom Strategies dramatically reduces the risk of exchange penalties that can result from extremely high messaging or message-to-fill ratios that exceed exchange limits.

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T4 Custom Strategies can be enabled by the user by logging into www.t4login.com with the user’s firm, username and password. The functionality can then be chosen in the Setup User page, found in the menu on the left. Firm admins can also enable T4 Custom Strategies on behalf of their users.

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Custom Strategies:Lists all user created Strategies. Templates: lists all templates provided with the software. Trade: Will Launch a trading ladder of your selected strategy. Note: You can still pull up a ladder if you are in the charting only package, you just wont be able to enter any trades. Chart: Will launch a chart of the selected strategy. Note Once the chart is pulled up then you can edit it and add studies. Market Profile: Will launch a Market Profile of the selected strategy. Note Once the Market Profile is pulled up then you can edit it and add studies. Market History: Will launch a Market History of the selected strategy. Spread Matrix: Will launch a Spread Matrix of the selected strategy. Quote Snapshot: Will launch a Quote Snapshot of the selected strategy. Edit: Click to edit an existing strategy. Delete: Click to Permanently delete an existing strategy. Note: If you try to delete a strategy with working orders it will not let you until the orders are canceled. Clone: Select a strategy and click this to clone an existing strategy. Create New: Click to create a new strategy from scratch. Get Saved Orders: Click to pull up any saved orders.

Image Spread Tab Identifier: Alphanumeric identifier of this strategy definition. Self-generated and read-only. Description: The name or description of this custom spread. Left click in value area to edit. Quotation Method: What method to use to present the strategy market quotes. *ThePrice method displays quotes in Ticks.

*The NetChange method displays quotes as the difference in Ticks from the last settlement.

Quotation Pricing: What pricing model to use to compute strategy quotes.

*The Cash pricing method converts each leg price to Cash (i.e. Cash=Ticks*TickValue/Numerator) and aggregates all legs with multipliers.

*The Ticks pricing method uses each leg Tick directly and aggregates all legs with multipliers.

*The Decimal pricing method converts each leg price to Decimal (i.e. Decimal=Ticks/Denominator) and aggregates all legs with multipliers.

*The Yield pricing method converts each leg price to its equivalent yield value and aggregates all legs with multipliers. Only supported for treasuries.

Enable Advanced Pricing: Determines whether Advanced Pricing is enabled in order to edit Price Parameters for quotation pricing.

Legs Market Generation Mode: For use when Leg's Fixed Market shows No Market. Adjacent Expiries: *Expiries with the same maturity are matched across all legs. Sequential Expiries: *The closest expiries are matched followed by the matching of the second closest expiries and so on. This matching continues until all expiries are exhauseted for any of the constituent legs. Nearest Adjacent Expiries: *Matches expiriees of most proximity to the expiry of the preceeding leg until the same expiry is reached or the expiry is of longer maturity. Sequential Calendars: *Matches expireies sequentially to expiries of larger maturity for 2-legged strategies. It creates forward marching caledar strategies. Fixed Market (optional): Optional fixed market for this leg. This is useful when creating specialized spreads. Leg Side: Is this leg bought or sold relative to the spread. Trade Ratio: How many units of this leg should be bought/sold for a single spread trade. Leg Multiplier: Multiplier to apply to this leg's price when computing the spread quotation. Leg Slop: Number of ticks to trade through to improve chances of getting a fill on the leg.

TIP:Leg Slop submits the leg order at a degraded or reduced price in order to improve the chance of filling the leg. The strategy watches the markets and when conditions are met to submit the leg orders, the leg orders with slop defined will be submitted at adjusted prices. For example, +2 leg slop will adjust a buy price of 10 up to 12 and will adjust a sell price of 10 down to 8. Leg payup kicks in if a leg becomes leaning (did not fill, but the other leg did). This is different than slop because now that the leg is leaning, the order will be submitted to fill it as soon as the market hits the adjusted price. Leg Payup: Number of ticks to trade up on a leaning leg in order to improve chances of filling it.

TIP: Leg payup kicks in if a leg becomes leaning (did not fill, but the other leg did). This is different than slop because now that the leg is leaning, the order will be submitted to fill it as soon as the market hits the adjusted price. Leg Order Type: The order type used for this leg orders when submitting to the market. LimitIC: Submits this leg order as a Limit order and a ImmediateAndCancel (IC) time type. (Default.) Limit: Submits this leg order as a Limit order and a Normal time type. If the leg market moves, this limit leg order may not be filled promptly and may even work the market indefinitely. In such case, the strategy order will remain working even if the strategy order is displayed as having met the market. Other legs of the strategy could also be filled leading to an unbalanced strategy. Market: Submits this leg order as a Market order and a Normal time type. A strategy with a Market order type in any of its legs is effectively a Strategy Market order even if other legs use a LimitIC (or Limit) order type. Having a LimitIC (or Limit) on a leg, just fixes the submit price of that specific leg but *not* the submit price of legs with a market order type. Per a leg market order type, strategy fills may not meet the submit limit price of the strategy order. The Market order type can be used to enter a leg market that is not transacted promptly with the LimitIC or Limit order types.“) Leg Order Type Payup: The order type used for this leg orders when submitting to the market under a payup condition. LimitIC: Submits this leg order as a Limit order and a ImmediateAndCancel (IC) time type. (Default.) Limit: Submits this leg order as a Limit order and a Normal time type. If the leg market moves, this limit leg order may not be filled promptly and may even work the market indefinitely. In such case, the strategy order will remain working even if the strategy order is displayed as having met the market. Other legs of the strategy could also be filled leading to an unbalanced strategy. Market: Submits this leg order as a Market order and a Normal time type. A strategy with a Market order type in any of its legs is effectively a Strategy Market order even if other legs use a LimitIC (or Limit) order type. Having a LimitIC (or Limit) on a leg, just fixes the submit price of that specific leg but *not* the submit price of legs with a market order type. Per a leg market order type, strategy fills may not meet the submit limit price of the strategy order. The Market order type can be used to enter a leg market that is not transacted promptly with the LimitIC or Limit order types.”) Snipe Volume Multiplier: Adjusts the volume margin that must be available in this leg before the initial snipe is attempted on the order. Reverse Strategy Leg Slop: Number of ticks to trade through to improve chances of getting a fill on a reverse strategy leg order. Remove Market: Left click this button to bring up a menu to move the leg up, move leg down, or remove the leg. Add Remove Move Leg: Click the button to bring up a menu to add, remove, move new leg.

Image Reverse Tab Reverse Strategy Enable: Determines whether a balancing Reverse Strategy is executed if a leg is rejected. A Reverse Strategy attempts to balance potential fills of non-rejected orders from the original strategy. As the strategy market is executing client-side, some leg rejection scenarios may not be covered. If Reverse Strategy is not Enabled, leg rejections may result in an Unbalanced Strategy. Such Unbalanced Strategy would have to be balanced manually by launching the constituent Leg Contracts. Reverse Only To Open: Only execute the Reverse Strategy when opening a position (i.e. the strategy market is flat). Pulls on Reverse: Determines if pulls are allowed while a balancing Reverse Strategy is executing per a previous leg rejection.“) Reverse Fills at Market: Determines if the balancing orders of the Reverse Strategy are entered at market price instead of the filled price. If both Reverse Fills At Market and Reverse Fills At TOB are unchecked, the Reverse Strategy orders are submitted at the fill prices of the non-rejected orders. This default behavior attempts to reverse fills without a loss.”) Reverse Fills at TOB: Determines if the balancing orders of the Reverse Strategy are entered at the top-of-book (tob) price instead of the filled price. If both Reverse Fills At Market and Reverse Fills At TOB are unchecked, the Reverse Strategy orders are submitted at the fill prices of the non-rejected orders. This default behavior attempts to reverse fills without a loss.“) Dialog Display: Determines if a Strategy Manager's confirm dialog is displayed when a Reverse Strategy is launched upon strategy leg rejection.

Image Advanced Pricing Tab Price Parameters Leg: Leg to use for the strategy's Price Parameters (i.e. TickValue, Numerator, Denominator). By default, the strategy automatically uses the price parameters of the first defined leg (i.e. Leg 1).

Price Parameters Method: The method to use to set up Price Parameters (i.e. TickValue, Numerator, Denominator) for the spread market. The Auto method indicates that the price parameters will be automatically selected from the defined Price Parameters Leg.

The Override method allows the manual override of price parameters. The override price parameters are defaulted to -1. If any override price parameter is not modified from -1, the corresponding price parameter from the selected Price Parameters Leg will be used.”)

Price Code Disabled: Enables/Disables Price Code conversions for formatting display prices. By default, PriceCode is enabled to display prices in traditional form. When disabled for special cases (e.g. yield calculations), the Numerator and Denominator overrides are used to control the price display.“) Include Leg Implied Prices: Whether to include implied prices from leg spreads into the leg outright bid and offer books. Implied prices from an underlying leg market are only included if such leg supports trading implieds. Sampling Rate: The rate (in milliseconds) at which strategy quotes are built from the quotes of the underlying leg markets. Minimum value = 0 ms. Maximum value = 20 ms. Default value = 0 ms (asynchronous). Subscription Rate: Subscription rate of depth/trade updates for the strategy legs: Values allowed:

Fast (DepthBuffer.FastTrade) Normal (DepthBuffer.SmartTrade). Slow (DepthBuffer.SlowTrade). Please note that FastTrade can lead to significant CPU requirements under fast markets.

Trade Matching Interval: Maximum time interval (in milliseconds) between adjacent leg trades in order to match a strategy trade. Default: 50 milliseconds. Minimum=1. Please note a higher value will result in increased trade matching and more demanding cpu requirements.

Due to Spread Matching: When enabled, strategy trade matching (for charts and asynchronous trades) also includes implied leg trades from spreads. Note that exchange-provided implied leg trade prices may be off market. This may generate noise in charts. Default = Disabled.”)

ou can open a quote snapshot from your New Screen Drop Down located on the trading ladder of your strategy or you can right click on your strategy in your custom strategies window and it will open a new window that breaks down the spread quotes into the constituent leg quotes and volumes for each depth level.

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Once you have selected the quote snapshot it will bring up a window that breaks down the spread quotes into the constituent leg quotes and volumes for each depth level. Keep in mind this is a snapshot and it will not keep updating as the market updates you can click the refresh buttonImage that will take a new snapshot of the market.

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From the Snapshot window you can click on one of the offer or bid levels value area and it will bring up a window that will break down calculation of that price level. See the below image for the break down of Offer level 5.

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From the above window you can left click anywhere in the window to bring up the Strategy quote calculation window which will further breakdown how the price was calculated at that level.

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To open select Custom Strategies from the main window’s New Item Menu. This will open the Custom Strategies window. This is the main Custom Strategies window from which all spreads will be created, edited, and launched.

Within the Custom Strategies window there is a section for custom strategies (1) and a section for templates (2). The custom strategies section will list all user created strategies, while the templates section lists all templates provided with the software. Note that the composition and ratios of these templates are subject to change and they should be thoroughly analyzed before any orders are placed in them.

To start a new strategy from scratch, click Create New (3) on the right side. To build a strategy based on one of the existing templates, click the desired template followed by New From Template (4). Both of these buttons will open the Strategy Editor.

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Within the Spread tab (1) of the Strategy Editor, give the new strategy a name in the Description box (2). Then click the Legs tab (3) to configure the legs of the strategy.

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Click the Add New Leg button (1) to add the first leg of the strategy. Repeat this step until all legs have been added. If just two legs are chosen and both legs are of the same product, the Market Generation Mode (2) will need to be changed to Sequential Calendar Expiries, or the Fixed Market dropdowns (3) will need to be changed to specify the desired expirations for each leg. Next choose whether each leg is being bought or sold by changing the Leg Side dropdown (4). If you plan on executing orders through the Custom Strategies be sure to adjust the Trade Ratio (5) to reflect the number of contracts of each leg you would like to buy or sell for each 1 lot placed in the strategy. Changing this factor will not change how the price of the strategy is calculated. Instead, adjust the Leg Multiplier (6) to change the price calculation. For example, if a particular strategy is quoted by multiplying the first leg’s price by 2 and subtracting the second leg’s price as-is, the first leg would have a leg multiplier of 2 while the second leg would remain at 1. Once the parameters have been set, click the Create/Update button (7) to save the strategy or click the Cancel button (8) to return to the Custom Strategies window without saving.

When setting up your spread there are more options to better configure your spread for a more indepth break down of category's such as Leg Slop, Leg Payup, Leg Order type, Leg Order type, Snipe, Volume multiplier, and Reverse Strategy you can go to the Strategy Editor-Legs Tab. Image

After a custom strategy has been created, it can be edited by selecting it and clicking the Edit button (1). To trade or see quotes for a strategy, select it from the Custom Strategies window then click the Trade/Quotes button (2). To open other windows for the selected strategy, click Chart (3), Market Profile (4), or Market History (5). The Spread Matrix (6) button will provide the option to open a spread matrix window for any of the legs of the selected strategy. The Quote Snapshot (7) will provide detailed information that breaks down the spread quotes into the constituent leg quotes and volumes for each depth level.

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Within the contract window for a custom strategy, the dropdown menu (1) will contain three new features. Leg Contracts (2) will open additional contract windows for each of the legs of the strategy. Snapshot Quote (3) will open a new window that breaks down the spread quotes into the constituent leg quotes and volumes for each depth level. The Strategy Definition button (4) will open a view-only version of the Strategy Editor to display the complete strategy configuration at a glance.

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Upon logging out of T4, if you have any orders working in the Custom Strategies you will be asked if you would like to save them for your next session. If you choose yes, the next time you login you will see the Saved Strategy Orders window on top of the other windows in your workspace. You can check any orders you would like to resubmit (1), then click the Submit Checked button (2) to put the orders back in the Custom Strategies or the Cancel button (3) to discard them. Any orders that would be filled instantly upon resubmitting will have a yellow background (4) behind the order type field. After either submitting or cancelling the orders they will be permanently removed from the server and will need to be manually resubmitted if desired after that point.

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Inputs Description Ticks This is the price of the product as published by the exchange. Note that this value may not match the display price. TickValue This is the cash value of a minimum tick for the product multiplied by the leg multiplier chosen for that leg, i.e. a leg multiplier of 3 with a $10 minimum tick creates a $30 TickValue. Numerator The minimum tick increment in the same terms as the “Ticks” of the product, i.e. a display price of 1170.3 may have a minimum tick of 0.1, but if the Ticks are published by the exchange as 11703, the Numerator will be 1, not 0.1 Denominator The value sent from the exchange that divides into Ticks to create a decimal value. PriceCode If applicable, this applies a special conversion to a decimal value to create a more legible display price, i.e. a 10yr Note decimal price of 127.296875 becomes 127095 after applying the appropriate PriceCode. DisplayFormat The decimal precision applied to a display price, i.e. a price of 1258.75 with a DisplayFormat of 0.0 will truncate the last digit, leaving 1258.7 as the display price

Edit Cash Calculation¶ Step 1 - Multiply each leg price by its TickValue and Denominator, then divide by its Numerator. Step 2 - Add all leg values calculated in Step 1, where buy-side legs are positive and sell-side legs are negative. Step 3 - Multiply the value derived in Step 2 by the first leg's Numerator, then divide by the first leg's TickValue and Denominator.

Edit Decimal Calculation¶ Step 1 - Multiply each leg price by its leg multiplier. Step 2 - Add all leg values calculated in Step 1, where buy-side legs are positive and sell-side legs are negative.

Edit Tick Calculation¶ Step 1 - Multiply each leg price by its leg multiplier and Denominator. Step 2 - Add all leg values calculated in Step 1, where buy-side legs are positive and sell-side legs are negative. Step 3 - Divide the value derived in Step 2 by the first leg's Denominator.

Edit Yield Calculation¶ The yield calculation is the same as the cash calculation, but the quotes are displayed as yield instead of price. The yield calculation is only available for treasury products.