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TWS Version 951 - Release Notes

Implied Volatility Viewer

For all stock, index and futures that have option contracts, use the Implied Volatility Viewer to see option volatility plotted against a range of user-specified strike prices for a user-defined expiry list. Frequently used settings can be adjusted using the right-click menu within the chart. Change display settings, expiries and strikes, and open such tools as the Crosshair and tooltip display. Use the wrench configuration icon to define other settings. To zoom in, use scrollbars or draw a rectangle on the chart to zoom to that area. To open the IV Viewer, start from the New Window drop-down in Mosaic, and the Analytical Tools menu in Classic TWS. Select Option Analysis then Interactive Analytics and then Implied Volatility Viewer.

Algorithm Presets for Futures

You can now define IBALGO as a preset for all security types that support them, including: futures, forex, CFDs, and warrants along with stock and options. Access Global Configuration from Mosaic using the File menu, and from Classic TWS using the Edit menu. In the left pane expand the Presets selection and choose a security type. Scroll to the bottom of the Presets settings in the right pane and in the Algorithm section select the algo destination from the drop down list. Available algos will display in the Algorithm drop down list once the algo destination is chosen.

Account Alias Identification

Once account aliases are defined in account management, there was previously no way within TWS to identify which account number was paired with which account alias. Now, the user can hold their mouse over the account alias within TWS and see the actual account number in the mouse-over help. Additionally, in the Advisor >Account Alias section of Global Configuration we now show a table with matching alias/account number pairs.

Multi-Contract Time & Sales

You can now elect to view Time & Sales for multiple contracts versus just a single contract. To open the Multi-Contract Time & Sales window, from the New Window drop down select Time & Sales, and then select Time & Sales (Multi Contract). Next click the Configure wrench icon to open the Select Tickers and define the tickers you want to see. Use the Import button to import a ticker list from a basket or .csv file. Symbols are sorted by time, and when the tool is in multi-contract mode the "Symbol" field is displayed. Note that the multi-contract display only supports real-time data.

Repeatable Margin Cushion Alerts

Margin Cushion alerts in TWS now have the "Repeatable" feature available. This means that you can set the alert once, and anytime your margin cushion falls below your specified level the alert will sound. To create an alert, right-click any contract and select the bell icon from the quick menu. Click the Advanced Settings button from the Alerts box to set a margin cushion alert.

Quick Entry for Futures Calendar Spreads

In addition to being able to add futures contracts quickly to TWS using just the symbol, you can now also add futures calendar spreads by entering the two symbols separated by a dash (-). For example, to enter a CL June 15/Sep 15 calendar spread, simply enter "CLM5-CLU5" or "CLM-U5."

New Algos

A series of new Jefferies and CSFB algos have been added to TWS. To select an algo, from the Destination field select JEFFALGO or CSFBALGO, and then select the algo.

Jefferies Algos:

  • Blitz - A liquidity seeking algo that sweeps all displayed markets, and sends Immediate-or-Cancel orders to all non-displayed markets.
  • Buyback - This strategy provides volume-participation trading to issuers seeking safe harbor (SEC Rule 10b-18) in stock repurchases.
  • DarkSeek - A liquidity seeking algo that searches only dark pools.
  • Finale - Benchmark algo that lets you trade into the close.
  • Multi Scale - Three-tiered "holder" strategy - use algorithms within this work flow.
  • Opener - Benchmark algo that lets you trade into the open.
  • Pairs - Net Return - Lets you execute two stock orders simultaneously. Use Net Returns to unwind a deal.
  • Pairs - Ratio - Execute two stock orders simultaneously - use the Ratio algo to set up the pairs order.
  • Pairs - Risk Arb - Lets you execute two stock orders simultaneously. Allows you to setup, unwind or reverse a deal.
  • Patience - Liquidity seeking algo targeted at illiquid securities.
  • Portfolio - Execute a group of stock orders according to user-defined input plus trading style.
  • Post - Allows trading on the passive side of a spread.
  • Seek - This strategy pursues best execution for illiquid securities by seeking out hidden liquidity from multiple sources, including hidden and displayed market centers.
  • Strike - This strategy seeks best execution in the user-designated time period, while minimizing market impact and volatility cost and tracking the arrival price.
  • Trader - Change order parameters without cancelling and recreating the order. Workflow algo that lets you interactive with a working order and toggle between strategies with a single click.
  • TWAP - This strategy spreads transactions evenly over the designated time period by slicing the total order quantity into smaller orders.
  • Volume Participation - This strategy allows the user to designate the percentage of stock to be executed during a specified period of time to keep in line with the printed volume. The impact of the trade is directly linked to the volume target you specify.
  • VWAP - This strategy automatically manages transactions to achieve the all-day or intra-day VWAP through a proprietary algorithm.

CSFB Algos:

  • Auction - Allows you to call an auction and control your order.
  • Blast - An aggressive algo that simultaneously routes your order to all available exchanges and ECNs with an intermarket sweep designed to getting as close to simultaneous arrival as possible.
  • Close - Minimizes market impact by intelligently working orders into the close.
  • Crossfinder+ - This strategy locates liquidity among a broad list of independent and broker-owned dark pools, with continuous crossing capabilities. Using dynamic smart routing logic, CrossFinder+ will spread your order over multiple destinations. This algo will fill at the midpoint or better, and may not execute.
  • Float - This tactic displays only the size you want shown and floats on the bid, midpoint, or offer until completion. Enter a display size in the Iceberg field and choose a patient, normal, or aggressive execution.
  • Float Guerrilla - Uses the Guerrilla algo but floats a small, visible portion near touch to facilitate trading when that side of the book becomes active.
  • Guerrilla - The GUERRILLA algo works differently depending on the Execution Style you select:
    • Normal and Passive modes: This tactic works orders without displaying bids or offers. When liquidity materializes, it seeks to aggressively participate in the flow. If liquidity is poor, the order may not complete.
    • Aggressive mode: This will hit bids/take offers in an intelligent way based on a fair price model. It minimizes market impact and never posts bids or offers.
  • Inline - Minimizes implementation shortfall against the arrival price. Participation increases when the price is favorable.
  • I Would - This tactic is aggressive at or better than the arrival price, but if the stock moves away it works the order less aggressively. However, if the stock moves in your favor, it will act like Sniper and quickly get the order done.
  • Lightpool - Routes orders to the Credit Suisse ECN.
  • Pathfinder - PathFinder will intelligently and dynamically post across multiple destinations, sweeping all available liquidity. The remainder will be posted at your limit price.
  • Pre/Post - Smart routed algo to be used during pre- and post-market hours. Only supports limit orders.
  • Reserve - Use the Iceberg field to display the size you want shown at your price instruction. If you do not set a display size, the algo will optimize a display size. Upon getting filled, it sends out the next piece until completion.
  • Sniper - This is a very aggressive tactic that will hit bids/take offers that are better than your limit price, but will never post bids or offers. It achieves high participation rates. Note it is not a pure sweep and can sniff out hidden liquidity. As a result, it is often a better choice than placing a limit order directly into the market.
  • Tex - Designed to minimize implementation shortfall. The tactic takes into account movements in the total market and in correlated stocks when making pace and price decisions. Timing is based on price and liquidity.
  • TWAP - The system trades based on the clock, i.e., on a 2-hour order the system is 25% done after 30 minutes, 50% done after an hour, etc. Unlike VWAP, TWAP (time weighted average price) does not speed up/slow down based on projected volume or price moves. However, it does use smart limit order placement strategies throughout the order.
  • Volume Inline - Works the order in line with the volume.
  • VWAP - The system attempts to match the VWAP (volume weighted average price) from the start time to the end time. A unique and powerful feature is the ability to accept a maximum percent volume limit (“don’t be more than 20% of the volume.”) The system trades over your time period, subject to your price and volume constraints.

Municipal Bonds Scanner

Our Advanced Market Scanners, accessible from the New Window drop down, now includes a US Municipal Bonds scanner to find bonds by state (or for all states). Filter returned muni bonds by quantity, price and yield, payment frequency rating, maturity date, coupon rate and more.

For more information creating Advanced Market Scanners, see the TWS Users' Guide.

Model Portfolios: Reallocate by Amount

You can now reallocate funds in model portfolios by an absolute target amount as well as by a target percentage. To reallocate, select the account whose investments you want to reallocate, and right-click the "Models" heading. Select Reallocate and enter an absolute amount in the Target Amount field for the model you want to reallocate.

Fixes and Changes

The below items have been fixed or modified:

  • Daily P&L is now available for complex multi-leg positions.
  • The Order Preview window now clearly shows whether the client will be paying (debit) or receiving (credit) funds.
  • Partial Fills in BasketTrader: Previously the fill update status for partial order fills was not accurately reflected in the BasketTrader. This has been fixed.