Robot
by Boris Uki
1. "Auto" flag logic
2. EdgeRules
2.1. On Robot side
2.1.1. Last publication time
2.1.2. Last trader time
2.1.3. Forbid D strikes like 10d for STRADDLES
2.2. On Marina
2.2.1. Notional (strategies, same/opposite leg direction, strips, single leg)
2.2.2. Single ZC
3. OLA spreads
4. Broker RFQ
5. Filter for Auto quotes
6. ABFX
6.1. calendar Spread
6.2. ABFX multiplier
6.3. OCO flag
6.4. New Exotic Pricer
6.5. Acc/Und notional
7. Performance
8. Reconnect to Marina
9. Check quote content on each state (requested+, priced,...)
10. Save risks to MIS
11. Ignore rules
11.1. Stop words
11.2. Exotics
11.3. Non DN straddle from Volbroker
12. Holding time between Pricing and priced
13. NOVA<2y/Marketvol>2y using
14. TraderIntervention on each state (requested+, priced...)
14.1. Apply robot price
14.2. Own price
14.3. Via popup, via import
14.4. Reject
14.5. Reprice
14.6. Service
15. Each Source
15.1. Each Strategy (vary deltas (10d,10c,atmf,...), directions, leg sizes)
15.2. EUR(delta and number strike)
15.3. N*EUR
15.4. 2*EUR OCO on and off
15.4.1. Netting
15.4.2. Spread relocation
15.5. Compare robot vols vs imported priced structure
15.6. Stratey vs XXX
15.7. VN sizes for strategies
15.8. Non default cut
15.9. Strangle
15.9.1. Single delta/ Single Notional
15.9.2. Two deltas/ Single notional
15.9.3. Single delta/ Two notionals (single notional in acc ccy)
15.9.4. Two deltas / Two notionals
15.9.5. digital strike
15.10. Risk/Reversal
15.10.1. delta strike solving to put or call
15.10.2. Buy/Sell Put/Call