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  4. 2024 Releases

3 July 2024

  • Updated
Key changes

We added an MMP trigger based on Vega, on top of our existing quantity and Delta triggers. It looks at the absolute net Vega traded between your bought and sold options in the lookback period. It guarantees you cannot be overexposed to volatility within your algorithm's reaction time.

API
Breaking changes

  • Added settlement_price field to transaction logs of type delivery in /private/get_transaction_log. The index_price field now contains index price instead of the settlement price.

  • freeze_quoteswill only affect the given currency pair instead of the entire currency when cancelling quotes by currency_pair in /private/cancel_all_by_currency_pair.

New

private/get_mmp_config and private/set_mmp_config

  • We now allow delta_limit to be greater than quantity_limit.

  • Added vega_limit.

Added simulated_positions and add_positions to private/pme/simulate.

FIX
Breaking changes

Added more non-standardQuoteEntryStatus(1167) tag values to Mass Quote Acknowledgement (b):

  • 18= Canceled by MM

  • 19= Replaced

  • 20= Filled

  • 21= Open

  • 22= Closed

  • 23= Triggered

  • 24= Untriggered

  • 25= Unknown

New