How to set up a spreader with the least messaging
What would be the optimal parameter to quote a calendar spread sending the least possible messaging ?
Adminefrain (Admin, CQG) commented
Thanks for your inquiry. There is an obvious and frequently employed method. With CQG Spreader one can choose which leg to work. Working all legs will inherently produce the greatest amount of messaging. Working only one of two legs, usually the least liquid, will reduce messaging because you are working an order in only one leg.
There is also the ability to configure the spread to work 'no legs' which we refer to as Sniper Mode. The Spreader system will not show any working orders to the public book. The strategy will sit server-side, acquiring market data for that strategy. When the order can be completed, the Spreader system injects the orders to the public books to complete the strategy.
Secondly, a specific configuration can be employed per strategy to reduce messaging.
I have attached a two page document details each of the configurable fields within the Setup Trading Parameters for that strategy. This will significantly help reduce messaging if one chooses to work both or one leg of the strategy. I have also included the links to CME Group's messaging policy and their most recent Benchmark Ratio's for each product group.