Ug Glautomate 10.1.Rev1

GL AutomateVersion 10.1

User GuideRevision 1December 2011

User Guide

December 2011

Copyright © 2011 SunGard Global Trading

All the intellectual property rights over this document and the information it contains remain vested in SunGard Global Trading. As a consequence,it is strictly prohibited to reproduce, modify, translate, and/or transfer this document and the information it contains, whether for free or valuableconsideration, in whole or in part, by any means and/or for any purpose whatsoever, without written authorization from SunGard GlobalTrading.

The information contained in this document is deemed complete and accurate. However, it is provided to you “as is” without any warranty ofany kind, whether express or implied, including without limitation any implied warranties of merchantability or fitness for a particular purpose.

Table of Contents

Chapter 1. Getting Started 1

Introduction .......................................................................................................... 2Launching GL Automate ......................................................................................... 3Configuring a New Excel Spreadsheet ........................................................................ 4Linking an Existing Excel Spreadsheet to GL Automate ................................................. 5

Chapter 2. Setting Up Spreadsheets 7

Input and Output Zones ........................................................................................... 8Incorporating Execution Information in Excel ............................................................ 14

Chapter 3. The GL Automate Window 15

Overview of the GL Automate Window .................................................................... 16Using GL Automate for the First Time ...................................................................... 16Using Folders in GL Automate ................................................................................ 18Folder Status Color Schemes .................................................................................. 21The GL Automate Menus ....................................................................................... 22The GL Automate Icons ......................................................................................... 38

Chapter 4. Using GL Automate 41

Adjusting Columns in GL Automate ........................................................................ 42Managing All Open Windows ................................................................................. 42Changing/Adding an Instrument .............................................................................. 42Instrument Status ................................................................................................. 43Controlling Order Types From Excel ........................................................................ 45Repeating Instruments ........................................................................................... 46Price Control ....................................................................................................... 46Prioritizing Your Orders ......................................................................................... 46Sending Different Order Types and Market Specifics ................................................... 47Stock Labelling .................................................................................................... 48Tracing Problems With the GL Automate Logs ........................................................... 49Trading for Several Clients ..................................................................................... 49Triggers .............................................................................................................. 49Clearing Keys ...................................................................................................... 50GL Automate Tooltips ........................................................................................... 51One-Shot and Iceberg Orders .................................................................................. 53Request For Quotes .............................................................................................. 54

Index 57

GL Automate 10.1 — User Guide Revision 1Issued by the Documentation Department

Chapter 1Getting Started

Table of ContentsIntroduction .................................................................................................................. 2Launching GL Automate ................................................................................................. 3Configuring a New Excel Spreadsheet ................................................................................ 4Linking an Existing Excel Spreadsheet to GL Automate ......................................................... 5


Introduction

GL Automate is a trading tool designed to act as a gateway from Excel/an API application to themarket. Excel provides the freedom to develop unique trading strategies with no additional softwaredevelopment, and also features an RFQ tag to enable the detection of and response to Requests ForQuotes.

The goal of GL Automate is to minimize the manual intervention required to send new orders, modifyorders, cancel orders and follow a pre-programmed trading strategy.

The uses of GL Automate are varied, and can include arbitrage, such as pairs trading or index arbitrage.It is also useful for Market Makers, for whom it provides the ability to automatically send buy and sellorders to the market for all types of financial instruments (stocks, bonds, warrants, options and futures,etc.).

GL Automate is multi-market, multi-Trading Server (SLE) and multi-underlying, working in an openenvironment through either DDE (Dynamic Data Exchange) or RTD (Real Time Data) links. Morefor information on DDE and RTD links, refer to the User Guide "GL XLS", available on gltrade.net.

It is a trading tool used within the GL Win framework, and is designed to send orders to the marketon the basis of automatic data analysis and formulas which you determine and update via a Excelspreadsheet.

Three elements are required to operate the GL Automate

Excel

The GL Automate module

GL Win

Both Excel and GL Automate are fully configurable (see section “Configuring a New Excel Spread-sheet” (page 4) and Chapter 3, The GL Automate Window (page 15)).

Key Elements

The key elements of GL Automate are as follows:

Key BenefitsKey Features

Flexibility to create any trading strategy to customize dedicatedactivities like market making, trading, hedging, arbitrage, diming,

Uses Excel for creating tradingstrategies.

etc. Profit from real-time data imported into Excel. Integration ofcustom options pricing model.

Easy management of large portfolios or trading books. Key safetyfeatures for automated trading.

Tree view display and warningsystem.

High performance - large books can be centralized for better man-agement - volume handling - scalability.

Over 2000 instruments can behandled by one GL Automate.

Cross-border arbitrage trading or market-making.Multi-market (60)

Robust high performance in all market conditions .Enhanced quote sending.

Position management profit and loss calculations and additionalreal-time data for execution-dependent trading strategies.

Executed orders are directly integ-rated in Excel.


Chapter 1. Getting Started2

http://www.gltrade.net/

GL Automate Interface Features

The following is a list of the GL Automate interface features:

Adapted architecture for Quote Sending.

A fully customizable Tree view display allows better management of large numbers of instruments.

You can create a folder of instruments that can be enabled or disabled automatically.

A warning system automatically opens any file/instrument containing a change of status such asmax Quantity Price reached.

The log can show different depths of detail and smaller log sizes.

A permanent display of the log (both exchange acknowledgements and automated messages) canbe added as a ticker to the bottom part of the GL Automate interface.

Audible alerts have been added to detect a change in status.

A priority can be given to instruments in the event of a queue of orders.

The same instrument can be repeatedly used and a TAG identifier distinguishes between instruments.

Excel Interface Features

The following is a list of the Excel interface features:

2000 instruments can be handled at a time.

The user can use Excel to control the order types (quote, simple, double quote) sent to the market.

Market specifics are to be added in Excel, these include shortsell, shortsell exempt flags etc.

Displays US based instruments that use fractions.

The Status of an instrument or group of instruments can be displayed in Excel; it can also be controlleddirectly from Excel.

The number of updates sent per instrument is displayed.

Position keeping data shown in GL Automate is displayed in Excel in a new Output Zone.

Launching GL Automate

GL Automate is a product that cannot work alone. In order to use GL Automate, Excel and GL Winor GL Stream Workstation are mandatory.

You can open other windows simultaneously, e.g. the Market Watch +.

To monitor trading, it is recommended that you open the Order Book and Trading Watch windows.


3Chapter 1. Getting Started

Loading GL Automate

From the deskbar, click the Trading Tools icon and select GL Automate from the menu.

GL Automate opens:

After opening GL Automate, you need to import or configure a Excel window before you can continue(see section “Configuring a New Excel Spreadsheet” (page 4)).

Note

You can automatically link an existing Excel spreadsheet every time you start GL Automate. See section“Configuration” (page 27).

Configuring a New Excel Spreadsheet

Excel controls the trading data you pass through GL Automate. When first configuring your Excel spreadsheet,you need to import the column titles from GL Automate as shown in this procedure.

1.Click the icon in GL Automate. A template will be put in the clipboard so that you cantransfer it to Excel.

2. In Excel , press CTRL+V . The configurable column titles from GL Automate are pasted into thecurrent spreadsheet.

3. The Excel spreadsheet consists of an Input Zone and an Output Zone; of these, only the InputZone is mandatory.

Note

The more columns are defined, the heavier the traffic will be.

This may have a negative impact on the performance of GL Automate.

For more information, see section “Input and Output Zones” (page 8).



Important

All Excel cells must be closed by pressing Enter, or GL Automate will not detect the Input and Output zones.There can be no unfinished formulae in the Excel spreadsheet.

Note

The Input columns in GL Automate can contain either constants or calculation results. Thousand separators areunsupported. Use either “standard” or “number” data format in the spreadsheet cells for consistent import/exportcompatibility with GL Automate.

Linking an Existing Excel Spreadsheet to GL Automate

You can import a previously configured and saved Excel spreadsheet for use with GL Automate into the currentGL Automate session.

1. Open the saved Spreadsheet in Excel and make sure that the standard format is applied to thecells.

2.In GL Automate, click the Search for EXCEL Spreadsheets icon to search for any currentlyopen Excel spreadsheets. GL Automate automatically detects any currently open spreadsheetsand puts them in the Excel Selection dialog so that you can choose between them.

3. Choose the spreadsheet you want to import into GL Automate from the Excel Selection box,and click OK .

4. The data appears in the Information Data Display in GL Automate, and any changes you makein price and quantity from Excel will automatically change in GL Automate.

Important

All Excel cells must be closed by hitting the Enter Key, or GL Automate will not detect the Input and Outputzones. There can be no unfinished formulae in the Excel spreadsheet.

Note


Linking a Spreadsheet Created with a Previous Version ofGL Automate

Linking old spreadsheets used with a previous GL Automate version implies the following prerequisites.

An input zone must be defined.

The following columns must be added:

OrderType

StopPriceB

StopPriceS


5Chapter 1. Getting Started

For descriptions of each order type, please refer to section “Controlling Order Types From Ex-cel” (page 45).

The column CkeyGlobal no longer exists.

The column CNC no longer exists.

Columns can be in any order in the Input Zone.

A blank in Excel is treated as a zero, so entering a zero is not obligatory in any zone.

There are only two obligatory columns, the Symbol column and the Order Type column.

For information on setting up Excel spreadsheets, refer to section “Incorporating Execution Informationin Excel” (page 14).



Chapter 2Setting Up Spreadsheets

Table of ContentsInput and Output Zones ................................................................................................... 8Incorporating Execution Information in Excel .................................................................... 14


Input and Output Zones

Your spreadsheet has a pre-defined format known as the control table, containing the 16 column titlesyou copied from GL Automate. You establish a link between this table and GL Automate, which canthen respond in real time to price or quantity modifications made using Excel. The purpose of thecontrol table is to provide GL Automate with essential information, such as prices, quantities or securityfilters.

Note


When first configuring Excel, you must define an Input Zone (defining an Output Zone is optional).The Input Zone will contain information which goes from Excel to GL Automate, and the Output Zonewill contain the results of data coming from GL Automate to Excel (for example instrument status,quantities etc.).

The Output Zone makes it possible to visualize the GL Automate output immediately, directly in Excel.Every GL Automate trade generates a return in the Excel Output Zone, and no output from any otherGL Win application is shown there.

For example, if all columns are to be used:

In any cell, add INPUTZONE=A3X103, where A3 is the top left cell of the zone, and X103 is thebottom right cell of the input zone. In this case the beginning cell A3 will be the cell which containsthe formula column heading Folder (if using the Folder column).

In any cell, add OUTPUTZONE=Y3AM103, where Y3 is the top left cell of the output zone andAK150 is the bottom right of the zone.

Note

Defining an Output Zone is optional. Therefore, if you only need seven columns in your GL Automate, you canset the fields as INPUTZONE=A3G103.

Once pasted, the columns can be shuffled or removed at will. The columns do not have to be in anyorder.

It is not necessary to place a zero in unused Input Zone columns - if MaxQtyDay is left blank, it meansthere is no MaxQtyDay.

Note

Any mistake will be immediately displayed in the scrolling ticker in the main GL Automate window. Also, ifthe zone is deep and does not contain any Symbols, when Symbols are later added, they will dynamically appearin GL Automate.

The Input and Output Columns

The input and output columns are described in Input and Output Columns Descriptions (page 9).

Important

If you are using the equals sign (=) as a prefix in the Excel spreadsheet, you will need to use '= instead of = beforethe symbol. Excel assumes that the equals sign indicates the beginning of a formula, so the contents of the cellwill be ignored as nonsense unless you do this.


Chapter 2. Setting Up Spreadsheets8

Table: Input and Output Columns Descriptions

Mandatory /Optional

Input / Out-put Zone

MeaningField

OInputCreate a folder for the Tree View. The use ofa forward slash / creates a subfolder, for ex-ample folder/subfolder.

Folder

MInputThe official symbol of the instrument. Youmust type the symbol in capital letters, or you

Symbol

can drag and paste the Symbol, ISIN or StockCode required from the Market Watch window.

O (Mandatoryif repeating

InputCreate a Tag (eg. 1, 2, 3, 4...) when the sameinstrument is used more than once. The value

Tag

more than onecannot be less than zero, and it cannot behigher than 999. instance of an

instrument)

MInputFor descriptions of each order type, see section“Controlling Order Types From Ex-

OrderType

cel” (page 45). A quote is an order which isautomatically cancelled by a following order.When GL Automate is in Quote mode (Q hasbeen specified in the Excel Order Typecolumn), selecting the individual Buy and Selloptions is impossible. In this case, only theBuy and Sell icons are activated. It is NOTadvisable to change the Order Type withoutfirst disabling the instrument.

OInputFor labelling - type any name required or adda RTD and see Free Text displayed in the inter-face.

Free Text

OInput'+', '-' or blank are the 3 priorities when orderflow control restricts orders from leaving GLAutomate.

Priority

OInputAllows you to choose a specific broker/serverwhen several Trading Server (SLE) accesses

BrokerId

are available for the same market. You mayhave four different Trading Servers (SLE) forone marketplace and can specify differentTrading Servers (SLE) for different instru-ments. Type 'Node.subnode' or 'Node.sub-node.userID' if a user ID is required (example:10042.13040.100). Make sure that you use afull stop and not a comma when typing thereference.

OInputClearing key to be used. You can either dir-ectly type the name of a clearing key that you

CKeyBuy

have defined in the Clearing Keys Set Upwindow in GL Win, or leave it blank to sendthe default clearing key. For the specific rulesof clearing keys in GL Automate, see section“Clearing Keys” (page 50).

OInputClearing key to be used. You can either dir-ectly type the name of a clearing key that you

CKeySell

have defined in the Clearing Keys Set Up


9Chapter 2. Setting Up Spreadsheets

Mandatory /Optional


MeaningField

window in GL Win, or leave it blank to sendthe default clearing key. For the specific rulesof clearing keys in GL Automate, see section“Clearing Keys” (page 50).

OInputEnter enable, suspend or disable in thiscolumn to affect the Buy status of an instru-

CmdStatusB

ment directly from Excel. This avoids manuallyenabling suspending or disabling the instru-ment. Quotes cannot be controlled using thiscolumn.

OInputEnter enable, suspend or disable in thiscolumn to affect the Sell status of an instru-

CmdStatusS

ment directly from Excel. This avoids manuallyenabling suspending or disabling the instru-ment. Quotes cannot be controlled using thiscolumn.

OInputThis allows the user to control a folder's status(enable suspend or disable) directly from

CmdStatusBS

Excel; to control a folder all columns shouldbe blank except folder column and Cmd-StatusBS. Quotes must also be controlled us-ing this column.

OInputType the maximum number of lots or sharesrequired in a day on the buy side. If this

MaxQtyDayB

threshold is reached, GL Automate goes intoforced disable mode on the buy side.

OInputType the maximum number of lots or sharesrequired in a day, on the buy side at the same

MaxQtyPriceB

price, given that the price has not changed.Each time a price moves off this level then re-turns, the counter is reset to zero. If you re-enable after a forced disable, it also resets tozero. If this threshold is reached, GL Automategoes to Forced Disable mode unless the figureentered has an asterisk to its right (see section“Sending a One-Shot Order” (page 53)).

OInputDefines the quantities that are to be displayedon the market. You can use this to create ice-

DispQtyB

berg orders (see section “Sending an IcebergOrder” (page 54)), which will be made up ofthe actual quantity (QtyB or QtyS columns)and the displayed quantity. The GL Automateinterface displays the displayed quantity of theiceberg in parentheses if the iceberg function-ality is being used.

OInputType the Stop Price of the instrument. If theprice you type does not match market tick size,

StopPriceB

the price will automatically be rounded downto the closest tick size by the GL Automate(unless you disable Automatic price roundingin the Configuration dialog box). This fieldcan be left blank.



Mandatory /Optional


MeaningField

OInputType the total quantity that you want to buyin one execution at the price level. This shows

QtyB

the number of instruments you want to showto the market, even after a partial or total exe-cution. Changing a quantity to a zero quantityin Excel is an alternative way to immediatelycancel an order on the market. When thenumber typed in the QtyB cell is followed byan asterisk *, GL Automate does not automat-ically resend this quantity when it reaches thelimit.

OInputType the buy price of the instrument. If theprice you type does not match market tick size,

PriceB

the price will automatically be rounded downto the closest tick size by the GL Automate(unless you disable Automatic price roundingin the Configuration dialog box, see section“Trading Server (SLE)” (page 32)). This fieldcan be left blank.

OInputType the sell price of the instrument. If theprice you type does not match market tick size,

PriceS

the price will automatically be rounded downto the closest tick size by the GL Automate(unless you disable Automatic price roundingin the Configuration dialog box, see section“Trading Server (SLE)” (page 32)). This fieldcan be left blank.

OInputType the total quantity that you want to sell inone execution at the price level. This number

QtyS

may contain either constants or calculationresults. Changing a quantity to a zero quantityin Excel is a good way to immediately cancelan order on the market.

OInputType the Stop Price of the instrument. If theprice you type does not match market tick size,

StopPriceS

the price will automatically be rounded downto the closest tick size by the GL Automate(unless you disable Automatic price roundingin the Configuration dialog box). Note that thisfield can be left blank.

OInputType the maximum number of executions tomake on the sell side at the same price, given

MaxQtyPriceS

that the price has not changed. Each time aprice moves off this level then returns thecounter is reset to zero. If you re-enable aftera forced disable, it also resets to zero. If thisthreshold is reached, the system continues tomodify the prices until the order is completedbut does not add up quantities. You can thenreactivate transmission with the GL Automate,after checking that this is acceptable. Thisprevents the system from the consequences of



Mandatory /Optional


MeaningField

a feed failure resulting in an inaccurately cal-culated price.

OInputType the number of executions to make on thesell side during a session. If this threshold is

MaxQtyDayS

reached, GL Automate goes into forced disablemode on the sell side. You can reactivatetransmission by modifying this parameter inExcel.

OInputType the price, or drag and paste a price fromthe Market Watch + that you want to act as the

Trigger

trigger. For more details, see section “Trig-gers” (page 49). The Trigger and VarMin-Trigger columns can be left empty.

OInputType the figure that you want to act as theminimum variable for your trigger. For more

VarMinTrigger

details, see section “Triggers” (page 49). TheTrigger and VarMinTrigger columns can beleft empty.

OInputIf the bid price or the sell price moves morethan the number in this column then the instru-

PriceCtrl

ment is forced to disable mode on the buy sideor the sell side.

OInputThis column is used for market anomalies. Anumber of specifics can be added after one

Specifics

another, if separated by a semi-colon. An ex-ample is VALIDITY=FOK. See section“Sending Different Order Types and MarketSpecifics” (page 47) for available parametersfor the Specifics column.

N/AOutputDisplays the status of the buy side of the instru-ment - for example, Fdisabled etc.

OutDispStatusB

N/AOutputNumber of messages per instrument on the buyside sent by GL Automate.

OutNbMessB

N/AOutputThe capitalization of the buy side (Price multi-plied by quantity).

OutCapDayB

N/AOutputTotal bought on the day.OutQtyDayB

N/AOutputTotal bought at that price; if price changescounter rests to zero.

OutQtyPriceB

N/AOutputTotal bought quantity for that order, if a neworder is sent the quantity resets to zero.

OutQtyOrderB

N/AOutputAs displayed in QREM in the nego; thequantity remaining in the market.

OutQtyRemB

N/AOutputBid Price sent to the marketOutPriceB

N/AOutputAsk Price sent to the marketOutPriceS

N/AOutputAs displayed in QREM in the nego; thequantity remaining in the market.

OutQtyRemS

N/AOutputTotal sold quantity for that order, if a new or-der is sent the quantity resets to zero.

OutQtyOrderS



Mandatory /Optional


MeaningField

N/AOutputTotal sold at that price; if price changescounter rests to zero.

OutQtyPriceS

N/AOutputTotal sold on the day.OutQtyDayS

N/AOutputThe capitalization of the sell side (Price multi-plied by quantity).

OutCapDayS

N/AOutputDisplays the status of the sell side of the instru-ment - for example, Fdisabled etc.

OutDispStatusS

N/AOutputNumber of messages per instrument on the sellside sent by GL Automate.

OutNbMessS

N/AOutputDisplays the status of the folder.OutDispStatusBS

N/AOutputDisplays a number corresponding to a GLAutomate message on the Buy or Sell side.

OutReasonB

OutReasonSSee OutReasonB and OutReasonS Mes-sages (page 13) for possible message numbers.

N/AOutputUser's Bid Price, currently on the market (sentby the GL Automate).

OutPriceB

N/AOutputUser's Ask Price, currently on the market (sentby the GL Automate).

OutPriceS

Note


Note

Since Excel cannot handle DDE links in hidden columns properly, you must not hide any column in the controlpanel. If you do not want to see a column, you may either discard it if it is not mandatory (in this case rememberthat you must update the zone definitions in order to remember the right column headers) or set its width to avery small value (e.g. 0.1).

Table: OutReasonB and OutReasonS Messages

DescriptionMessage number

Null0

Max Quantity Day Reached1

Max Quantity Price Reached2

Instrument is Suspended by Exchange3

Number of retries exceeded4

Price Control Exceeded5

Self Matching Prevented6

Quantity Error: Not a multiple of Lot Size7

Trading Server (SLE) Not Ready8



Incorporating Execution Information in Excel

With the GL Automate Output Zone, you can not only display the state of your orders, but also thelevel of execution for these orders on an ongoing basis.

GL Automate related output is written directly to the GL Automate Output zone defined in the Excelspreadsheet. Although GL XLS Data Links (RTD) encompasses all trade executed, the GL Automateoutput zone contains only GL Automate specific data.

Please refer to the User Guide for GL XLS Data Links, available on gltrade.net for more informationon using the Execution links.



http://www.gltrade.net/

Chapter 3The GL Automate WindowThe GL Automate window contains menus, a toolbar, the Tree View, the Instrument Data Display, and the scrollingTicker View.

Table of ContentsOverview of the GL Automate Window ............................................................................ 16Using GL Automate for the First Time .............................................................................. 16Using Folders in GL Automate ........................................................................................ 18Folder Status Color Schemes .......................................................................................... 21The GL Automate Menus ............................................................................................... 22The GL Automate Icons ................................................................................................. 38


Overview of the GL Automate Window

Figure: The GL Automate Window

The Instrument Data Display. The instrument data display shows the information pasted fromExcel in columns, as well as the status, and whether your limits have been reached or not. A systemof colors is used for configuration details (see section “Colors” (page 23)). Keeping the mouse overan instrument in the Instrument Data Display, and holding the left button, displays a tooltip with in-formation pertaining to that instrument (see section “GL Automate Tooltips” (page 51)).

The Scrolling Ticker View. The GL Automate Scrolling Ticker provides real-time feedback aboutall currently active instruments, their status (indicated by a color), quantity, price bought and/or soldat. The Scrolling Ticker provides an at-a-glance log enabling you to keep a historical track of GLAutomate events. See The Scrolling Ticker (page 16).

Figure: The Scrolling Ticker

Note

See the Configuration section for information about setting up the level of depth of information, changing thecolors of warnings, etc.

Using GL Automate for the First Time

Follow the instructions below to configure the basic data needed to get started with GL Automate.

Constructing a New GL Automate Spreadsheet

1. Open both GL Automate and Excel.


Chapter 3. The GL Automate Window16

2. To use GL Automate you need column headings in Excel. These column headings can be entered

in any order and can be entered manually. By clicking on the settings icon all the availablecolumns are pasted onto the clipboard, ready for you to paste into Excel. Once pasted you canchoose which columns you require. A message box will open, with the following text: .

Column headers have been copied onto the clipboard. Use CTRL+V to pastecolumns into EXCEL. Define 2 rectangles in Excel; one for the Input Zone Onefor the Output Zone (optional). An example is copied to the clipboard.

3. The next step is to define the rectangular zone that contains the column headings and the instru-ments and data that you wish to transmit to GL Automate. An example is automatically storedon the clipboard and can be used or modified as you wish. The example given requires the userto paste into cell A1 of Excel and will allow 100 rows in Excel i.e. 100 instruments. Defining anInput Zone and an Output Zone in the Excel spreadsheet (see section “Input and OutputZones” (page 8)). Name and save the spreadsheet.

Connecting GL Automate to the Spreadsheet

In the GL Automate interface, click on the Search for Excel Spreadsheets link icon and choosethe spreadsheet you have just configured. GL Automate will display a message in the Scrolling TickerView, saying that the connection has been established between GL Automate and Excel. The ScrollingTicker will also display any problems which arise in the process.

Inserting New Instrument(s)

The following Excel columns are mandatory for adding a new instrument:

Symbol (can be Instrument code, symbol or ISIN)

OrderType (O=simple order, Q=Quote, MO=Mass Order, MQ=Mass Quote, M=Price Display onquote-driven markets)

QtyB, QtyS: Buy/Sell quantities

PriceB, PriceS: Buy/Sell prices

1. Add the required instruments to the GL Automate Instrument List. You can do this, for example,by either entering the instrument symbol directly in the Excel Symbol column, or copying theSymbol header from the Market Watch Dictionary into the clipboard, and pasting it into Excel.Other alternatives to the Symbol column are the ISIN code or the Stock Code columns.

2. In the Order Type column of Excel, specify the order type. For descriptions of each order type, seesection “Controlling Order Types From Excel” (page 45).

3. Define a PriceB (buy price for the instrument). You can do this by dragging and dropping datafrom Market Watch + (for example you can take the Bid column, and drop it into the GL AutomatePriceB column - that way you will always be the best bid).

4. Define a PriceS (sell price for the instrument). You can use an Excel formula to specify that thesell price must be a certain amount more than the buy price. For example, if the PriceB is in cellM4 of Excel, typing the formula PriceS=M4+0.1 in the PriceS column will result in the sellprice being defined as 0.1 more than the buy price.

5. In Excel, specify the QtyB value. This is the quantity to be shown to the market.


17Chapter 3. The GL Automate Window

6. Specify the MaxQty Day fields (MaxQty DayB and/or MaxQty DayS) . This represents the maximumnumber of lots or shares required in a day, on the buy and sell sides.

7. Name the folder containing the instruments, for example CAC40.

8. Select all instruments by clicking on the Plus sign + on the right of the settings icons in the GLAutomate toolbar, shown below:

Enabling the Instrument

1. Enable the instruments individually or collectively. You can alternatively give the individual in-strument a status in Excel, by either typing enable in the CmdStatusB (buy status) and/or Cmd-StatusS (sell status) columns or manually enable the Instrument Buy, Sell, or Buy and Sell iconsby clicking on them. Equally, instruments can be manually enabled by selecting the enable optionfrom the Instruments menu, or by right-clicking on an instrument name and selecting the enableoption from the pop-up menu. Each of these instrument status groupings contains a green enable

icon .

2. Activate the folder by clicking the tab beside its name in the Tree View (see section “UsingFolders in GL Automate” (page 18)), or by typing enable in the CmdStatusBS cell. Equally,folders can be manually enabled by selecting the enable option from the Folders menu, or byright-clicking on a folder name and selecting the enable option from the pop-up menu. A tick willappear inside the box, indicating that the folder has been activated. GL Automate has a specificcolor scheme to indicate enable, disable and suspend status, as described in section “Folder StatusColor Schemes” (page 21) and section “Instrument Status Color Schemes” (page 44).

Using Folders in GL Automate

The GL Automate tree view provides an easy way to group together numerous instruments (for example,those pertaining to the same client, etc). Folders are grouped together in the tree view on the left-handside of the GL Automate interface, making it easier to organize large numbers of instruments.

The screenshot below shows GL Automate's tree view, with all folders in the tree view selected.

To select all folders in the tree view, click the plus sign + in the Folders toolbar;

To deselect all folders, click the minus sign -.

Multiple folders can be selected or deselected at the same time, by the standard Windows functionsof holding down the Shift key to select a range, or using the Ctrl key to select individual folders.

The status of folders and subfolders can also be controlled by using the CmdStatusBS column in theExcel spreadsheet. Typing enable, disable, or suspend in this cell will respectively enable, disable orsuspend the relevant folder.



Creating a Folder

By typing the name of a folder in the Folder column in Excel, GL Automate creates the new folder.If a folder by the same name already exists, the instrument or instance on that Excel row will be putin the already existing folder.

Creating a Subfolder

Use the naming convention Folder/Subfolder to create a sub-folder in the Excel Folder column.

Example: Subfolders

If a folder named Henry1 exists and you want to create a subfolder inside it called HenryC, typeHenry1/HenryC in the Excel Folder column, as shown in row 4 below.

In GL Automate the folders are displayed alphabetically. The above folder configuration enteredin Excel will be displayed in the GL Automate tree view as follows, with the subfolder HenryCnested under the folder Henry1:

Note

A maximum of three subfolders can be created inside each folder.



The arrangement of folders, subfolders and instruments in the Henry example is summarized in thetable below. Clicking on the folder Henry1 displays no instruments in the Instrument Data Display,although its subfolder HenryC contains the instruments AGL and AFQ.

Table:

Instrument ContainedSub-FolderFolder

AFRHenry

HenryCHenry1

AGCRHenry2

AGL, AFQHenryC

Manually Changing the Status of an Instrument or Folder

To change the status of an entire folder (for example, in the case of HenryC you might want to activateall instruments in the HenryC folder), highlight the folder then change the status to either suspend,disable, or enable:

To change the status of an individual instrument, select the instrument and change the status using oneof the icons pictured below:

Changing the Status of an Instrument or Folder Using Excel

If you put the name of a folder or subfolder in the Excel column then the folder will be treated as aninstrument, thus allowing Excel to control the entire folder.

Note

Parameters such as Qty/Day sell, or MaxQty day, will not apply to a folder and must be left blank.

Saving and Opening a Customized Setup

Saving the Excel file will automatically save the customized setup.

Warnings

Each folder has a color according to the status you accord it, with the following meaning:

StatusColor

EnabledGreen

SuspendedYellow/Orange

DisabledGray

If the stock within a folder adopts a Forced status, the folder will adopt a flashing red icon, to indicatethat an instrument within it has a different status to the one desired, as shown beside the folder GL



Automate below. The number of instances which have changed status within the folder is also displayedbeside the folder name (16 in the example below).

If the problem is in a subfolder, then the tree will open to that point, thus allowing easier managementof instruments which change status.

Folder Status Color Schemes

The folder status is represented by the following color scheme:

A green folder is Enabled

A folder with the default background color (according to the selected color theme) is Disabled

A yellow folder is Suspended

Instrument Status Color Schemes

The instrument status is represented by the following color scheme:

An instrument with green background is Enabled

An instrument with the default background color (according to the selected color theme) is Disabled

An instrument with yellow background is Suspended

Example: Suspended Bid, Enabled Offer, Disabled Folder

In this example the bid is suspended (yellow background), the offer is enabled (green background)but the folder is disabled (background with default color). The offer is enabled but not on themarket as the folder is disabled. Enabling the folder (from Excel or manually in the GUI) will sendthe “offer only” to the market.

Example: Suspended Offer, Enabled Folder

Here the offer is suspended (yellow background) but the folder has been enabled (green back-ground).The bid is not on the market, the offer is on the market but is suspended (the price can bechanged but not the quantity).



Example: Enabled Bid and Offer

In this example the bid and offer are both enabled (green background).

Example: Enabled Folder, Bid and Offer on the Market

Here the folder is enabled, the bid and offer are both on the market.

The GL Automate Menus

The Display Menu

Main Control Window

With the Main Control Window function, you can control one or several windows by designating GLAutomate as the Main Control Window, and, for example, Market Watch + as the Controlled Window.In this way, via a GL Automate, you can control the following GL Win windows: Instrument summary,Intraday, Historical, Instrument Characteristics, Market Depth.

When the active instrument is modified in the main control window, all controlled windows are updatedaccordingly.

Export Instruments List

Open the Display menu and select Export Instrument List. With this option, you can export all instru-ments currently in GL Automate, either to Market Watch +, or to a .stk instrument list file in a spe-cified folder.

Note

While GL Automate has a maximum of 2000 instruments, the maximum of Market Watch + is 1500. Therefore,if you have over 1500 instruments in GL Automate, only the first 1500 can be exported to Market Watch +.

Show/Hide Title and Menu

Open the Display menu and select Hide Title and Menu to hide the title and menus in GL Automate.

To bring them back, either right-click within the GL Automate window and select Show Title andMenu from the pop-up menu, or press Shift and double-click in the Instrument Data Display.

Show/Hide Button Bar

Open the Display menu and select Hide Button Bar to hide all GL Automate icons in the toolbar. Todisplay the icons again, click inside the GL Automate interface and select Show Button Bar from thecontextual menu.



Font

Open the Display menu and select Font to modify the fonts used in GL Automate.

You can change the font locally for Folders, Instrument List, or the Scrolling Log, by choosing theappropriate option from the submenu.

Colors

Open the Display menu and select Colors to modify the color and background of windows and high-lights certain information. The Color setup window opens:

To modify the color of an item or an event, do the following:

1. In the Item column, click the item or event for which you want to use a specific color.

2. In the Color column, click the color you want to apply for the selected event or item. The colorchanges next to the item.

3. Click OK to confirm.

Note

You cannot modify the default colors for Forced Disable, Disable, Enable and Suspend.

Column Setup

Open the Display menu and select Column setup. In the submenu, select Custom Mode or OperatingMode. This window lists all the columns or fields, and thus information types, that you can display.You can use this feature to specify the columns you want to display in GL Automate.

The Select Data Display window opens:



Items appearing in gray are currently not displayed. You can simply click a grayed out item to displayit. The available items are described in section “Data Displayed in GL Automate” (page 24).

The features available in this window are identical to those of the Market Watch Data Display Setupwindow in the Market Watch +, described in detail in the GL Win User Guide. To access the GL WinUser Guide, click the General Information icon in the deskbar, then select User Guide

Warning

The Default button available in this window re-arranges the columns in their original order, but it does notdisplay the original set of columns.

.

Data Displayed in GL Automate

In GL Automate, you can display the following columns (listed in alphabetical order):

Broker (BrokerId Name)

The Broker column displays the specific broker or server chosen in Excel, if any. You can haveup to four different Trading Servers (SLE) for one marketplace, and you can specify differentTrading Servers (SLE) for different instruments and User Ids.

CKey Buy (Clearing Key Buy)

The CKey Buy column displays the Clearing Key for the Buy side that you have specified in Excel.This field is case sensitive, and if left blank in Excel, the word Default will appear in this field inGL Automate.



CKey Sell (Clearing Key Sell)

The CKey Sell column displays the Clearing Key for the Sell side that you have specified in Excel.This field is case sensitive, and if left blank in Excel, the word Default will appear in this field inGL Automate.

Day Capital (Daily Capital)

The Day Capital column displays the total value of the quantity traded in a session. The DayCapital is calculated by multiplying the price by the quantity.

Day Qty (Daily Quantity)

The Day Qty column displays the total quantity traded in a session.

Explanation Buy (Buy Explanation)

The Explanation Buy column displays an explanation of the current status for a sell order.

Explanation Sell (Sell Explanation)

The Explanation Sell column displays an explanation of the current status for a buy order.

Free Text (Free Text Field)

The Free Text column displays free text, captured from the corresponding column in the Excelspreadsheet.

Input Line (Input Line Number)

The Input Line column displays the number of corresponding input line in the Excel spreadsheet.

Input PriceB (Input Price Buy)

The Input PriceB column displays the buy price you have set up in the Input zone of the Excelspreadsheet.

Input PriceS (Input Price Sell)

The Input PriceS column displays the sell price you have set in the input zone of the Excelspreadsheet.

Input QtyB (Input Quantity Buy)

The Input QtyB column displays the Buy quantity set in the input zone of the Excel spreadsheet.

Input QtyS (Input Quantity Sell)

The Input QtyS column displays the Sell quantity set in the input zone of the Excel spreadsheet.

Name

The Name column displays the instrument's name. This can either be the stock symbol from fraExcel spreadsheet, or it can be the long name of the instrument, depending on your configuration(see section “General Options” (page 27)).

Nb. Mess. (Number of Messages)

The Nb. Mess. column displays the total number of messages sent for all command (creation,modification, cancellation...).

Pr. (Priority)

The Pr. column displays the priority rank of the line.

Price Buy

The Price Buy column displays the instrument price that you entered in Excel and, in the brackets,the stop price if defined. This price will be different from the Input PriceB if it does not matchthe market tick size. The price will automatically be rounded to the closest tick size by GL Auto-mate, and this is the price that you will send a trade at. The price is rounded down for buys and



rounded up for sells. If you do not want the price to be rounded, deselect the Automatic BUYprices rounding option in the Configuration window (see section “Trading Server(SLE)” (page 32)).

Price Sell

The Price Sell column displays the instrument price that you entered in Excel and, in the brackets,the stop price (if defined). However, this price will be different from Input PriceS if it does notmatch the market tick size. The price will automatically be rounded to the closest tick size by GLAutomate, and this is the price that you will send a trade at. The price is rounded down for buysand rounded up for sells. If you do not want the price to be rounded, deselect the Automatic SELLprices rounding option in the Configuration window (see section “Trading Server(SLE)” (page 32)).

Qty Buy (Quantity Buy)

The Qty Buy column displays the quantity you want to be visible in the market on the buy side.

QtyDay Buy (Quantity/Day Buy)

The QtyDay Buy column displays the total executed quantity on the buy-side for a session.

QtyDay Sell (Quantity/Day Sell)

The QtyDay Sell column displays the total executed quantity on the sell-side for a session.

QtyOrder Buy (Quantity/Order Buy)

The QtyOrder Buy column displays the total executed quantity on the buy side for the same order(including quantity increases). Each time a new order is sent (if the previous order is totally ex-ecuted), this counter is reset.

QtyOrder Sell (Quantity/Order Sell)

The QtyOrder Sell column displays the total executed quantity on the sell side for the same order(including quantity increases). Each time a new order is sent (if the previous order is totally ex-ecuted), this counter is reset.

QtyPrice Buy (Quantity/Price Buy)

The QtyPrice Buy column displays the total executed quantity on the buy side at the same price,given that the price has not changed. Each time a price moves off this level, the counter is resetto zero.

QtyPrice Sell (Quantity/Price Sell)

The QtyPrice Sell column displays the total executed quantity on the sell side at the same price,given that the price has not changed. Each time a price moves off this level, the counter is resetto zero.

Qty Sell (Quantity Sell)

The Qty Sell column displays the quantity of instruments you want to show to the market on thesell side.

Sel (Selection)

The Sel column displays a red checkmark when an instrument is selected. You can click in thiscolumn to select an instrument. When an instrument is selected, you can activate your orders onthat instrument.

Stat. Buy Last / Avg (Buy Order Return Statistics)

The Stat. Buy Last / Avg column displays the time taken for the market to reply to your Buy order.The first figure refers to the last order, the second figure refers to the average. This informationis useful for comparing the relative speeds of different exchanges.



Stat. Sell Last / Avg (Sell Order Return Statistics)

The Stat. Sell Last / Avg column displays the time taken for the market to reply to your Sell order.The first figure refers to the last order, the second figure refers to the average. This informationis useful for comparing the relative speeds of different exchanges.

T (Instrument Type)

The T column displays the order type used for the instrument. For example, O for a simple order,or Q for a Quote. For descriptions of each order type, see section “Controlling Order Types FromExcel” (page 45).

Variation Trigger (Trigger Variation)

The Variation Trigger column displays the variation if the trigger with respect to the var mintrigger in Percentage. GL Automate does not send any price modifications as long as the triggervariation is inferior to 100%.

Configuration

Open the Display menu and select Configuration. The Configuration window opens. In this window,you can modify the default settings of GL Automate. The following sections describe the subsectionsin the Configuration window.

General Options

Open the Display menu and select Configuration. The Configuration window opens, displaying theGeneral Options.

The General Options part of the Configuration window contains the following parameters:



Selection by Clicking Anywhere on the Line

If you have many instruments in one spreadsheet, you may want to have the possibility of clickinganywhere on the line to select an instrument.

When this setting is activated, you can select an instrument by clicking anywhere on the line.

When this setting is deactivated, you can only select an instrument by clicking in the Sel column(a checkmark appears).

Select all Folders and Instruments on Loading

When this setting is activated, all of the folders and instruments referenced by the Excel spreadsheetwill be automatically selected once GL Automate is opened and the spreadsheet loaded.

Use Background Color from Default Setup

When this setting is activated, GL Automate will use the color selected in the Trading Defaultswindow of GL Win (from the deskbar, click Settings, and select Trading Defaults. Click theDisplay tab). This color will be used as background color for the displayed instruments.

Displayed Instrument Name

You can specify what you want to display as instrument name for the instruments in GL Automate.You can choose one of the following options:

Use Input Symbol Column

Shows the instrument symbol in the Name column.

Use Stock Name

Shows the instrument Stock Name in the Name column.

Use Default Setup Comment Field

Shows the contents from the Comment field from the Trading Defaults window in the Namecolumn. You can set up the comments for instruments in the Trading Defaults window: Fromthe deskbar, click Settings, and select Trading Defaults. Click the Display tab.

Logs

Open the Display menu and select Configuration. The Configuration window opens. Select Logs inthe navigation pane to the left. There are two levels of parameters in the Logs section, described below.

Scrolling Ticker

Select Scrolling Ticker in the navigation tree view in the Configuration window. The scrolling tickerparameters are displayed:



The depth of the log information, both written to the log file and displayed in the Scrolling Ticker, canbe configured. You can set up the log levels to use:

Excel

Excel related log files and messages. Choose the level from the drop-down list:

All

Warning & Errors

Errors only

SLE

Trading Server (SLE) related log files and messages. Choose the level from the drop-down list:

All

Warning & Errors

Errors only

SLC

Market Data Server (SLC) related log files and messages. Choose the level from the drop-downlist:

All

Warning & Errors

Errors only



Automate

GL Automate-related log files and messages. Choose the level from the drop-down list:

All

Warning & Errors

Errors only

Input

Input-related log files and messages. Choose the level from the drop-down list:

All

Warning & Errors

Errors only

You can set up the Maximum Number of Log Lines. This parameter defines the log limit. You canspecify a number of Characters/Line in the logs.

In the Log Level Font Colors section you can specify the colors to use for the different log level.

Logs - Files

Select Logs - Files in the navigation tree view in the Configuration window. The log file parametersare displayed:



GL Automate log files are automatically written to the default location (the Log subfolder in the GLWin installation folder. The log files are archived as AUTOmmdd.TXT (mmdd corresponds to themonth and the date).

You can specify the Number of Log files Kept. You can enter a value between 1 and 99 (logs can bekept from 1 to 99 days).

The logs can be consulted directly from GL Automate by clicking the Open folder button.

In the Trace Level zone, you can choose either Normal mode or Diagnostic mode. Select Diagnosticmode only when you have encountered a problem and want to reproduce it in order to send SunGardGlobal Trading a complete record of it. Do not select Diagnostic mode as a default setting, since itconsiderably decreases performance.

The log files settings apply globally to all Trading Servers (SLE). It is not possible to specify differentlog levels for different Trading Servers (SLE).

Sound Settings

Open the Display menu and select Configuration. The Configuration window opens. Select SoundSettings in the navigation pane to the left.

GL Automate can be configured to produce audible alerts, thereby allowing greater freedom than relyingsolely on the visual indicators in the interface. If the bleeps indicating a modification increase, this isa clear audible indication of increased activity.

GL Automate uses .wav files, and a sound can be chosen for each of the following events:

New Order

Order Modification

Order Cancellation

Order Execution

Order Rejection

Order Acknowledgement

Instrument Forced Disable

Instrument forced Suspend

Problem in EXCEL

Excel/API

Open the Display menu and select Configuration. The Configuration window opens. Select Excel/APIin the navigation pane to the left.

The following Excel and API Link settings can be configured:

EXCEL Timeout (in seconds)

GL Automate passively receives information from Excel, and does not search for it. For thisreason, GL Automate has no control over the functioning of Excel, and any failure by Excel tosend messages to GL Automate can therefore have potentially costly results for you. One solutionto this problem is to write a macro in Excel that changes a value at a chosen frequency. This couldbe placed in a field not currently used, such as the Trigger field, and could post 1 and 0 everysecond, with the Change Pasted columns section set to 3 seconds. This will then ensure that any



fault in Excel is immediately discovered, thus avoiding any problems. In the Configuration window,the time out functions are separated in two parameters:

1. No Price Change Detected (PriceB & PriceS columns). If nothing changes in the pricecolumns in Excel after n seconds (any figure between 1 and 9999 seconds), GL Automate as-sumes the global disable state, thus canceling all orders. A visual and audible alert warns whenthe time out is activated. If you do not want to use this security, set the value to 0.

2. No Data Change Detected (entire INPUT zone). This works on the same principle, butrefers to movement within any of the Input Zone columns in Excel.

Time out functions can be modified in real time without the need to close and reopen GL Automate.

Price Decimal Separator

You can use this to choose whether to use a comma or a full-stop as the Excel/GL Automate defaultseparator.

Excel Connection at Startup

Tick this button to automatically link to an Excel spreadsheet each time GL Automate is launched.

Choose one of these options :

None. Choose this to turn the Excel Connection at Startup.

Auto Detect. GL Automate looks for open spreadsheets upon loading.

Auto Connection to a specific spreadsheet. You can use this to choose a specific spreadsheetto connect to upon startup. Click on the Select button then select the default spreadsheet fromthe Excel Selection window. The next time you launch GL Automate, the selected spreadsheetwill automatically be linked.

Note

Your default spreadsheet must be open both during this operation, and the next time you launch GL Auto-mate.

User API

GL Automate offers a new API connection to any C/C++ application through the OpenGLWINAPI. Enter the number of seconds' delay between every Heartbeat detection, or enter Off.

Note

An OpenGLWIN license is required in order to use this enhancement. Refer to the latest version of theOpenGLWIN document for more information on this feature.

Trading Server (SLE)

The following Trading Server (SLE) related parameters can be modified in the Configurationwindow.

Automatic BUY price rounding/Automatic SELL price rounding

These options either activates the rounding functions or deactivates them, thus relying on you toenter the exact price in the Excel/GL Automate control table. This gives you the freedom and re-sponsibility, if desired, to manage tick sizes in Excel.

Selecting price-rounding ensures that the application adjusts the price you entered in Excel to aprice acceptable to the market. If you select price-rounding, GL Automate takes the value enteredin the Excel price field and rounds the value either up or down to the nearest tick size; by defaultGL Automate rounds down for bids and up for offers.



Note

Changing the price rounding options after having already sent orders to the market will not modify theseexisting orders. Changing the settings for price rounding will affect new prices coming in and/or changesto the existing prices.

Automatic Quantity Rounding . Provides similar functionality to the price rounding, andcan be activated in order to round quantities down.

Prevent Self Matching. Forces the GL Automate to check that it does not trade with itselfwhen sending orders. This may happen if your buy and sell prices are the same or if the sellprice is less than the buy. Selecting this option prevents this from happening.

Disable Price Control If Trigger Control Is Active . If a trigger control is active, you canset up GL Automate to disable Price Control. If you tick this box and the Price Control is active,this will not disable the instrument IF the following conditions are met:

The Variation Trigger equals or exceeds 0% AND is less than 100%.

Number of Retries after SLE Rejection . This option can either be turned OFF, or specifiedfrom 0 to 999. This refers to the number of orders you want to send to the market even afterprevious orders have been rejected. This can be useful, for example, to place orders on time forthe market opening.

Order Flow Control

Checks the rate of orders sent.

This check is performed according to two parameters:

1. The first parameter specifies the number of orders to be sent within a set time.

2. The second parameter specifies the number of seconds within which to send the orders.

It is advisable to regulate GL Automate to the point of contention between GL Automate and theexchange. Restricting the order flow creates an order queue in GL Automate; this queue can becontrolled with the Excel Priority column. For more information about the Priority column, referto section “Input and Output Zones” (page 8).

Mass Orders Triggers

Permits you to send several orders on the market in one message batch. These batch order functionsare used on Option and Future contracts.

When set to zero, the trigger is not activated, and if all triggers are set to zero, GL Automate sendsall the orders immediately to the market as normal.

Mass Orders must also be denoted by specifying MO in the Excel Order Type column.

Note

Not all exchanges support mass orders. It is imperative that you check if the exchange copes with thembefore attempting to send a mass order.

Example: Trigger 1 - Pause delay (1/10 sec)

Defines the waiting time between the orders you place in the waiting list. If this time is ex-ceeded, the order batch is sent. For example, if you type 5 in the box, GL Automate waits fora pause of 0.5 seconds in order modifications sent to the waiting list. If this pause is exceeded,the batch is sent. The figure below shows how the Pause delay functionality works.



Unit = tenths of a second

Default value = 5 (0.5 seconds)

Minimum value = 0 (Off), Maximum value = 99999

Timer trigger : Each time an order is placed in the waiting list

Restriction : must be inferior to Trigger 2

Example: Trigger 2 - Maximum delay (1/10 sec)

Defines the maximum delay before an update is sent to the market, and compliments Trigger1. If there are continual order modifications arriving in the waiting list, Trigger 1 risks neverbeing activated. Trigger 2 allocates a maximum time between sending batches and thusovercomes the issue. The figure below shows how the Maximum delay functionality works.

Unit = tenths of a second

Default value = 50 (5 seconds)


Timer trigger : the first time an order is placed in the waiting list

Restriction : must be superior to Trigger 1

Example: Trigger 3 - Nb maximum orders

Defines the maximum number of orders or modifications that you can send to the TradingServer (SLE) in one batch message. This is designed to encourage GL Automate to send morefrequent batches when the market is very busy and there are a large number of changes.Higher volatility may require faster changes and more frequent batches that would not becovered by the two ‘time orientated' triggers.

Unit = number of orders

Default value = 15


Counter reset : when the first order is placed in the waiting list

The counter increases for new orders and order modifications



Ignore Instrument Market Suspension

This section can be used to make GL Automate ignore the suspension indicator values you specifyin the Ignored Values field. A market suspension indicator with one of the values specified, willnot force GL Automate to instrument suspended status if this section is enabled. Leaving the IgnoredValues field empty makes GL Automate ignore all instrument market suspension indicators. Eachvalue or letter must be separated by a semi-colon (;).

The table below shows an example of the values for the Suspension Indicator on Euronext.

DescriptionSecond ByteFirst Byte

Upward reservedH

Downward reservedB

SuspendedS

Simple reservationP

Resumption of quoted value on reservationR

FrozenG

Resume quotation

Exit Application

Exits the GL Automate window.

The Folders Menu

For instructions on how to organize groupings of instruments using GL Automate's Folder feature, seesection “Using Folders in GL Automate” (page 18).

[X] Selected Folders

Indicates the number of folders which you have selected in GL Automate.

Enable

Use this function to activate your order data in the Instrument data display (see The Instrument DataDisplay (page 16)). This is a folder enable which puts the window into a trading active mode, but tocommence trading, you also need to select the instrument's Enable Buy and/or Enable Sell. Buy andsell orders may be sent or modified at any time when in this mode.

Note

Folders, quotes and individual instruments, can also be enabled in the Excel spreadsheet by typing enable inthe CmdStatusBS column (for folders and quotes), or in the CmdStatusS or CmdStatusB columns for ordinaryorders.

Suspend

Use this Suspend function to suspend all of the current orders you have in operation. In this state, nonew orders are sent on the market. However, orders that are already on the book are not cancelled, andstay on the market until they are fulfilled.

In suspend mode, modifying the quantity of an instrument is not possible, although it is possible tomodify the price.



Note

Folders, quotes and individual instruments, can also be suspended in the Excel spreadsheet by typing suspendin the CmdStatusBS column (for folders and quotes), or in the CmdStatusS or CmdStatusB columns for or-dinary orders.

Disable

Disables instruments in the currently selected folder(s) in the tree view.

Disable GL Automate

The GL Automate"Panic Button" which disables all instruments. When the GL Automate is in disabledstate, no orders are sent on the market, and any orders in the book are cancelled.

The Instruments Menu

Enable Buy

Use this instrument state function to activate trading for the Buy side of your order data. Before tradingcan begin you also need to activate the enable folder.

Suspend Buy

Use this specific state function to deactivate trading for the Buy side of your order data. In this state,no new orders are sent on the market. However, orders that are already on the book are not cancelled,and stay on the market until they are filled.


Note


Disable Buy

Use this specific state function to deactivate trading for the Buy side of your order data.

Enable Sell

Use this instrument state function to activate trading for the Sell side of your order data. Before tradingcan begin, you also need to activate the folder enable.

Note




Suspend Sell

Use this specific state function to deactivate trading for the Sell side of your order data. In this state,no new orders are sent on the market. However, orders that are already on the book are not cancelled,and stay on the market until they are fulfilled.


Note


Disable Sell

Use this specific state function to deactivate trading for the Sell side of your order data.

Enable Buy & Sell

Use this instrument state function to activate trading for both the Buy and Sell sides of your order data.Before trading can begin you also need to activate the folder enable.

Note


Suspend Buy & Sell

Use this instrument state function to deactivate trading for both the Buy and Sell sides of your orderdata. In this state, no new orders are sent on the market. However, orders that are already on the bookare not cancelled, and stay on the market until they are fulfilled.

Note


Disable Buy & Sell

Use this instrument state function to deactivate trading for both the Buy and Sell sides of your orderdata.

Note

Folders, quotes and individual instruments, can also be disabled in the Excel spreadsheet by typing disable inthe CmdStatusBS column (for folders and quotes), or in the CmdStatusS or CmdStatusB columns for ordinaryorders.



The GL Automate Icons

The icons provide immediate use of the main GL Automate functions, such as buying and sellingfunctions, importing the Excel spreadsheet etc.

Folder Icons

The Folder icons are as follows:

For information about working with the GL Automate folders in the Tree View,see section “UsingFolders in GL Automate” (page 18).

In order to adjust the status of any folder, the folder itself must be selected. To select a folder, checkthe empty box beside it in the GL Automate Tree View. Multiple folders can be selected or deselectedat the same time, by the standard Windows functions of holding down the Shift key to select a range,or using the CTRL key to select individual folders. Note that just because a folder is highlighted forviewing, this does not mean that it has been selected for status changing. In the picture below, onlythe folders LFI and LFM have been selected.

Note

Clicking on a folder will display its contents in the Instrument Data Display, but the folder can only be selectedby checking the box beside it as described above.

After selecting a folder, the folder status can be adjusted either by clicking one of the icons describedbelow, or by right-clicking on the folder icon itself and selecting an option from the pop-up menu.

A folder may have one of the following three values:

Enable Folder

The Enable display state is green and is the normal operating mode for the system. It manageseach identifier according to its particular state.

Suspend Folder

The Suspend display state is yellow. In this state, no new orders are sent on the market. However,orders that are already on the book are not cancelled. During a Suspend, you can modify the price,but not the quantity.

Disable Folder

When the folder is disabled, no orders are sent on the market, and any orders in the book arecancelled.

Two other options are available in this section:



Disable GL Automate (Panic Button)

This button can be used to cancel all orders, in case of emergency. When the GL Automate is indisabled state, no orders are sent on the market, and any orders in the book are cancelled. To re-enable GL Automate, the folders must be selected and enabled again.

Select/Deselect all Folders

To select all folders in the Tree View, click on the plus sign +. To deselect all folders in the TreeView, click on the minus sign -.

Buy Icons

The Buy icons are as follows:

Enable, suspend or disable only those instruments which you have selected on the Buy side in GLAutomate.

Sell Icons

The Sell icons are as follows:

Enable, suspend or disable only those instruments which you have selected on the Sell side in GLAutomate.

Buy and Sell Icons

The Buy and Sell icons are as follows:

Enable, suspend or disable only those instruments which you have selected on both the Buy and Sellsides in GL Automate.

Note

When GL Automate is in Quote mode (Q has been specified in the Excel Order Type column), selecting theindividual Buy and Sell options is impossible. In this case, only the Buy and Sell icons are activated.

Settings Icons

The Settings icons are as follows:



The two Excel Interaction icons relate to the interaction between GL Automate and Excel. Use theseicons to transfer setup information between the two programs.

Activate/deactivate Excel link

Click on this icon after you have completed your Excel control table. An Excel Selection dialogbox opens, from which you can select a currently open spreadsheet. The information is pastedinto the GL Automate window, and a dynamic link is created.

Note

All Excel cells must be closed by hitting the Enter Key, or GL Automate will not detect the Input andOutput zones. There can be no unfinished formulae in the Excel spreadsheet.

Copy to Excel

Click on this icon to copy the GL Automate column headings into a clipboard, from where youcan then paste it to an Excel spreadsheet. This provides all the possible headings available, althoughnot all are mandatory. Also, they do not need to be used in a particular order.

Customize GL Automate Settings

Displays the GL Automate Configuration window.

Select/Deselect All Instruments

Click on the + (plus) sign to select all instruments. Click on the - (minus) sign to deselect all in-struments.

Columns Icons

The columns section is the following:

Clicking the + (plus) sign on the Columns section displays the Select Data Display setup window.These columns correspond to the columns in the Excel control table (see section “Input and OutputZones” (page 8)). The columns in both GL Automate and Excel can be moved around to suit personalpreference.

Select the fields you want to display in the GL Automate Instrument data display. Certain fields aremandatory. Double-clicking an instrument heading also moves between the All, Custom, and Operatingmodes. For explanations of these modes, see the section “Column Setup” (page 23).



Chapter 4Using GL AutomateThis chapter describes the principal functions of the GL Automate application.

Table of ContentsAdjusting Columns in GL Automate ................................................................................ 42Managing All Open Windows ......................................................................................... 42Changing/Adding an Instrument ...................................................................................... 42Instrument Status ......................................................................................................... 43Controlling Order Types From Excel ................................................................................ 45Repeating Instruments ................................................................................................... 46Price Control ............................................................................................................... 46Prioritizing Your Orders ................................................................................................. 46Sending Different Order Types and Market Specifics ........................................................... 47Stock Labelling ............................................................................................................ 48Tracing Problems With the GL Automate Logs ................................................................... 49Trading for Several Clients ............................................................................................. 49Triggers ...................................................................................................................... 49Clearing Keys .............................................................................................................. 50GL Automate Tooltips ................................................................................................... 51One-Shot and Iceberg Orders .......................................................................................... 53Request For Quotes ...................................................................................................... 54


Adjusting Columns in GL Automate

Double-clicking on the title row of any instrument in the Instrument Data Display will automaticallychange the view to the “All” mode, “Custom” mode or “Operating” mode, depending on which modeit is currently in.

These columns correspond to the columns in the Excel Control Table. The columns in both GL Automateand Excel can be moved around to suit personal preference.

The columns displayed can also be chosen by going to the Delete menu and choosing the option SelectData Display > Custom Mode or Operating Mode. Alternatively, select one of the buttons ( All ,

Custom , Operating ) from the Columns icons.

DescriptionButton

Displays the Select Data Display dialog, enabling you to selectwhich columns will be displayed in the GL Automate session.

+ (Plus sign)

Displays all existing columns in GL Automate. There is no custom-ization possible if this option is selected.

All

Displays your customized view as selected with the Select DataDisplay dialog.

Custom

Displays a pared-down Operating view, enabling uncluttered at-a-glance instrument management (the Operating view is also fullycustomizable).

Operating

Managing All Open Windows

Trading with GL Automate requires several windows to be displayed at the same time (GL Automate,an Excel spreadsheet, the Trading Workstation...) in addition to your usual desktop. To work with thisset up, you may open up to four virtual windows, or use a multiple screen video card and dispatch in-formation on up to 4 physical screens.

Virtual screens

To use multiple screen display, select a second, third and fourth virtual screen in the Deskbar and

open windows as normal:

Bird's Eye View

To view the configuration on each screen simultaneously, click the icon Bird’s Eye View, also

found in the Deskbar: .

Changing/Adding an Instrument

As long as an Input Zone has been defined, instruments can be added to the Excel spreadsheet as andwhen required. GL Automate will be updated automatically thanks to the dynamic link between thetwo programs.

An instrument can be added to Excel by simply typing the instrument name in the instrument Symbolfield. You must type the symbol in capital letters, or you can drag and paste the Symbol, ISIN or StockCode required from the Market Watch window.


Chapter 4. Using GL Automate42

Ensure that the instrument is selected, then select the folder enable and the individual instrument en-able(s) to (re)commence trading.

Note

Changes to price and quantity in Excel can be done automatically and there is no need to first suspend or disableGL Automate, or deactivate the link between GL Automate and Excel.

Instrument Status

In GL Automate, instrument status can be assigned to an individual instrument both through the Excelspreadsheet and through the interface. In general, if a status (enable, disable, suspend) has been enteredin the Excel CmdStatusB or CmdStatusS cell, this will usually override a status which is changedin the interface. Note that since an instrument’s status depends upon the status of the folder whichcontains it, the folder status cell CmdStatusBS must be enabled before an instrument containedwithin it can be enabled. Similarly, if the CmdStatusBS cell is disabled, all instruments within thatfolder are disabled, even if their individual status is enabled.

You can define a status for each instrument on each side (Buy or Sell). The specific status can be ad-justed either by selecting an instrument and choosing from the button bar, or by right-clicking on aline in GL Automate and selecting an option from the pop-up menu.

The specific state may be one of the following:

Enable

Disable

Suspend

To assign a specific instrument state, click on the Sel (select) column to display a tick. Usual windowsconventions apply here (Shift for extending the selection, Ctrl for discontinuous selection). After, youneed to select a specific state. To select an entire group of instruments within a folder, double-clickon the Sel column.

The Instrument States

Enable Buy. Use this function to activate trading for the Buy side of your order data. Before tradingcan begin you also need to enable the folder.

Disable Buy. Use this function to deactivate trading for the Buy side of your order data.

Suspend Buy. Use this function to deactivate trading for the Buy side of your order data. No neworders are sent to the market, but any existing orders are left on the market until they are completed.In suspend mode, prices are modifiable but not quantities.

Enable Sell. Use this specific state function to activate trading for the Sell side of your order data.Before trading can begin, you also need to activate the folder enable.

Disable Sell. Use this specific state function to deactivate trading for the Sell side of your orderdata.

Suspend Sell. Use this specific state function to deactivate trading for the Sell side of your orderdata. No new orders are sent to the market, but any existing orders are left on the market until they arecompleted. In suspend mode, prices are modifiable but not quantities.


43Chapter 4. Using GL Automate

Typing enable in the CmdStatusB column in Excel will automatically enable the appropriate in-strument on the buy side. Likewise, typing disable will disable the instrument.

In the table below, Display status shows the status that currently exists in GL Automate, and Commandstatus shows the desired status by Excel.

Table: Current Status

Display statusCommand statusFolderSymbol

EnabledEnableCalls:E2YH2

FdisabledEnableCalls:E2YM2

MdisabledSuspendCalls

Note

An instrument which has been enabled in the Excel spreadsheet can be disabled from the GL Automate interface.However, if an instrument has been disabled in Excel, it cannot be re-enabled from the GL Automate interface.

A forced disable can occur if the max quantity has been reached for the day, or because of a timeoutetc. If the GL Automate is in forced disabled (Fdisabled) status and the command status is Enable thenthe GL Automate will remain in forced disabled status.

There are two possibilities to get out of a forced disabled mode:

Manually restart the instrument from the GL Automate interface.

Restart the instrument via the Excel spreadsheet, first changing it to disable (to exit the forced disable),then type enable to enable the instrument.

All the possible status types are shown in Status Types and Possible Causes (page 44).

Table: Status Types and Possible Causes

Possible Cause(s)DescriptionStatus

MaxQtyDay,MaxQtyPrice,MaxQtyOrdreached;exceed waiting time. When you are in

The status forced by GLAutomate

Forced Disable

FDisable status, change the status to disable inthe Excel spreadsheet, then to enable. Note that itis impossible to go immediately from FDisable toenabled.

Manual intervention by the user.The status obtained bymanual intervention

Manual Disable

Status entered in Excel.The status selected byExcel

Disable

Trading Server (SLE) disconnected.The status forced by GLAutomate

Forced suspend

Status entered in Excel.The status selected byExcel

Suspend

Status entered in Excel.Enable

Instrument Status Color Schemes

The instrument status is represented by the following color scheme:

Green is Enabled



Background is Disabled

Yellow is Suspended

In this example the bid is suspended (yellow), the offer is enabled (green) but the folder is disabled(background color). The offer is enabled but not on the market as the folder is disabled. Enablingthe folder (from Excel or manually in the GUI) will send the ‘offer only’ to the market.

Here the offer is suspended (yellow) but the folder has been enabled (green).The bid is not on themarket, the offer is on the market but is suspended (the price can be changed but not the quantity).

In this example the bid and offer are both enabled (green colour).

Here the folder is enabled, the bid and offer are both on the market.

Controlling Order Types From Excel

Order Types can be chosen in Excel, by entering the specific code in the OrderType column. Use oneof the order types shown in Order Types Codes to send the corresponding order.

Note

When the order type specified in the Excel Order Type column cannot be sent (that is, the market does notsupport that market type), GL Automate will immediately go to “Forced Disable”.

Table: Order Types Codes

DescriptionCode

Simple OrderO

Fast Quote. With Fast Quotes, the workflow is different: It is not necessaryto wait for acknowledgement before sending updates (e.g. price modifica-tions).

Important

Fast Quotes are not visible in the Order Book.

FQ

Fast Quotes are incompatible with Mass Quotes: A Trading Server (SLE) canmanage either FQ or MQ, not both (if you try to send a quote type that is not sup-ported, the quote is rejected).



DescriptionCode

Quote. Lets GL Automate handle the quote type, single or doubleQ

Mass OrderMO

Mass Quote.

Important

Mass Quotes are incompatible with Fast Quotes: A Trading Server (SLE) canmanage either FQ or MQ, not both (if you try to send a quote type that is not sup-ported, the quote is rejected).

MQ

Price Display/PublicationM

Note

Quotes are different for each market. Q and MQ are the default quote types. When appropriate, GL Automateclassifies Q and MQ quotes as Q1, Q2, MQ1, MQ2.

Repeating Instruments

One particular instrument can be repeated in GL Automate as often as is required, by editing the ap-propriate cell in the Tag column of the Excel spreadsheet. Each different instance of the instrumentcan be allocated an individual code in order to differentiate it from the otherwise identical instrumentsin the same location.

This feature is of particular use in the following cases:

If you need to create market depth

If you are organizing different trading systems for different clients, but in the same instrument

If you wish to maintain a quote in the market but need to widen your quote when hit or lifted in alarge quantity

To repeat multiple instances of the same instrument, simply copy the instruments into the Excelspreadsheet as usual, and add a definition in the Tag column in order to differentiate the new instancesof the instrument.

Price Control

In order to protect against strong price movements and thus potential arbitrage, the Excel spreadsheetcan be configured to block any instrument in the case of a dramatic move in the market.

This can be done by entering a limit in the Price Control column in Excel. If the price in the bid oroffer fields in Excel moves by more than the number specified in this field,GL Automate will automat-ically disable the relevant bid or offer.

Prioritizing Your Orders

GL Automate allows the possibility to prioritize orders in the eventuality that the order flow controlis operating. To assign a priority, type HIGH, NORMAL or LOW in the Excel spreadsheet Priority



column. Priority can be given to either the orders of certain instruments or to types of orders, such ascancellations.

If an order flow control is being used, GL Automate cancels orders of specified instruments, ratherthan changing the price of others.

In the Excel Priority column, enter a plus sign + for the most important stocks. Enter a minus sign -for the least important. In case of a block in the order flow, the orders with a plus sign before themwill be dealt with first.

The system deals with orders which haven't yet been dealt with, in the following order:

1. Cancellation of HIGH priority orders.

2. Cancellation of NORMAL priority orders.

3. Cancellation of LOW priority orders.

4. Sending of a new order with HIGH priority.

5. Sending of an order modification with HIGH priority.

6. Sending of a new order with NORMAL priority.

7. Sending of an order modification with NORMAL priority.

8. Sending of a new order with LOW priority.

9. Sending of a modification with LOW priority.

Sending Different Order Types and Market Specifics

Certain markets are either restricted or blocked from using GL Automate due to the compulsory re-quirements of different order types. Equally Fill Or Kill is a useful tool for arbitrage.

The Specifics column provides the possibility to make GL Automate generic for all markets. A briefcode is entered in the cell to represent specific market anomalies; you can enter any order type ormarket specific which exists for that market, in the form of a chain of keywords. See PossibleCodes (page 47) for the codes that can be used.

Table: Possible Codes

Parameters PossibleDescriptionCode

Y (Yes), N (No)Allows to send anonymous ordersANONYMOUS

Y (Yes), N (No)Allows to send odd lot ordersODDLOT

Y (Yes), N (No), S (Severe)Price WarningPRICEWARN

Y, NPrice ControlPRICECTRL

Input the letter associated withthe Nego Phase

Negotiation Phase (For markets that allowspecifying the nego phase)

NEGOPHASE

FOK (Fill Or Kill), PreOpen(Limit Pre-Open), OnClose(Limit On Close)

Validity - allows FOK, LPO and LOC ordersto be sent.

VALIDITY

As with GL Win Entry BoxClient RefCLREF

As with GL Win Entry BoxMemoMEMO

ELO, SLO, DefaultNature Order TypeNATURE



Parameters PossibleDescriptionCode

YActivate a secure link between the TradingServer (SLE) and the market control (if themarket manages secured operations).

SECUREMODIF

A (Agency), P (Principle)Useful when there is no Clearing Key, for ex-ample NYSE.

ORIGIN

M (Price Display/Publication),F (sends firm quote instead of

For market makers on quote-driven exchanges.QUOTETYPE

indicative, used with the M or-der type).

SAFFARI Market-specific. Check in the F5window which letter should be used.

SPECIALIST

[Selected ECN]Directs orders towards the ECN specified.TargetECN

Default, ShortSell, ShortSellexempt.

Notifies the exchange when sending aShortSell order, which is mandatory for several

ShortSell

exchanges. The value to be entered dependson the exchange. For more information on theappropriate value for a given exchange, referto the corresponding API documentation.

Valid sub-account IDs.Used to specify the sub-account that is usedto trade a specific order.

Note

To determine the sub-account code used for yourexchange, contact your SunGard Global Tradingrepresentatives.

SUBACCT,CLEARINGACCT,ALLOCRECEPTOR

The actual code entered in the cell could look like the following example:

PriceWarn=S; Validity=FOK; Clref=Oddone

In this case, the following information would be sent for this instrument; a Fill Or Kill order withthe Severe price warning flag for the client ref Oddone.

It is possible to stock a list of commonly used specifics in Excel and then refer to the table when required.

Stock Labelling

Due to the fact that some instrument names are impractical in everyday use (for example, warrants areoften named by a number), the Free Text field in GL Automate allows you to name instruments in amore user-friendly way.

The Free Text field can be used either to rename an instrument, or to establish an RTD link (for example,to display a volatility).

GL Automate can also adopt the comment field from the Trading default set. The colors from theTrading default are applicable.

The Trading setup default focus can be activated and deactivated from the Configuration dialog.

It is possible to choose whether to use the symbol name or the Instrument name, from the Configurationdialog.



Shreya.Goel

Rectangle

Shreya.Goel

Sticky Note

added against BT279233.

Tracing Problems With the GL Automate Logs

GL Automate log files are automatically written to the default file AUTOmmdd.TXT (mmdd correspondsto the month and the date) in the default GL Win folder.

The information can be retrieved from the three levels of log files which GL Automate produces: usethe following table to discern which level the information you need will be contained in.

ChoiceType

Choose Normal or Diagnostic levelExcel information retrieved by GL Automate

Choose Normal or Diagnostic levelInformation about orders sent to the market

Choose Normal or Diagnostic levelInformation about the status and changes of status by GLAutomate

You can choose and configure these settings in the Configuration window, and they apply globallyto all Trading Servers (SLE). It is not possible to specify different log levels for different TradingServers (SLE). Logs can be kept from 1 to 99 days.

Trading for Several Clients

When using GL Automate, you can trade for an unlimited number of clients at the same time, and canalso trade for different clients on the buy and sell parts of trading.

Another feature of GL Automate is that you can trade identical instruments at the same time for thesame client, in any quantity, by editing the Tag column (in Excel) to personalise the instrument (seethe section Repeating Instruments).

Triggers

Triggers are a kind of buffer which ensure that GL Automate does not send price modifications ofexisting orders unless the underlying (Trigger) moves more than a predefined amount (VarMinTrigger).

The Trigger and VarMinTrigger columns work together to avoid price modification if the price changeof another instrument is inferior to the VarMinTrigger specified value. It is typically useful for options.For example, if you have to send orders on an option and do not want to update your bid and ask unlessthe underlying price changes more than 10, paste a dynamic link with the underlying price in theTrigger column and enter '10' in the VarMinTrigger column.

The pre-defined amount in the VarMinTrigger can be as low as 0.0000001 which makes it especiallyuseful for Italian Warrants for example.

The GL Automate interface displays the trigger progress graphically.

The trigger functionality works in the following manner:

1. Specify a trigger (RTD link for example) in Excel’s input zone Trigger column.

2. Specify the minimum variation for the trigger to have, before sending a price modification (in theVarMinTrigger column).

3. GL Automate does not send any price modifications as long as the trigger has not moved by theminimum amount specified in the excel spreadsheet.



4. The Variation trigger column displays the variation of the trigger with respect to the var min trigger.See Variation Trigger (page 50).

Example: Variation Trigger

The Excel: trigger value is 50, and the var min trigger is 10.

If the trigger becomes 55 since this is a variation of 5, that is, 50% of the var min trigger, 50%is displayed in the variation trigger column of the GL Automate.

If the trigger then becomes 59 since this is a variation of 9 with respect to the initial trigger value(50), that is 90% of the var min trigger, 90% is displayed in the variation trigger column of theGL Automate.

If the trigger becomes 60 à since this is a variation of 10 with respect to the initial trigger value(50), ie 100% of the var min trigger, GL Automate sends the price modification and displays0%. This is because now the trigger reference value is 60 and the var min trigger is still 10(unless you change the varmintrigger value).

Clearing Keys

Using GL Automate, you can set clearing information when trading, defining the default clearing in-formation in the Clearing Keys Set Up window. It is also possible to select different clearing informationfor both the buy and sell part of trading.

Choosing your Clearing Key

In the columns CkeyBuy and CkeySell in Excel, simply key in the name of the clearing key that isrequired on the Buy side and on the Sell side respectively.

If you have a clearing key named ABC, and you type ABC in a clearing key column, GL Automatewill find and use the clearing key ABC.

Note

This function is case-sensitive.

Choosing your Buy or Sell Clearing Key

It is possible to select two different clearing keys for the same instrument, one for Buy and one forSell.

Simply type the clearing key name you are using in each field (CKeyBuy/CKeySell). If no name is inthe cell, the default is applied and the word Default appears in the GL Automate interface.

General Clearing Key Usage Notes

The following are general usage notes:

Clearing keys are case sensitive.

The columns in Excel can be in any order. As long as the headings are correct, GL Automate willfind the column.



When using the Quote Sending function, GL Automate must use the same clearing key for bothBuy and Sell sides.

GL Automate Tooltips

Holding the left mouse button in one of the instrument columns can provide a helpful tooltip concerningthe current status of the relevant instrument. To find out if a tooltip can be displayed for a particularcolumn, hold the mouse pointer over it. If the pointer icon turns into a hand, a tooltip can be displayedby holding down the left mouse button.

For example, holding the left mouse button over the Brokerid column will display the availableTrading Server (SLE) for that instrument. Holding the left mouse button over an instrument's QtyBuycell displays information for the instrument's buy side, such as the instrument's state, buy price, orderreference etc. The most recent messages relating to the appropriate instrument will also be highlightedin the Scrolling Ticker view.

Example: Tooltip for an Instrument

This screenshot shows a tooltip for the instrument LI;M03, which has been displayed by pressingthe left mouse button over the instrument's QtyBuy cell.

Possible Tooltips

A list of possible tooltips that might appear when using GL Automate is presented in the followingtable.

Information DisplayedColumn

SymbolName

ISIN Code

Code

Name

Place

Market

Available Trading Servers (SLE) for InstrumentBroker

Executed QtyQtyDayBuy

Maximum Qty

Executed QtyQtyPriceBuy

Maximum Qty

Trading Server (SLE) Answer DelayStatBuyLast/Avg




Last Order

Average Delay

Messages

Input QtyInput QtyB

Rounded Qty

Quantity

Input Price (Stop Price Buy)Input PriceB

Rounded Price

Tick Size

(Instrument Name)Qty Buy

State

Type

Rem. Qty

Price (Stop Price Buy)

Exec Qty

Order Ref

Price Buy

(Instrument Name)Price Buy

State

Type

Rem. Qty


Exec Qty

Order Ref

Price Buy

(Instrument Name)Price Sell

State

Type

Rem. Qty


Exec. Qty

Order Ref

Price Buy

(Instrument Name)Qty Sell

State

Type

Rem. Qty


Exec. Qty

Order Ref

Price Buy




Input Price (Stop Price Sell)Input PriceS

Rounded Price

Tick Size

Input QtyInput QtyS

Rounded Qty

Quantity

Trading Server (SLE) Answer DelayStat Sell Last/Avg

Last Order

Average Delay

Messages

Executed QtyQty Price Sell

Maximum Qty

Executed QtyQty Day Sell

Maximum Qty

One-Shot and Iceberg Orders

Sending a One-Shot Order

GL Automate can be used to send a single order without the need to replace the quantity remaining inthe market after a partial or total execution.

There are three methods for sending a one-shot order:

1. The max quantity day can be filled in as the limit order quantity. When the single order is executedGL Automate passes to a forced disable status. The next order requires either manual interventionto re-enable or for the CmdStatusB or CmdStatusS in Excel to pass from Enable to Disable andthen back to Enable.

2. Choose the suspend status. Enable an order, then immediately suspend the order from the GLAutomate interface to restart the next one-shot. GL Automate will continue sending until the orderquantity has been fulfilled.

3. Alternatively you can add an asterisk * after the quantity in max QtyPrice or MaxQtyDay. SeeAdding an Asterisk after the quantity (page 53).

Example: Adding an Asterisk after the quantity

PriceBQtyBMaxQtyPriceBMaxQtyDayBSymbol

53235050*LZ;M04

In this example GL Automate will send a bid to the market of 10 lots at the price of 5323. Theorder that GL Automate is following is the order to Buy 50 lots at the price of 5323, and showinga quantity of 50 to the market.

When total execution is reached, instead of going into a Forced disable status the instrument willremain enabled but will send no more orders to the market until the MaxQtyDay is increased.

If the star is used again then the process will repeat.



It is recommended that:

The concatenate function of Excel is used to add the asterisk.

The quantity required is added into a different cell.

The quantity required is added automatically to the OutQtyDayB

Note

Adding an Asterisk after the quantity (page 53) is also possible with the maxQtyPrice field.

Sending an Iceberg Order

The GL Automate interface enables you to send exchange specific Iceberg orders.

To send an Iceberg order, type the quantity you wish to be displayed on the market in the DispQtyBand DispQtyS columns in the Excel spreadsheet.

The Iceberg order will then be made up of the actual quantity (QtyB or QtyS columns) and the displayedquantity.

When you are using the Iceberg order functionality, the GL Automate interface displays the Icebergquantity in parentheses.

Request For Quotes

The GL Automate responds to Requests For Quote (RFQ) automatically. A GLLINKS flag generatesan enable or disable signal. Signals included in an RFQ, such as quantity, side (Buy or Sell) are alsoavailable as GLLINKS. RFQ performance statistics can be compiled in Excel.

Detecting RFQ in Excel

An RFQ flag will appear in Excel, in order to allow the client to create a formula to automatically senda quote or a simple order. A GLLINKS action will reproduce a RFQ flag in Excel with two configurabletimers:

1. A timer that delays the display of the GLLINKS RFQ in Excel by ‘n’ seconds. This would take theform of

=RTD("GLLinks.RTD";;"RFQ";"FCEM3";"RFQ";"Timer=t1;t2")

where t1 is the time in seconds.

Example: =RTD("GLLinks.RTD";;"RFQ";”FCEM3”;"RFQ";"Timer=10;60")

In this example the flag would be received by GLLINKS and held back for 10 seconds (the 60applies to the second timer t2) before being displayed in Excel. The purpose of this delay is togive the user a chance to prepare the spreadsheet or respond perhaps after the other marketmakers.



2. A timer that cancels the flag after n seconds. This is the same GLLINKS as above but with thesecond timer cancelling the flag to allow the user to pull the quote after t2 seconds. Once displayedit would show either 0 or 1 for, no there is no RFQ or yes there is a RFQ.

Example: =RTD("GLLinks.RTD";;"RFQ";”FCEM3”;"RFQ";"Timer=10;60")

This means that if an RFQ was sent from the exchange on FCEM3 it will be picked up by theGLLINKS and publish RFQ in Excel. This will remain in Excel for 60 seconds displaying a 1and then return to 0 after 60 seconds. The idea behind this is to control the length of time thatthe quote is on the market.

The timer also features a Random function, with the below syntax:

=RTD("GLLinks.RTD";;"RFQ";"FCEM3";"RFQ";"Timer=2-10;60")

In this case, the 1 will be displayed between 2 and 10 seconds after reception of the message,and will last for 7 seconds.

Note

Zero and one were chosen deliberately as flags, to offer the possibility of multiplying the quantity required(QtyB) by the zero or one to simplify enable and disable.

RFQ Direction Bias

A GLLINKS action will reproduce RFQ direction bias because on some exchanges RFQ sendersare obliged to open if they are buyers or sellers.

Example: =RTD("GLLINKS.RTD";;"RFQ";"FCEM3";"RFQSIDE")

This will return a B for buy side bias and an S for sell side bias, allowing the user to includethis variable in a formula to respond accordingly.

RFQ Quote quantity

A GLLINKS action will reproduce the quantity that the sender of the RFQ wishes to trade in.

Example: =RTD("GLLINKS.RTD";;"RFQ";"FCEM3";" RFQQTY")

This will display the quantity that exists in the Market Data Server (SLC) for the user to includethis variable in a formula in Excel to adjust the quote sent by the GL Automate. Again thiswill display the quantity that exists in the Market Data Server (SLC) for the user to includethis variable in a formula in Excel to adjust the quote sent by the GL Automate.

GLLINKS Action for Creating RFQ statistics

Table: Pertinent GLLINKSs for RFQ

SyntaxType

=RTD("GLLINKS.RTD";;"RFQ";"FCEM3";"RFQHOUR")Hour

=RTD("GLLinks.RTD";;"RFQ";"FCEM3";"RFQ";"Timer=10;60")(for example)

Event

(1=active, 0 inactive)

=RTD("GLLINKS.RTD";;"RFQ";"FCEM3";"RFQBROKER")Broker

=RTD("GLLINKS.RTD";;"RFQ";"FCEM3";"RFQQTY")Quantity

=RTD("GLLINKS.RTD";;"RFQ";"FCEM3";"RFQTYPEBROKER")Type of Broker

=RTD("GLLINKS.RTD";;"RFQ";"FCEM3";"RFQSIDE")Side



SyntaxType

(' ', 'B' (Buy), 'S' (Sell),or 'BS' (Buy and Sell))

=RTD("GLLINKS.RTD";;"RFQ";"FCEM3";"RFQPRICE")Price

=RTD("GLLINKS.RTD";;"RFQ";"FCEM3";"RFQTRADERID")Trader ID

=RTD("GLLINKS.RTD";;"RFQ";"FCEM3";"RFQID")ID

=RTD("GLLINKS.RTD";;"RFQ";"FCEM3";"RFQExpiry")Maturity

=RTD("GLLINKS.RTD";;"RFQ";"FCEM3";"Symbol")Symbol

=RTD("GLLINKS.RTD";;"RFQ";"FCEM3";"InstrSource")Source

=RTD("GLLINKS.RTD";;"RFQ";"FCEM3";"InstrPlace")Exchange

=RTD("GLLINKS.RTD";;"RFQ";"FCEM3";"InstrMarket")Market

=RTD("GLLINKS.RTD";;"RFQ";"FCEM3";"InstrSubMarket")Sub Market

Note

If there is no returned information, then -- (two minus signs) will be displayed.

Table: Output zone information for RFQs

DescriptionName

Displays the status of the buy side of the instrument - for example, Fdisabledetc.

OutDispStatusB

The capitalization of the buy side (Price multiplied by quantity)OutCapDayB

Total bought on the dayOutQtyDayB

Total bought at that price; if price changes counter rests to zeroOutQtyPriceB

Total bought quantity for that order, if a new order is sent the quantity resetsto zero

OutQtyOrderB

As displayed in QREM in the nego; the quantity remaining in the marketOutQtyRemB

Total number of Buy messages sent to the exchange since GL Automatewas opened

OutNbMessB

Displays the status of the folder or Quote.OutDispStatusBS

Note

All of the above are equally available for the sell side where appropriate.



IndexAActivating trading, 36Adjusting columns, 42Audible indications of activity, 31

BBuy and Sell Icons, 39Buy Icons, 39Buy/Sell Clearing Keys, 50

CClearing Keys, 50Color schemes, 44Column Selection, 23Columns icons, 40Columns section, 40Configuration dialog, 27Control Table, 8Control table, 42Custom mode, 42

DDeactivating trading, 36Disable GL Automate, 36

EExcel Input Zone, 8Excel Output Zone, 8Excel Settings, 31Excel/GL Automate default separator, 31Exporting Instrument lists, 22

FFast Quote, 45Folder icons, 38Folders

arrangement, 19color schemes, 21status, 18

FQ, 45

GGeneral Options, 27GL Automate window, 16GLLINKS, 54

IIceberg orders, 54Icons, 38Input Zone, 8Instrument lists, 22

Instrument status color schemes, 44Instruments

Changing, 42repeating, 46

LLaunching GL Automate, 3Linking Excel and GL Automate, 5Log files, 28, 49Logs, 49

MMarket specifics, 47Mass Quote, 46MQ, 46

OOne-shot orders, 53Operating mode, 42Order types in Excel, 45Orders

prioritizing, 46Output Zone, 8

PPanic button, 36Pasted Columns, 31Price control, 46Prioritizing orders, 46Priority, 46

QQ, 46Quote, 46

RRepeating Instruments, 46Request for Quotes, 54RFQ, 54RFQ Direction Bias, 55RFQ flags, 54RFQ performance statistics, 54

SSelect Data Display dialog, 23Selecting Columns, 23Sell Icons, 39Sending different order types, 47Settings, 28stk files, 22Suspend mode, 36Suspending orders, 37


TTooltips, 51Tracing problems, 49

WWav Files, 31


Index58

Documents

Ug Glautomate 10.1.Rev1