You can attach a Delta hedge order to an options order as an alternative to setting a hedge order attribute on the original Volatility order line.
To attach an Delta hedge order in Classic TWS:
- Click on the Bid to create a buy order
- Right-click on the order line, select Attach, then select Delta Hedge
- A new linked delta hedge order line will display. The link between the parent and child orders will be illustrated in the Key field
- Select an order type for the hedging order (Limit, Market or Relative)
- Transmit the parent order. The attached Delta hedge will sell your base currency and buy a quantity of the needed currency to cover the parent trade.
Please note that when you attach a delta hedge order to a Volatility order with Continuous Update or to a Relative/Pegged-to-Stock order, the system will use the delta associated with the parent order instead of using the current delta of the option based on market data at the time of trade. For Volatility orders, this delta is calculated from the user-defined Implied Volatility specified at the time of the most recent order modification or price update. For Relative/Pegged-to-Stock orders, this is the delta specified by the user.
For a Limit delta hedge order, a snapshot of the stock bid/ask price is taken at the time the parent order fills, and the best available price is used as the limit price (best ask for a buy and best bid for a sell).
For more information, see Attach a Delta Hedge Order in the TWS Users' Guide.