You can create a Basket Hedge order in Risk Navigator within TWS:
- In Mosaic, open Risk Navigator by clicking the New Window button and selecting Risk Navigator. In Classic TWS, open Risk Navigator by clicking the Analytical Tools menu option and selecting Risk Navigator
- Display the Hedge column from the Metrics menu. Please note, if the feature is grayed out on the Metrics menu, it is not supported for that report. The Hedge checkbox functions at the aggregated level and is only available in reports with a collapsible contract dimension, i.e. Risk by Underlying, Risk by Industry, Risk by Country, Plot Data by Underlying etc.
- Enable the checkbox in the Hedge column of an underlying for all sub-portfolios whose deltas you want to hedge. To select all sub-portfolios, use the checkbox in the All Underlyings top row
- When all contracts are selected, click the Hedge button in top right corner of the report
- Define the hedge order type (Limit, Market or Relative). If you selected the Relative order type, define the relative offset amount and click OK
- The BasketTrader will open, and the legs of the order will reflect the subportfolios you selected in the Risk Navigator. The Total Quantity for each leg will be identical to the delta for the subportfolio, with the Action set to the opposite side. If the delta is positive, the leg becomes a SELL order. If the delta is negative, the leg becomes a BUY order. You can save the basket for later use by clicking the Save button in the top right of the basket.
Find more information about creating a Basket Hedge order in the TWS Users’ Guide.
Additional Information