FTS User Guide
The market is controlled by the program FTS Market, which was installed on your server. The installation utility creates an icon for you labeled FTS Market. You can double-click this icon to run the program.
Once you run the FTS Market program, you will be prompted for information. The easiest way to run a trading session is to use all default parameters, as explained earlier in this manual. However, you get more control if you do not use the default settings. The following is a description of changes you can make when you do not use the default settings.
The questions asked, and how they affect the trading session, are explained next. Whenever you are asked for an input, the default is shown. To accept the default, simply click OK or press enter.
To change the settings, you must answer no when asked whether you want to use the default parameters:
Section Number:
This separates the output files and grade files for different sections. It is essential to enter a section number if you are running multiple sections through the same case.
Output File Name:
This can be any name not exceeding 8 characters in length. The default name is gtest. If you entered the section number as A then the default is gAtest.
Trading Case:
This is the extension of the case files. For example, RE1, B02, OP1 and so on. Simply select the case you want to run.
Market Depth:
This is the depth of the market book that is maintained. At the default depth means that the best 10 bids and asks are kept in the book at any given point in time. If one side of the market clears then the next best available price from the book will automatically reappear.
Depth is limited by available memory given the case being run. There is no real limit on the depth, except that the larger the depth, the more central processing speed is recommended. The system currently requires the depth to change in increments of 10, e.g., 10, 20, 30 and so on.
Bid/Ask Auto Crossing (y/n) :
The default is yes, automatic crossing. That is, if a bid exceeds an ask then it is crossed at the existing bid or ask price (whichever was on the market first). If this option is switched off then crossed bids and asks will stay on the market until FTS traders execute the appropriate trades to exploit the arbitrage opportunity.
Seed for Random Numbers:
The default setting comes with each case. In trading cases that have exogenous uncertainty (e.g., dividend
states, information etc.) a different time path can be generated by answering y and then you will be prompted for a new seed. The new seed can be positive or negative (generally values between +/- 32000 are acceptable).
The next set of questions allows you to change some case parameters. These include interest rates, uptick and downtick parameters in the binomial option pricing model, and the number of seconds in a trading period.
Change short rates:
The default short will be displayed, and you will be asked whether you want to change them:
If you say yes (y), you will be asked to enter one interest rate for every period in the trial. Thus, in a three-period case like B03, you will have to enter three interest rates, one for each period. You enter rates in decimal form, so 10.3% is entered as 0.103, as in:
Change binomial parameters:
If you are running a binomial option pricing case such as OP1, you will be asked whether you want to change the uptick and downtick parameters, and also the probability of the uptick. The current settings will also be shown, just like the short rates. If you say yes, you will be asked to enter the parameters, which consist of the uptick, the downtick, and the probability of an uptick; the probability is used by the random number generator to obtain realizations of upticks and downticks.
Change time:
The next question will ask you whether you want to change the length of time in a trading period. You can change this, but should not do so for the ST- and XR- cases, where the default time should be used (since it determines the frequency with which prices are updated).
To change the time, enter y and click OK and you will be prompted for the new time, in seconds.
The market now waits for traders to log in. You see a message telling you how many traders have logged in, and you also see who has logged in on a separate window. This was described earlier in this manual.
Once enough traders have logged in, click the "Initialize" button. The FTS Market will then transmit data to the traders, initialize the display and wait for you to start the market. The FTS Market display for case B03 is shown here:
After making sure that all traders are ready, click "Start Market."
During trading, you have some commands available to you, shown at the bottom of the window.
You can allow traders to view the limit order book (and also withdraw bids and asks) by setting Book View to On.
In Manual mode, you are prompted after the end of trading to continue. In Automatic mode, the market resumes automatically after waiting for a fixed number of seconds.
This pauses all trading. This is useful if you want to draw attention to some current market condition, or review the trading case or answer questions.
This resumes a paused market. It also checks to see who has logged in since the market started.
This ends the current trading period. This is useful when the trading period is too long, and basically no one is trading.
This quits the entire market. Do not press this unless you really want to quit.
At the end of the period, the FTS Market clock counts down to -12 (basically clearing alllast-minute trading activity). Payouts (such as dividends or coupons) are transmitted, and it waits for you to start the next period.
At the end of the market trial (a set of periods make up one trial, where positions carry across periods but not across trials), you get a display of grade cash, which is a measure of trader performance explained in every case. These are displayed in the Login and Grade form. It also reports the minimum, the maximum, and the average.
The grades are also stored in a file called GnGRADE.xxx where xxx is the case name and n is the section number. (If you set the section number as 1 for case B03, the file would be G1GRADE.B03). These are stored by trial, and the file has three columns. The first is the login ID of the trader. The second is the internal ID of the trader (which is a number between 1 and the number of traders), and the third is the (cumulative) grade.
Note: This file is never overwritten by the FTS Market. It simply adds on to the end of it. This means that if you run the same case twice, both sets of grades will be stored in this file. This is useful in case you forget to put in a section number!
(C) Copyright 1999, OS Financial Trading System