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Decimal Ratios allow users to create more precise spread definitions when creating synthetic spreads in Autospreader. When using ratios in Autospreader, it can become very difficult, if not impossible, to send an Autospreader order that will generate an order quantity in one of the legs that matches your requirements.

Consider a U.S. Treasury futures spread between 5-Year T-Notes (ZF) and 10-Year T-Notes (ZN). The proper ratio ratio between these contracts may fluctuate, but for our example, let’s assume that the proper ratio is 1 ZF contract to 0.625 ZN contracts. In whole numbers that would require a ratio of 8 ZF to 5 ZN. It would be impossible to execute an order for 100 ZF as the Autospreader order could be 12, equal to 96 ZF, or 13, equal to 104 ZF.

Using decimals in the ratio input frees up the user to enter precise order quantities. Now, using a whole number of 1 for the ratio of ZF and a decimal of -0.625 for ZN, the user is free to enter a quantity of 100 for their order size to execute 100 contracts of ZF. As Autospreader quoting orders are filled, Autospreader sends hedge orders, maintaining the proper ratio until the entire order is filled.

TT has created a detailed training video of Decimal Ratios in which you may view exactly how this spread was configured.

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