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Trading Information

Combination orders

Combination Orders

Thalex offers fully integrated combination orders functionality. A combination order allows entering positions in several contracts in a single atomic trade operation.

In short, combination orders:

  • Can consist of up to 4 legs of options contracts on the same underlying index.
  • Are traded against regular options order books.
  • Are atomically matched, proportionally filling all legs.
  • Can be limit or market orders.
  • Have a single limit price for the whole combination.

Trading Combination Orders

A combination order can be inserted either using Thalex trading API, or strategy builder in the Thalex Trading UI.

When inserting a combination order, the customer specifies the unit of the combination as the instrument names of the legs and their corresponding quantities within the unit, and then also specifies how many of these units to trade via the order amount.

Leg quantities are integer non-zero values that can be positive (long legs) and negative (short legs).

The order amount is always greater than zero and can be fractional.

An order is entered as a “buy” or “sell” order, which refers to buying or selling the whole combination. For “buy” orders, contracts on the long legs are bought, and contracts on the short legs are sold. For “sell” orders, contracts on the long legs are sold, and contracts on the short legs are bought.

Limit and market orders are supported. For limit orders a limit price must be specified. The limit price refers to the price per unit of the combination. Since the price of the unit of combination can negative or zero, the limit price can also be negative or zero.

Combination orders are traded against outright order books on the leg instruments.

A combination order may be filled partially, in which case the proportions of fills on the legs will correspond exactly to the proportions of the leg quantities specified when inserting the order.

Combination orders are always traded atomically on all legs. It is impossible, for example, to be filled on just one leg of a combination order; or be filled in wrong proportions.

Eligible Instruments and Constraints

A combination order can contain legs from one of the following product groups:

  • Option contracts on BTCUSD underlying index.
  • Option contracts on ETHUSD underlying index.

Note that all option contracts must be on the same underlying index.

Futures, perpetuals and future rolls contracts are not eligible and cannot be used for a combination leg.

A combination order must contain between 2 and 4 legs. Each leg must be on a distinct instrument.

Each leg must have an integer, non-zero quantity. Absolute value of the leg quantity should be less or equal to 10.

Total gross amount of a combination order (order amount multiplied by the sum of absolute leg quantities) must not exceed:

  • For BTCUSD-based instruments: 25 contracts.
  • For ETHUSD-based instruments: 1250 contracts.

Total amount on every leg must be aligned to volume tick size of the leg instrument.

Combination orders must be “immediate-or-cancel”. Thalex at the moment does not support order books of combination orders (not to be confused with combination instruments, such as futures rolls, or RFQs). As such, inserted combination orders are filled only to an amount presently available in the outright order books.

Combination orders cannot be “post-only” or “reduce-only”.

The limit price must be specified aligned to tick size of 0.01 USD.

Mark Price

Mark price of a combination is the quantity-weighted sum of mark prices of the leg instruments.

Note that since combination leg quantities can be negative, combination mark prices can also be negative or zero.

Combination Order Books

Thalex Trading UI provides a combination order book view in the strategy builder. Combination order book subscription is also available via the market data API.

Combination order books do not represent combination orders inserted by customers. Instead, each level in the virtual combination order book represents a possible proportional fill at a specific price for the whole combination that can be matched against orders in the outright books that correspond to the combination legs. Combination order books are updated in real time when outright order books they depend on change.

Note that since combination leg quantities can be negative, order book level prices can also be negative or zero.

Combination order book level amounts represent amounts in units of the combination.

Margin Requirements

Combination orders are margined as atomic combination trades. The resulting position must not breach margin requirements or, if initial margin requirements are already breached, must reduce the risk exposure of the position.

Market Maker Protection for Liquidity Providers

Combination orders cannot be inserted as mass quotes, and as such are not subject to market maker protection (MMP) functionality.

MMP configuration is based on maximum traded volume per product group. MMP is evaluated after every taker order, which means a single large taker order can overshoot the maximum trading volume configured (see MMP documentation for details).

A taker combination order is traded atomically on multiple instruments of the same product group, which means that its contribution to MMP traded volume can be larger than that of an outright taker order. This is to a great extent mitigated by the total gross amount limit.

Trading Fees

Combination order trades are added to the system as regular trades on the legs, and normal fees apply.