How quant traders create custom trading instruments

In this video I talk about user defined spreads and how quant traders create their own instruments to trade. These are instruments that aren't listed on the exchange when it opens, but become available as quant traders create them to fit their risk profile and trading needs.

0:00 intro
0:30 What is a UDS?
1:08 What are the different types of UDS?
4:39 Exchange recognized UDS vs. exchange unrecognized UDS
7:00 UDS message parameters
7:30 UDS requests and UDS creation acknowledgement messages
8:47 UDS composition
9:30 UDS lifecycle
10:58 UDS data source
11:58 Reviewing historical UDS data

Instagram: @thecodingjesus

[CodingJesus]

Have you ever created or traded a custom instrument?

[riankashyap]

If you've been patient enough even after losing money watching the technical analysis people on YouTube and are fortunate to have found this channel, you're finally at the right place. So never give up. Welcome to the real trading world.

[nvested]

It would be awesome to show a video of an interview with a real quant trader!!!!

[kodiakgriz]

Dude you are like a fine wine....I listen to you while trading client accounts...just pure GOLD- tonality etc

[omniustradingsystems]

Another great knowledge bomb from CJ! Please consider a follow-up video where you discuss 1) the life cycle of a trade(example of a buy or sell of a combo and how it unwinds in profit or loss. 2) Discuss the margin requirements of such multi-legged instruments and what could affect that and when you would unwind the trade 3) discuss examples of the commission structure needed to make these kinds of trades and if you'd need to be an exchange member or seat lessee in order to trades profitably 4) I'm aware of discretionary traders using software such as TT Autospreader to create combos(correctly if I'm mistaken) but I'm not aware of them using trading algorithms to drive those trades with TT Autospreader. How are these monitored in a quant trading firm? 5) To your knowledge do traders in an quant firm still use desktop applications such as TT Autospreader and Bloomberg terminals. Thanks again for the video and I hope you can further illuminate us on this topic! PS I love the insiders view of the CME market content you provide.

[MusiCrazyEsperanza]

Thank you so much for this gold. I don't understand a lot of it but I'm working on the Options Volatility and Pricing book. As well as working on my python and c++ skills

[moal]

We are building in our fund an order router and systematic trading platform and I need to say I always get cool ideas from your videos! Keep up with the good (and unique in YouTube!) work!

[trendingtopicresearch]

Didn't know that, thanks a lot for sharing!

[roofernando]

So when I send a spread to the market using think or swim is this what is sent to CME on the backend?
Really cool videos you got man thank you for the content!

[patite]

Thank you so much for this video! Would it be possible to make a video on how to create and send these Combos to the broker with Python? thank you for your consideration.

[allurbase]

Wait, 40 on the current level of recursion or in total? Say a UDS has 40 instruments, can i have a recursive UDS of that and something else? So is the max 1600 at the end?

[financialharm]

What an insightful video! my question is what are the execution speeds like when submitting orders directly to the exchange as opposed to submitting orders on regular brokerages? Do you receive instant executions or does it take time for someone to review the order and confirm it? Another question would is that I never heard you mention commissions or trading fees does that imply they don't exist when dealing directly with an exchange?

[youngarmani]

the first thing i thought when u showed the UDS data is how someone was exploiting the short strangles i wrote

[daltontsima]

its been a long time since you made videos😭

[tillicollapse]

Bro, I don't know your intention while creating this youtube classes. Is it for quants or wanna-be quants? If that's the case, you might not have a great increase in your channel subscribers I think. I've seen many of your videos, but as an retail algo trader I am impossible to apply almost all of your advices. Maybe you think that as a retail algo trader we don't have any edge to be profitable becuase quants in institutional firms might have all the edge: is that what you think? your videos would be more helpful to me if you create videos focusing in retail algo traders... I will be really pleased to see that change, if you are not interested, I'will just watch your videos "just for fun", because that's the only thing I can use your videos for...

[taylor_o]

Who is taking the other side of these UDS trades? I imagine typically some market participants are ingesting those announcement messages (forget what you called them) and using algorithms to decide if they want to quote a price? Or do discretionary traders actually look at these?

Pretty cool video btw... I didnt know this was possible.

[BigDog-dwns]

What is the benefit of creating a UDS over just trading the individual components in the desired ratios? I see that you're looking for a specific risk profile; is execution just simpler/faster for a UDS once created?

Also, when a Robinhood "trader" buys or sells a multi-leg option contract, is a UDS being created behind the scenes? Does the UDS already exist because the combo has been traded before? Or is there no UDS at all and the app just places orders for multiple single leg contracts in rapid succession?

Great channel. It's too bad the charlatans get all the subs :)

[spirobel]

this is like las vegas but for autistic people. I like it.

[noahfarrell]

greetings my lord coding Jesus, so I am a 2nd year computer science major at ASU and I want to be quantitative developer like thats my dream job, do you think that its possible to break in with just a BSCS? or do you think its better to work as a dev in some other field and then moving into the quant space. And will firms even hire new grad CS majors?
peace be upon you hahah