Sprd/Bfly Enhancements | Weekly Release 9/18/20

Enhancement#1


Enhanced the seasonality by adding the option to calculate the Average using either simple or exponential weighting method

In the Seasonality function, while looking at the time series, the trader can plot a simple average time series, which shows the average of all the time series equally weighted. In this release, the option to plot the exponential time series has been added. It is indicated in the dropdown to the right of the “Average” checkbox. The trader can also enter his own exponential factor in the box to the right of the drop down.

Exponential time series calculation:

Assume lambda(<1) is an exponential factor, and there are N periods of time series to average, t1, ... tN

t1 is the most recent period, and tN is the oldest period.

Define t1 has weight of w1=alpha

Define t2 has weight of w2=alpha*lambda

...

Define tN has weight of wN=alpha*lambda^(N-1)

Since lambda is known(default 0.95), by making w1+w2+...+wN = 1, we can solve alpha

then w1 to wN can be used to calculate exponential average.

Enhancement#2


Seasonality: Allow traders to draw a line down the “Zero Day” day to see at what level each time series crosses

Traders looking at the seasonality with a start date before the eco event, will be able to plot the “Zero Day” line. This will show where each line crosses the zero date and visually gauge each time series.

Enhancement#3


Enhanced the “To Sprd Bfly” to allow traders to send batch strategies with weighting information from one tab to another

Traders who are reorganizing their strategies in different tabs, can now send batches of strategies from one tab to another.

To send the strategies to another tab:

  1. Select the batch of strategies to be sent over <right click> and select "Send Selected Rows to Other Tab"

  2. Select the tab to send the strategies to

  3. Strategies are in the chosen tab


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