How do I set the ratio for one leg in VBA?

Akechi Sato
Akechi Sato Explorer
in REDI API

Hi,

I would like to set the ratio for one leg in VBA. The
Quantity is for the whole structure.

How to do that? Do I need to add it as a third leg?

Could you please help me?

Here is my source code:

Dim hOrder As New COMPLEXORDER

  ' Complex options order header ---------------------------
  hOrder.Strategy = "Vertical"

  hOrder.SetSymbol 0, Symbol
  hOrder.SetExchange 0, Exch
  hOrder.SetPriceType 0, "Limit"
  hOrder.SetTIF 0, "Day"
  hOrder.SetQuantity 0, Qty
  hOrder.SetAccount 0, Acct

  ' Leg 1
  hOrder.SetSide 1, Side
  hOrder.SetPosition 1, "Open"
  hOrder.SetOptType 1, PC
  hOrder.SetMonth 1, Mat
  hOrder.SetStrike 1, Strike


  ' Leg 2
  If (Side = "Buy") Then
      hOrder.SetSide 2, "Sell"
  ElseIf (Side = "Sell") Then
      hOrder.SetSide 2, "Buy"    
  End If

  hOrder.SetPosition 2, "Open"
  hOrder.SetOptType 2, PC
  hOrder.SetMonth 2, Mat
  hOrder.SetStrike 2, Strike2

  hOrder.SetPrice 0, Px
  If (Live) Then
  rtnVal = hOrder.Submit(myerr)

  If Not rtnVal Then
    If myerr <> "" Then
      MsgBox myerr
                 MsgBox (Now() & "--" & str & "-- Error -- " & myerr)
    Else
      MsgBox "Failed - Please Contact REDI Support."
    End If
  Else
                  Debug.Print (Now() & "--" & str & "-- Order Submitted")
  End If
  Else
    MsgBox (str & " Not live order")
    End If
End Sub
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Best Answer

  • Dan.Socaciu
    Dan.Socaciu LSEG
    Answer ✓

    You need to specify hOrder.Strategy = “Ratio Orders” and specify the header and leg quantities as per the below code snippet.

    I just tried this on my machine and it worked (2:7 ratio). 

    hOrder.Strategy = "Ratio Orders"
    hOrder.SetSymbol 0, "AAPL"
    hOrder.SetExchange 0, "DEM2 DMA"
    hOrder.SetPriceType 0, "Market"
    hOrder.SetTIF 0, "Day"
    hOrder.SetAccount 0, "DEMO2"
      ' Leg 1 of calendar spread hOrder.SetSide 1, "Buy"
    hOrder.SetPosition 1, "Open"
    hOrder.SetOptType 1, "Call"
    hOrder.SetMonth 1, "Jun '18" hOrder.SetStrike 1, "175.00"
    hOrder.SetQuantity 1, 2
      ' Leg 2 of calendar spread hOrder.SetSide 2, "Sell"
    hOrder.SetPosition 2, "Open" hOrder.SetOptType 2, "Call"
    hOrder.SetMonth 2, "Jun '18"
    hOrder.SetStrike 2, "180.00"
    hOrder.SetQuantity 2, 7hOrder.SetQuantity 0, 1

    By the way, the Ratio Order strategy and other strategies
    like Butterfly, Delta Neutral, Ratio… are demonstrated in the "Order Entry
    - Complex Option (US Options).xlsm" example available on GitHub here: https://github.com/TR-API-Samples/Example.REDI.VB.ExcelExamples

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