Algo traders: What risk management are you using to manage crisis like Flash Crash

Discussion in 'Automated Trading' started by schizo, Jul 23, 2022.

  1. qlai

    qlai

    Also, I wanted to mention that differentiating between actual crash vs. bad market data vs individual stock/sector is an interesting challenge(assuming your reaction time needs to be at least sub-second).
     
    #31     Jul 24, 2022
  2. 2rosy

    2rosy

    this is under the automated trading sub forum. Why would you feel anything; it's automated. Why would you even need to look at charts and prices; it's automated
     
    #32     Jul 24, 2022
    earth_imperator likes this.
  3. schizo

    schizo

    My point was, in response to your claim that your order "could get filled", that in a dire circumstances like Flash Crash, which is very different than a normal panic (but still orderly) selling, there is ZERO chance of getting your order(s) filled, ie. getting out of a losing trade.
     
    #33     Jul 24, 2022
  4. schizo

    schizo

    What instrument do you trade? Is your algo high- or low-frequency?

    Since my algo is set up to trade only index futures, I don't have such a problem but you brought up a good point. During Flash Crash, all my data (from 3 different sources) were either frozen or massively delayed. The best thing to do is to pull the plug before it happens, but I'm not sure how you can safely differentiate between the real thing and noise, which we're seeing a lot these days. And if you're already in a losing trade, I suppose there's really nothing you can do but to suck it up.
     
    #34     Jul 24, 2022
  5. qlai

    qlai

    Stocks, high.
     
    #35     Jul 24, 2022
  6. that's what i keep saying. It's all about filling and how much slippage are you getting. You're just agreeing here :)

    Which is why i said that the only way to protect yourself is to just trade long options and delta hedge it. So, your strategy is basically long vola. Then you'll benefit hugely in situations like that.
     
    #36     Jul 25, 2022
  7. sukhen

    sukhen

    I experienced it
     
    #37     Jul 31, 2022
  8. Hello sukhen,

    What happen, what did you experience?
     
    #38     Jul 31, 2022