I am boning up on VWAP, TWAP, and a host of other algo trading systems. I have been reading up on them (wiki) http://en.wikipedia.org/wiki/VWAP and using the Obsidian demo www.silexx.com The demo only last 14 days. While the ticket is easy to use, I think their Algo ticket doesn't really reflect proper order handling in the demo. I guess this is because it can't send a real order. I want to learn more about the different types of orders (other than reading about them on wiki). Questions: 1. Which Algo do you use and why: VWAP, VWAP+, TWAP, TWAP+? 2. Do you find Algo trading help with your returns or strategy? 3. What are "Flexible Participation, Implementation Shortfall, Rapid Dark, Synthetic Peg and Volume Participation"? 4. Does anyone use these on Obsidian or another trading platform? I was unable to find any details on those at their website. Has anyone used them?
This is a good primer on execution algorithms: http://www.amazon.com/Algorithmic-Trading-DMA-introduction-strategies/dp/0956399207 Most of those you named are described in it. Its a good read, even if you aren't an algo trader yourself.
Thanks very much. So far I have not found anyone that uses these algo orders, which I find odd. I would think many people would be using them. I'll pick up the book. Do you use algo orders?
Are you a sales trader or prop trader? those algos are generally considered sales trader algos as the sales traders is attempting to beat a benchmark, ie. avg price for the day. Prop traders generally steer towards scalping algos and spreading algos.
I am a prop-trader, but I am NOT a day trader. I have larger portfolios of stocks as well as options and carry positions over-night. I am looking to get better fills, volume participation, and also rebates. Right now all my trading is DMA routed (90% auto / 10% manual). I don't have access to these types of ALGO orders, but from my limited knowledge and research, they would seem to benefit my strategy. I have yet to hear from anyone (beyond a book or wiki) the advantages of these orders, how & when to use them, which ones for which situations. I did some additional research and found out they have an algo that routes orders based on liquidity rebates as well. While not the focus of my strategy, anytime I can get rebates - I'll take them. I was just hoping to find someone with some knowledge and more importantly experience with them. So far it looks like Obsidian is one of the few platforms that offers the entire array of Algos and they support several prop firms and clearing firms. Any help with these types of orders is greatly appreciated.
Guess no one uses algo trading systems? I would think there would be someone here that uses them and has some experience and knowledge to share.
those are execution algos that the sellside provides. they are near useless if you have a small account.
Thanks for responding, but I find your answer vague. Just because they were designed for sell side providers does that make them useless? I remember when LEVEL II and market depth was for market makers only, did that make it useless for none market makers? It seems that everyone I speak with (or email) says they are useless and for "sellside providers" - when I press - they really don't seem to know anything about this type of order handling. Ignorance maybe bliss, but if these algo type executions are available and are helpful, who cares who they were designed for. So any help out there or am I the only one that is going to venture into the world of VWAP, VWAP+, TWAP, TWAP+, Flexible Participation, Implementation Shortfall, Rapid Dark, Synthetic Peg, Volume Participation, and a host of other order handling routines?
I don't much use them, but these are not highly sophisticated algo's only available through select providers. Even IB offers a bunch as standard execution algo's.
i think you dont understand what these are used for. They are for getting into(out of) large positions. What good are they if you put on a max position of 1000 shares. How do you think they will help you?