Algorithmic trading execution methods

Discussion in 'Automated Trading' started by caementarius, Nov 27, 2009.

  1. So, I've come across names for various program trade algorithms and I'd like to understand what they are about. I figure, if these algorithms are common enough to have names and platforms advertise supporting them, then they are worth trying to understand. I realize these are mostly for institutions to try to get the best prices on buying and selling large quantities for the best execution but I think it's likely good stuff for a Trader to understand for better insight into overall market mechanics. Here is a list of terms:

    Geurilla (Credit Suisse)
    Sniper (Credit Suisse)
    Ambush (Banc of America Securities)
    Razor (Banc of America Securities)
    Cobra (Instinet)
    Nighthawk (Instinet)
    Dagger (Citigroup)
    VWAP and TWAP (Credit Suisse) -- I think these are pretty straightforward
    Inline - FlexTrade
    Iceberg - FlexTrade
    Auto Market-Making (from Portware, do we have a good idea what this does? how it manages inventory and risk?)

    There are more. I know the idea is largely to find liquidity and execute without signaling intent - but can anyone shed some light on the mechanics of doing that?

    terms mostly from:
  2. Cost is a major consideration here - some of those products cost like $100k to own/lease....

    Like flextrade, apama, streambase, KDB+ etc....

    And you'll need a superpricey datafeed...

    Then you need custom filters to filter the data, specialized programming for your strategy that queries either SQL or a proprietary DB...

    Some of these query languages are to me, impossible to figure out - I'm referring to KDB+ here, which uses Q, a language made by KX systems that provides extremely high speed execution and querying of time critical trading data...
  3. I understand. I'm not thinking that I would use them, but I'd like to understand more about how they work in order to understand what the Big Boys are doing (as much as practical).

    Q sounds interesting. Do you use these technologies regularly?
  4. I use none of it. I just researched it all and found out I was either too broke or not smart enough to figure out their query language. But broke came first :)

    I don't do anything intraday so its really not much use to me having these kind of trading avenues....
  5. caem - I can tell you some about this tomorrow. Bloomberg's "B-Pipe" is $4,500/month for digital data- so not out of control for data if you are at this level.

    Are you looking to study these or are you looking lease?
  6. Somebody wake me when cost come down to 5K per month.
  7. How much do you expect to pay when most won't touch ATS unless it makes $5k/day
  8. Most of the arb strategies that used to make 5K/day are so crowded that the easy/guaranteed money trickles in.
  9. what??? :confused:

    crowded trades usually mean there is no more money - especially when talking arb. as far as I know there is no easy money in crowded arb trades...