Partial Fills by a CTA

Discussion in 'Order Execution' started by cooltraderabhi, Apr 13, 2012.

  1. Hi - how do you allocate partial fills for a CTA? NFA suggests that it should be randomised. I tried using Excel to come up with random numbers but could not get anywhere.

  2. Might want to use that all or none feature when submitting your orders, even on limits and stops.
  3. Yeah fill or kill order is probably not too good an idea for options.
  4. MattZ

    MattZ Sponsor

    Partial fills as far as I know should be allocated randomly because you don't want to show preferential allocation in such instances. You will have to calculate each account individually and then as an aggregate of all accounts.

    If you asset pool starts to grow due to good performance, partial fills could be something you encounter periodically.

  5. Yes, but I am sure we could automate the whole process by coming up with a formula in Excel. NFA also told us that there are softwares which can randomly allocate partial fills.

    Was wondering if anyone knows about that.
  6. MattZ

    MattZ Sponsor

    I see what you mean.
    Let me ask around and I will get back to you.

  7. CTS's T4 platform works well for trading multiple accounts pursuant to the same program. I would personally not want to be responsible for "allocating fills." Rather, I let the trading interface do it.

    Dorman is a good FCM which offers T4; RJO offers it too, I believe.

  8. MattZ

    MattZ Sponsor

    RTrader also as a way to allocate on % basis to certain accounts, but the issue is on partial fills.

    IMHO, the key is to develop a pattern where you show consistency in allocation when it comes to partial fills. For example, lowest account to highest or some sort of pattern.

    Another suggestion is try and APS the trade (Average Price System) while you go to the market on those you were not filled on. I am not sure what would be the impact on performance, but then all get equal fills.

    No software suggestion at this point from my colleagues.
    Talk to a reputable accountant that has done it before with CTAs for his 2 cents as well.