Portfolio-level algo trading

cruisecontrol · Dec 21, 2020

Do any brokers offer portfolio-level algo trading? Most that I've seen (such as IB) only offer algos that work on each symbol individually.

An example of what I'm looking for would be Vwap or TargetClose a whole portfolio while maintaining market neutral constraints.

jtrader33 · Dec 21, 2020

Have you checked out capitalise.ai or some of the third party autotrading apps listed on Alpaca's website? I don't know enough about them to say whether or not they'll do what you need, but definitely worth a look. I think they each have a few different brokers to choose from. I'd be interested in hearing what you find if you have the time to post back here.

cruisecontrol · Dec 21, 2020

I think I should have said "algorithmic execution" instead of algo trading. "Algo trading" seems to often be used as synonym for automated trading.

AFAICS the capitalise.ai and alpaca stuff is for basic automation and backtesting. I don't see anything about the standard order types like vwap, pov, close, arrival, etc.

cruisecontrol · Dec 21, 2020

I think I found something relevant:
https://www.dashfinancial.com/media...launches-advanced-portfolio-trading-solution/

The new PT algorithm leverages a proprietary multi-factor risk model, covariance matrix and optimization engine to automatically create trading waves that minimize the risk of the residual portfolio, subject to certain user-defined constraints around ADV, venue selection, benchmark, etc. The algorithm also allows for advanced cash management, providing the clients with the ability to seamlessly manage the spend/raise throughout the execution horizon with optimal, ratio, skew and beta-weighted selections.

The algorithm supports both implementation shortfall (arrival price) and interval VWAP benchmarks and provides flexibility around auctions, dark venue controls and relative limits (versus an ETF, for example). It also offers aggressiveness controls, providing the ability to complete by the close or execute over multiple day if preferred.
More...

cruisecontrol · Dec 22, 2020

another one:
https://www.tradewex.com/Home/Execution#algorithms

PORTFOLIO-X
Manages executions for basket or index components using Best-X logic and historical volume distributions. When executing baskets this approach strives to keep neutrality throughout the execution.
• Utilizes proprietary logic to work the order with minimal market impact and slippage.
• Time parameters can be set to as little as 1 minutes or the entire trading day.
More...

qlai · Dec 22, 2020

cruisecontrol said:
Most that I've seen (such as IB) only offer algos that work on each symbol individually.
More...

If I understand the info in provided links, they will use algos for individual symbols anyway, so I am not sure why you can’t do same with existing IB algos.

cruisecontrol · Dec 22, 2020

qlai said:
If I understand the info in provided links, they will use algos for individual symbols anyway, so I am not sure why you can’t do same with existing IB algos.
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Yeah, I don't think you are understanding the info How much do you know about portfolio theory? When trading portfolios or baskets, the trades in individual symbols need to have some synchronization between them so that various constraints on risk and funding are maintained during the rebalancing process. For example the first link talks about risk models and covariance matrices which makes no sense in the context of individual symbols. Second link is less explicit but mentions neutrality.