Program Trading

Anyone know when trading programs start shooting down orders? And what does "Buy Threshold" and "Sell Threshold" mean?

I think I saw program traders today by the close.

 

Were they wearing white hats?

 

You'll see program trading orders ALL the time, half of all trading volume is done by the programs. So what you saw very well could have been programs, but that's like asking if you saw a tree while standing in the middle of a forest. Most programs aren't super strong, only lasting a few minutes, while others last a good portion of the day.

Buy threshold is when the premium is statistically too high against fair value and will MOST LIKELY trigger programs to arb the spread, sell the futures and buy the cash. The sell threshold is the exact opposite.

hope this helps

 

From time to time, for NY stocks, it goes as high as 70% of the volume is program trade.

Lawrence

 

You can usually spot P/T when they start taking the offer on high cap stocks and the spoos spikes

 

Actually I think most people confuse "program trading." There are two kinds of program trading, but probably one is far more important than the other to intraday traders:

1) VWAP and TWAP programs
2) Index Arb programs

I think the NYSE categorizes both as under "program trading," but most people on ET are only interested in the second one, which accounts for waaaaaaaaaaay less than 50% of the total volume.

nitro

 

look at www.indexarb.com they spell it out in easy to read english...

 

Did the "Buy Threshold" activate that strong buying in the afternoon?

 

very nice.

DOH! but then they add:

so is it gone or staying?

either way, thx for the link chiguy.

very interesting ...

take care -

omni