Welcome to Scribd, the world's digital library. Read, publish, and share books and documents. See more
Download
Standard view
Full view
of .
Look up keyword
Like this
1Activity
0 of .
Results for:
No results containing your search query
P. 1
Final-Issues Concerning Algorithmic Trading in India

Final-Issues Concerning Algorithmic Trading in India

Ratings: (0)|Views: 30|Likes:
Published by prasadpatankar9

More info:

Published by: prasadpatankar9 on Aug 07, 2012
Copyright:Attribution Non-commercial

Availability:

Read on Scribd mobile: iPhone, iPad and Android.
download as PDF, TXT or read online from Scribd
See more
See less

08/07/2012

pdf

text

original

 
Chapter
 
1
 
Algorithm
 
Trading
 
Definition
 
and
 
type
 
of 
 
algorithm
 
trading
 
Algorithm
 
trading
 
refers
 
to
 
automated
 
trading
 
based
 
on
 
algorithm.
 
The
 
purpose
 
of 
 
using
 
automatic
 
trading
 
is
 
to
 
analyze
 
price
 
and
 
market
 
conditions
 
in
 
order
 
to
 
trade
 
at
 
the
 
minimum
 
cost
 
based
 
on
 
the
 
relevant
 
algorithm
 
method.
 
Algorithmic
 
Trading
 
can
 
be
 
defined
 
as
 
the
 
use
 
of 
 
computer
 
programs
 
for
 
entering
 
trading
 
orders
 
where
 
the
 
computer
 
algorithm
 
decides
 
on
 
aspects
 
of 
 
the
 
trade
 
execution
 
such
 
as
 
the
 
timing,
 
price,
 
or
 
quantity
 
of 
 
the
 
order.
 
Algorithm
 
Trading
 
is
 
also
 
known
 
as
 
automated
 
trading,
 
algo
 
trading,
 
black
box
 
trading
 
or
 
robo
 
trading.
 
Algorithms
 
dynamically
 
monitor
 
market
 
conditions
 
across
 
different
 
securities
 
and
 
trading
 
venues
 
to
 
make
 
the
 
trade
 
execution
 
decision.
 
Algorithmic
 
trading
 
(AT)
 
is
 
more
 
complex
 
than
 
electronic
 
trading
 
and
 
it
 
encompasses
 
many
 
form
 
of 
 
computer
aided
 
trading
 
including
 
High
 
Frequency
 
Trading.
 
Algorithmic
 
Trading
 
is
 
widely
 
used
 
by
 
pension
 
funds,
 
mutual
 
funds,
 
and
 
other
 
buy
 
side
 
(investor
 
driven)
 
institutional
 
traders,
 
to
 
divide
 
large
 
trades
 
into
 
several
 
smaller
 
trades
 
in
 
order
 
to
 
manage
 
market
 
impact,
 
and
 
risk.
 
In
 
fact,
 
algorithms
 
were
 
originally
 
developed
 
for
 
use
 
by
 
the
 
buy
side
 
to
 
manage
 
orders
 
and
 
to
 
reduce
 
market
 
impact
 
by
 
optimising
 
trade
 
execution
 
once
 
the
 
buy
and
 
sell
 
decisions
 
had
 
been
 
made
 
elsewhere.
 
Sell
 
side
 
traders,
 
such
 
as
 
market
 
makers
 
and
 
some
 
hedge
 
funds,
 
provide
 
liquidity
 
to
 
the
 
market
 
by
 
generating
 
and
 
executing
 
orders
 
automatically
 
with
 
the
 
help
 
of 
 
algorithms.
 
Algorithm
 
Trading
 
is
 
broadly
 
categorised
 
into
 
High
 
frequency
 
trading,
 
Basket
 
Trading,
 
Multi
 
Exchange
 
trading
 
and
 
other
 
category.
 
Basket
 
Trading
 
(Program
 
trading)
 
is
 
generally
 
used
 
for
 
stock
 
basket
 
trading.
 
Multi
exchange
 
trading
 
is
 
trading
 
a
 
product
 
across
 
different
 
exchanges
 
using
 
computer
 
algorithm.
 
Multi
 
exchange
 
trading
 
is
 
facilitated
 
by
 
Smart
 
Order
 
Routing
 
algorithms.
 
Smart
 
order
 
routing
 
is
 
a
 
technique
 
of 
 
using
 
the
 
close
 
correlation
 
of 
 
major
 
exchanges
 
and
 
cross
listing
 
of 
 
a
 
company—i.e.,
 
placing
 
orders
 
on
 
an
 
exchange
 
where
 
the
 
most
 
favourable
 
conditions
 
are
 
seen.
 
In
 
India,
 
SEBI
 
allowed
 
use
 
of 
 
Smart
 
Order
 
routing
 
in
 
August
 
2010
 
and
 
currently
 
it
 
is
 
operational
 
in
 
both
 
Capital
 
Market
 
as
 
well
 
as
 
Currency
 
Derivative
 
Segment
 
Other
 
category
 
hereto
 
referred
 
as
 
Algorithm
 
Trading
 
/
 
Algorithmic
 
Trading/AT
 
interchangeably,
 
refers
 
to
 
any
 
and
 
all
 
kind
 
of 
 
computer
 
aided
 
trading
 
which
 
does
 
not
 
fall
 
under
 
first
 
three
 
categories.
 
Algorithm
 
trading
 
focuses
 
on
 
minimizing
 
the
 
market
 
impact
 
by
 
splitting
 
trades.
 
Algorithm
 
trading
 
was
 
originally
 
developed
 
as
 
an
 
order
 
placement
 
system
 
for
 
the
 
purpose
 
of 
 
minimizing
 
trading
 
cost,
 
but
 
it
 
is
 
now
 
being
 
used
 
as
 
an
 
overall
 
term
 
to
 
describe
 
its
 
strategy
 
and
 
process.
 
 
 
Strategies
 
or
 
algorithms
 
used
 
by
 
the
 
computer
 
to
 
automate
 
(enter,
 
modify
 
or
 
cancel)
 
trade
 
orders
 
are
 
called
 
algorithmic
 
trading
 
strategies
 
and
 
they
 
are
 
broadly
 
classified
 
as
 
execution
 
strategies,
 
profit
 
seeking
 
strategies
 
(Alpha
 
strategies)
 
and
 
arbitrage
 
strategies.
 
 
Arbitrage
 
strategies
 
 
Alpha
 
Seeking
 
strategies
 
 
Execution
 
strategies
 
Algorithm
 
trading
 
is
 
widely
 
used
 
among
 
institutional
 
investors
 
like
 
pension
 
funds
 
and
 
investment
 
companies
 
because
 
cost
 
can
 
be
 
saved
 
through
 
bulk
 
orders,
 
reducing
 
the
 
impact
 
on
 
the
 
market
 
and
 
preventing
 
the
 
exposure
 
of 
 
trading
 
information.
 
Algorithm
 
trading
 
also
 
helps
 
reduce
 
trading
 
cost.
 
The
 
most
 
common
 
types
 
of 
 
execution
 
algorithm
 
are
 
VWAP
 
and
 
TWAP.
 
VWAP
 
splits
 
order
 
volume
 
based
 
on
 
historical
 
data.
 
TWAP
 
splits
 
order
 
over
 
time.
 
The
 
market
 
participation
 
strategy
 
is
 
manipulating
 
trading
 
volume
 
so
 
that
 
specific
 
orders
 
do
 
not
 
account
 
for
 
a
 
significant
 
part
 
of 
 
total
 
trading
 
volume
 
on
 
the
 
market.
 
On
 
the
 
other
 
hand,
 
the
 
inline
 
strategy
 
is
 
manipulating
 
orders
 
or
 
prices
 
so
 
that
 
they
 
do
 
not
 
surpass
 
a
 
limit
 
price.
 
Algorithm
 
TradingHigh
 
Frequency
 
TradingBasket
 
Trading
 
(Programm
 
Trading)MultiExchange
 
Trading
 
(Trading
 
using
 
SOR)Other
 
Algorithmic
 
Trading
 
 
What
 
arBuy
side
securitieproprietBuy
 
side
 
firms
 
pamoveme
Sell
side
 
the
 
ordemost
 
coSell
 
side
 
required
 
Sell
 
side
 
and
 
the
 
Arbit
DeltNuetEvent
 
BArbitr
 
Buy
side
 
fi
 
firms
 
refer
 
s.
 
Private
 
eqry
 
trading
 
firms
 
usuallticipate
 
in
 
ants.
 
firms
 
refersrs
 
by
 
slicing
 
mon
 
exambrokerages
 
to
 
be
 
markfirms
 
profit
 
id
offer
 
sp
age
 
strat
 
alStaArsed
 
ge
rms
 
and
 
Se
to
 
institutiouity
 
funds,
 
esks
 
are
 
thy
 
take
 
spec
 
smaller
 
nu
 
to
 
institutithen
 
into
 
sples
 
of 
 
sell
are
 
registert
 
makers
 
infrom
 
Comead.
 
 
egies
tistical
 
itrage
ll
side
 
firms
ns
 
concernemutual
 
fun
 
most
 
comlative
 
positber
 
of 
 
ovens
 
that
 
takall
 
orders.
 
ide
 
firms.
 
d
 
member
 
a
 
given
 
secission
 
(brok
Alpha
 
Stra
Directional
 
Trading
 
StrategiesScalping
 
Strategies
?
 
d
 
with
 
buyis,
 
unit
 
truston
 
types
 
oions
 
or
 
makrall
 
transact
 
orders
 
froBrokerage
 
fi
 
of 
 
a
 
stock
 
urity.
 
erage),
 
advi
 
 
Seeking
 
tegies
Mean
 
RevesioStrategiDark
 
LiquiditSeekinStrategi
ng,
 
rather
 
ts,
 
hedge
 
fu
 
buy
 
side
 
e
 
relative
 
vaions,
 
and
 
ai
 
buy
 
side
 
irms
 
and
 
Mxchange,
 
asory
 
fee
 
cha
n
 
sy
 
s
Ex
Benalg
(
 
VImpleon
 
SParti(%
 
VTargTWAan
 
selling,
 
ds,
 
pensionntities.
 
lue
 
trades.
 
m
 
to
 
profit
 
irms
 
and
 
thrket
 
makinnd
 
sometimrged
 
to
 
buy
 
ost
 
Redcution
 
S
hmark
 
rithms
WAP,
 
mentatihortfall,
 
ipation
 
olume),
 
t
 
Close,
 
,
 
InLine,
 
tc)ssets
 
or
 
funds,
 
and
 
Buy
 
side
 
rom
 
marketn
 
"work"
 
firms
 
are
 
es
 
they
 
are
 
side
 
firm
 
ction
 
/
 
trategies
Liquidity
 
seeking
 
algorithm
(CrossFireHunt,
 
Icebeetc)
 
 
,
 
rg,
 

You're Reading a Free Preview

Download
scribd
/*********** DO NOT ALTER ANYTHING BELOW THIS LINE ! ************/ var s_code=s.t();if(s_code)document.write(s_code)//-->