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DnB Algorithmic Trading Workshop

DnB Algorithmic Trading Workshop

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Published by mhtrade

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Published by: mhtrade on Mar 04, 2012
Copyright:Attribution Non-commercial

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07/14/2013

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•In design

–Market direction, net rupee risks / Market direction neutral
–Single sector exposure risks (< y% of the portfolio)
–Single stock exposure (< x% of the portfolio)

•During execution

–Design to take order book (bid and ask) into account
–Caps on daily turnover in the system
–Caps on single trade max rupee value to be executed
–Caps on number of trades in a day
–System should handle power failure and software crash

•When live

–Live monitoring by the IT people on connectivity, re-start etc.
–Switch-on and Switch-off during rare market circumstances

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