Algorithm Trading Strategies

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Algorithmic trading
Overview
Algorithmic trading is a process of executing orders using automated programed set of instructions with
various parameters like time, price, volume etc. or combinations of these parameters. The automated
execution enables leverage of computing resources, speed, accuracy versus the human manual
execution. In short Algorithmic trading is nothing but automated trading, using systems with predefined
trading strategies.

Algorithmic Trading Strategies Screen

Scope of the document

Averaging scalper - Accumulate and distribute in price steps
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Averaging Scalper : Accumulate and distribute in price steps

This is a Strategy designed for Investors who would like to do AVERAGING SCALPING.

The Customer input parameters are given as below :

 Symbol :RELIANCE 28 JUL 22

 NSE
 BUY / SELL
 Product :NORMAL (or INTRADAY)
 MAX. OPEN QUANTITY :500
 AVERAGING QUANTITY :250
 START TIME :12:31
 END TIME :12:55
 AVERAGE EXIT DIFFERENCE :₹ 1
 BUY DIRECTION : Down (or Up)
 AVERAGE ENTRY DIFFERENCE :₹ 2
 AVG START / AT MARKET
 AVERAGING START PRICE :₹ 2410

 The Customer has to decide start of the strategy with Buy OR Sell.
 Customer has to decide on BUY direction whether UP or Down.
 Customer has to decide on Max open quantity and Averaging quantity
 The Customer has an option to decide on Averaging start price of the selected Scrip OR to go
with prevailing Market price for Algo to kick in
 Customer has to specify the Entry difference and Exit difference for upward or downward
movement of market price which will determine the scalping threshold
 Algo execution starts once it reaches start time and the averaging start is reached.
 Algo engine will start sending the orders for execution with the averaging slicing quantity. Each
time it encounters the entry/exit difference in the price, it sends a slice for execution based on
the buy direction and the trigger price will be taken as reference point for the next order.
 The Algo execution will continue till either the End time crosses.
 Once the Max Open quantity is reached to the desired level on any direction, the Algo execution
will stop placing orders in this direction however will continue updating the reference points.
The Algo engine will send the order once the criteria for the other direction is met.
Please find the input screen for Averaging Scalper Algo on the next page followed by three different
scenarios to illustrate the working of the Algo.

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Averaging Scalper Input Screen

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Averaging Scalper -Scenario I

Scrip Name ITC

Start Price 250
Max Open Qty 300
Averaging Qty 20
Entry Diff. 5
Exit Diff. 10
Start With Buy
Buy Direction Down
Market Rate Ref. Point Buy/Sell Qty Next Entry Next Exit
260
250 250 255 240
245
240 240 B 20 245 230
242
245 245 S 20 250 235
252 250 S 20 255 240
255 255 S 20 260 245
260 260 S 20 265 250
255
248 250 B 20 255 240
258
255 255 S 20 260 245
265 265 S 40 270 255

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Averaging Scalper -Scenario II

Scrip Name ITC

Limit 250
Max Open Qty 300
Averaging Qty 20
Entry Diff 5
Exit Diff 10
Start With Buy
Buy Direction Up
Market Rate Ref Point Buy/Sell Qty Next Entry Next Exit
260
250 250 255 240
245
240 240 245 230
242
245 245 B 20 250 235
252 250 B 20 255 240
255 255 B 20 260 245
260 260 B 20 265 250
255
248 250 S 20 255 240
258
255 255 B 20 260 245
265 265 B 40 270 255

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Averaging Scalper -Scenario III

Scrip Name ITC

Limit 250
Max Open Qty 300
Averaging Qty 20
Entry Diff 5
Exit Diff 10
Start With Sell
Buy Direction Down
Market Rate Ref Point Buy/Sell Qty Next Entry Next Exit
260
250 250 255 240
245
240 240 245 230
242
245 245 S 20 250 235
252 250 S 20 255 240
255 255 S 20 260 245
260 260 S 20 265 250
255
248 250 B 20 255 240
258
255 255 S 20 260 245
265 265 S 40 270 255

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Strategy Execution Workflow

 Once the Algo parameters are given as input, click on ‘Start’ will take the Algo to ‘Awaiting’
status
 Once the Start time is reached, the first slice order execution of the respective Algo will start
 Once the execution starts, the Algo will move from “Awaiting” status to “Running" status
 Once the orders sent for execution = Total Quantity OR the End time condition is met, the
respective Algo execution will reach to ‘Finished’ state.
 Customer will have the option to “Stop” or “Pause” the running Algo based on the current stage
it is
 Customer will have the option to ‘Stop All’ running Algos at any point of time
 All the stopped Algos will be moved to ‘Finished’ status
 Customer will have option to ‘Clone’ Algo(s) from ‘Finished’ status, where in existing parameters
will be brought forward, changes will be allowed and once confirmed, the new cloned Algo will
move to ‘Awaiting’ status

Based on the current status of the Trading strategy, the respective strategy will appear under one of the
Strategy Tabs viz. Awaited, Running and Finished as illustrated in the screenshot below :

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Strategy Status Listing

The description of the Trading strategies listing tabs based on the current status of the Algo :

Awaited Tab
This will list all the Trading strategies in state ‘Pause’ OR ‘Start’
Start – Strategy where start time is yet to reach
Pause – Strategy which started execution, however manually stopped in between

Running Tab
This will list all the Trading strategies where execution in started and stat is Active

Finished Tab
This will list all the Trading strategies in state ‘Completed’ OR ‘Stopped’
Completed – Execution is completed and all the slice orders are sent for execution
Stopped – Execution is stopped in between by manual intervention

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Functions of ‘?’, ‘+’, ‘Modify’, ‘Pause’, ‘Restart’, ‘Stop’, ‘Clone’ buttons and ‘Stop All’ icon :

? – Question Mark (Help)

This is given to get the help on Algo working. The help provided covers strategies, input screen for each
strategy and details of fields on each input screen.

Plus + Button
The + button on the Strategy Status screen will enable the Customer to add the new trading strategy

Stop button
The Stop button will enable the Customer to stop the Running / Active strategy to ‘Stop’ and move it to
Finished Tab.

Modify button
The Modify button will allow the Customer to modify subject to 1. The Algo is Paued OR the Algo
execution is yet to start

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Pause button
The Pause button will enable the Customer to Pause the Running / Active strategy to ‘Pause’ till further
action

Restart button
The Restart button will allow the Customer to continue the execution of Paused Algo from where it was

Clone button
The Clone button will enable the Customer to create new Algo with existing parameters of stopped Algo,
modify the parameters if required and start the Algo. The cloned Algo will appear under Awaiting tab

StopAll icon
The Stop All icon (Red) on the Strategy Status screen will enable the Customer to stop all the Running /
Active strategies to ‘STOP’ at once and move to Finished Tab.

Orders / Trade Book

All the orders sent for execution will apeear under either ‘Pending’ OR ‘Executed’ page of Orders Tab in
the App. On click of the executed order, the pop up with details of the order which includes Exchange
order no., Order price, Qty etc. will be displacyed.

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Screenshot of ‘Stop All’ dialogue box :

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