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algo_buy explained & benchmarks

pp794378pp794378 Posts: 19
in Under The Hood

Some info on how algo_buy/sell works? How is it better than vwap?

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Comments

  • ptunneyptunney Posts: 246

    Algo buy/sell uses the simplest logic to attempt to emulate the fill of a particular order type "MKT/LMT/etc" (based up on the latencies entered).
    VWAP is a software simulation of a typical VWAP algo on common trading systems.

  • pp794378pp794378 Posts: 19

    Are there any sophisticated execution algos? For example, if I am going to trade a stock with a wide spread, I definitely do not want to execute MKT.

  • ptunneyptunney Posts: 246

    You can execute a limit order. We do not code algos for you, nor do we try to simulate the interactions of some of the algos provided by third parties. If you know you are trading a stock with a wide spread then devise your own trading algorithm. You can flag a symbol to be traded then on each NBBO or Trade you can chose whether or not to submit an order at that time. Obviously you are attempting to trade intraday and in stocks that are either moving fast, volatile or very thin. How you approach each is quite different. I have a number of models that execute on rapidly moving symbols. The spread obviously expands at this time but I want in regardless and I will write a script to execute accordingly. If I was making a longer play I may use the TWAP/VWAP or my own version.

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