Apama Capital Markets Foundation Documentation : Algorithmic Trading Accelerator : Running the ATA Samples : Using Algorithmic Trading strategies : Percentage of Volume (POV) : Using the POV strategy
Using the POV strategy
The strategy relies on the average daily volume (ADV) being defined for each instrument used. To load ADVs into memory, click Load ADVs. The POV Data Loader dialog box appears.
You can load ADVs from a file. It is not essential to load ADVs, but if this step is skipped the user must specify the ADV for each strategy instance.(A sample file is provided to demonstrate the required format, but note that the sample values are not suitable for trading.)
To create a new strategy, click Create New Strategy Instance. The POV Order Creator dialog box appears.
Specify the following parameters:
The parent symbolset of the chosen symbol
The symbol to trade
Total Quantity
The total quantity of the POV order to be placed
Percentage to Trade
The percentage of the total quantity chosen to actually send to the market.
Child Order Interval
The duration of each clip
Random variation in seconds added to the child order interval.
Target % of ADV
The level of participation in the market; the strategy will not exceed this percentage of market volume.
Round Lot Size
The size of a round lot in the market; the strategy will quantise child orders at this granularity.
Max Child Order Size
(Optional) the maximum quantity to trade in a clip.
Max aggression
The aggression level at which to cap the used pricing models.
Order Type
Limit orders will not trade worse than the specified price, and will not work child orders up to market orders. As with any limit order, complete execution is not guaranteed.
Limit Price
Only applied to limit orders. Used to cap/floor child order prices, and to restrict which trades in market are counted for determining eligible volume.
Max eligible % of ADV
Trades over this percentage of the ADV will be excluded from the market quantity when determining the size of child orders. This is intended to remove from consideration trades that are large enough to distort the market, and the resultant effect that the strategy would place large child orders in the wake of such trades.
If set to 0, the system will use a pre-loaded ADV. If this is set to 0 and no ADV is loaded, the strategy will not trade and must be manually deleted after creation.
Start Time
Start hour/minute of the strategy, which should fall within the start and end time of the chosen volume curve
End Time
End hour/minute of the strategy, which should be after the start hour/minute and fall within the start and end time of the chosen volume curve.
When you change the value of a parameter, press Enter (while focus is on that field) to persist the change.
Click Create to save the parameters, and then click on its line on the page to run the strategy. Create as many strategies as you want.
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