Apama Capital Markets Foundation Documentation : Algorithmic Trading Accelerator : Running the ATA Samples : Using Algorithmic Trading strategies : Time Weighted Average Price (TWAP) : Using the TWAP strategy
Using the TWAP 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 TWAP 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 TWAP Order Creator dialog box appears.
You can choose to limit total trades to a specified percentage of the average daily volume. To do so, the ADV must first be loaded from a CSV file via the Load ADVs dialog. Once this is done, or if volume limiting is not to be used, click the Create New Strategy Instance button to launch a strategy creation dialog, and then enter values for the TWAP parameters:
Symbol Set
The parent symbolset of the chosen symbol.
The symbol to trade.
Total Quantity
The total quantity of the TWAP order to be placed.
Slice Interval Size
The interval size for slices in units of minutes.
Subslicing Frequency
The interval size for subslices in units of seconds (not a true frequency; nomenclature derives from a specification document).
Volume Curve Name
The name of the volume curve to be used for determining the slice quantities Child Order Interval.
Round Lot Size
The quantity by which orders and the total quantity should be rounded.
Max Aggression
The aggression level at which to cap the used pricing models.
Percent to Trade
The percentage of the total quantity chosen to actually send to the market.
Max % of ADV
The percentage of the average daily volume (ADV) at which to cap the total quantity. (Optional, defaults to 100%)
Random variation in seconds added to the subslicing frequency.
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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