1
$\begingroup$

Forgive me for any violations of posting rules, I’m new to this forum.

I’ve written an algorithm that checks the order book for the price point that would completely fill my entire available balance, and then runs it’s an analysis on that price point to determine if it is a signal to open an order.

I’ve been creeping up to larger and larger order volumes due to increasing balance and lately, my trade frequency has dropped down quite a bit. My theory is that because I’m getting into larger order volumes, the signals that would indicate an order should be opened are getting harder to come by at these high volume price points.

So I’m wondering how do people normally adjust how they manage trades at higher volumes? Should I just break down my large order into lots and open them in chunks until the signal is gone? If so, what methods are typically used to determine lot size?

$\endgroup$
2
  • $\begingroup$ See this answer here, it might help answer some of your questions. $\endgroup$ – Jan Stuller Jan 28 at 17:06
  • $\begingroup$ This is just a comment, but if you are in a thinly traded stock, could you have created a feedback loop by accident. Prices should, in part, be a function of the half-life of the time it would take to unload your order should someone assume the volume. Could another trader be anticipating your presence in the market? $\endgroup$ – Dave Harris Jan 29 at 5:41
2
$\begingroup$

Most institutional brokers, and certainly prime brokers, offer a range of automated execution strategies. You can check out the list of algos supported by IB to get started. The basic algos split large orders into smaller orders with randomized quantities executed at random intervals to reduce the impact and to avoid detection.

Also keep in mind that iceberg, IOCs and other orders are not displayed in the book which may understate the tradeable volume.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.