Dear Friends,
Its been quite a long time I have been here. Hope you all are doing good.
I am posting a new thread where I am look forward for discussion relating to Order Management System (OMS) methods deployed by seasoned traders. As a part of continuous improvement of our trading activities we are currently brainstorming on this subject.
At the onset let me make a disclosure that we process all our order and position size by automated system. This is not algo trading since decision making is manual i.e. entry, review (hold, add, reduce) and exit. Primarily the OMS is build on VWAP method and the order releasing system regulates the quantity depending upon the current price of the stock/index etc. e.g. once the position size is set by the system the orders are released at a desired frequency (say every 15 secs or 30 secs or 1 min etc) provided the price remains in the desired range (VWAP based controls). The orders are released till the set entry period based on the TF of the entire trade. Post the entry time expiry the OE system terminates its activity.
E.g.
Direction : Long
Total Size : 1000
Entry Time : 15 mins
Max Order Size : 25
Price Range for OMS : INR 1234 to INR 1235.50 (spread of INR 1.50)
Order releasing frequency : 15 secs
Order Type : Limit IOC (for Entry or Add), Market (for Reduce or Exit)
So you will see that though max quantity that can be executed in 15 mins @ 25 qty and @ 15 sec frequency is : 1500. This is 50% over the desired position size. But the actual executed quantity may be less than 1000 since all the parameters may not be fulfilled at every 15 secs.
Pls note that in the above example price range may also dynamically change based on VWAP price. Hence orders may not get triggered (which on helps you to not enter if the market goes against your direction within the entry time range.)
If any of you have been using any such OMS systems may share their ideas on this subject for discussion as we are trying to make OMS even more robust.
Regards,
Its been quite a long time I have been here. Hope you all are doing good.
I am posting a new thread where I am look forward for discussion relating to Order Management System (OMS) methods deployed by seasoned traders. As a part of continuous improvement of our trading activities we are currently brainstorming on this subject.
At the onset let me make a disclosure that we process all our order and position size by automated system. This is not algo trading since decision making is manual i.e. entry, review (hold, add, reduce) and exit. Primarily the OMS is build on VWAP method and the order releasing system regulates the quantity depending upon the current price of the stock/index etc. e.g. once the position size is set by the system the orders are released at a desired frequency (say every 15 secs or 30 secs or 1 min etc) provided the price remains in the desired range (VWAP based controls). The orders are released till the set entry period based on the TF of the entire trade. Post the entry time expiry the OE system terminates its activity.
E.g.
Direction : Long
Total Size : 1000
Entry Time : 15 mins
Max Order Size : 25
Price Range for OMS : INR 1234 to INR 1235.50 (spread of INR 1.50)
Order releasing frequency : 15 secs
Order Type : Limit IOC (for Entry or Add), Market (for Reduce or Exit)
So you will see that though max quantity that can be executed in 15 mins @ 25 qty and @ 15 sec frequency is : 1500. This is 50% over the desired position size. But the actual executed quantity may be less than 1000 since all the parameters may not be fulfilled at every 15 secs.
Pls note that in the above example price range may also dynamically change based on VWAP price. Hence orders may not get triggered (which on helps you to not enter if the market goes against your direction within the entry time range.)
If any of you have been using any such OMS systems may share their ideas on this subject for discussion as we are trying to make OMS even more robust.
Regards,