Your SlideShare is downloading. ×
ETF Product Sheet
Upcoming SlideShare
Loading in...5
×

Thanks for flagging this SlideShare!

Oops! An error has occurred.

×

Saving this for later?

Get the SlideShare app to save on your phone or tablet. Read anywhere, anytime - even offline.

Text the download link to your phone

Standard text messaging rates apply

ETF Product Sheet

221
views

Published on


0 Comments
0 Likes
Statistics
Notes
  • Be the first to comment

  • Be the first to like this

No Downloads
Views
Total Views
221
On Slideshare
0
From Embeds
0
Number of Embeds
0
Actions
Shares
0
Downloads
4
Comments
0
Likes
0
Embeds 0
No embeds

Report content
Flagged as inappropriate Flag as inappropriate
Flag as inappropriate

Select your reason for flagging this presentation as inappropriate.

Cancel
No notes for slide

Transcript

  • 1. ORC TRADING – ETFAQ Liquidator strategy for mass quoting ETF’s ETFAQ LIQUIDATOR STRATEGY FOR MASS QUOTING ETF’S ETFAQ is a Java based mass quoting strategy developed for low-latency performance in high frequency markets. It is fully integrated with the Orc Trader and both mimics and extends the existing functionality available in the Auto Trader. Key features of the strategy are: • Fully integrated with Orc Trader and operated from normal Trading Window • Handles constituents’ different open/closed hours automatically by adding performance from correlating indices. • All parameters/settings are automatically picked up on startup from server which enables extensive integration • Easily integrated with automatic basket definition handling • Extensive safety settings and exception handling gives greater transparency • Manages high frequency updates from both constituents and FX in low-latency calculations • Easy to add more features • Parameters can be updated during runtime • Automatic hedging • Java based Starting and running the strategy The strategy is started on a per ETF basis and put in to the market by toggling the ‘a-flag’ column. Once active, it is easy to change both quoting and pricing parameters. The ‘Th.Q.bid’ and ‘Th.Q.ask’ columns display levels at which the ETFAQ would enter the market, these values in their simplest form are controlled by offsets from your theoretical price. Once the correct price is acquired the ‘M-flag’ on contract level is toggled to put the prices in to the market. See below:
  • 2. ORC TRADING – ETFAQ Liquidator strategy for mass quoting ETF’s Settings The strategy holds bespoke logic for dealing with ETFs with constituents spread over multiple markets or markets with special opening hours. In the case that one or more components of the underlying index is non active (e.g. halted, closed, suspended, non open market) it is possible to “snap” the component’s price at a given point in time. It is then possible to add performance from another instrument (index) during the component’s inactive phase to get the Fair Value and - when the component goes back into normal phase - switch back. These behaviors are fully customizable and automated and thus require very little management. ETFAQ is configured on four different levels, for each quoted ETF: 1. Pricing file (located on the server) – holds pricing parameters and logic 2. Components file (located on the server) – holds component group membership settings 3. Groups file (located on the server) – holds snap settings and logic 4. Client settings (GUI) – manually adjusted pricing, quoting and hedging settings Views This view displays performance that is being added to each group of components (they are usually grouped by exchange segment and currency). This view displays the hedging status. If any hedge orders are not hit with the hedging logic played out its role, they will be displayed as hung. User is also able to customize how to react in those cases, i.e. worsen price x number of ticks every y number of seconds during z amount of time.