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ETF Product Sheet

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  • 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 • Extensive safety settings and exception from normal Trading Window handling gives greater transparency • Handles constituents’ different open/closed • Manages high frequency updates from both hours automatically by adding performance constituents and FX in low-latency calculations from correlating indices. • Easy to add more features • All parameters/settings are automatically • Parameters can be updated during runtime picked up on startup from server which • Automatic hedging enables extensive integration • Java based • Easily integrated with automatic basket definition handling 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.