General Parameters in Auto Trading
The parameters in auto trading allow strong control over market risk and strategy risk. Apart from regular order parameters like scrip, quantity, price etc., the auto trading system has following general parameters which makes life easy for traders.
Any orders are not sent to market even if the decision logic generates buy/sell signal before Start Time.
At end time, all positions are squared off and all open orders automatically cancelled. Any orders are not sent to market even if the decision logic generates buy/sell signal after end time
Max Postion Quantity or Max Exposure:
Limits the maximum exposure which an strategy can take in market. Example: if order quantity is set at 100 and maximum position quantity is also 100, the ATS will discard any consecutive Buy signals which may increase strategy position to more than max limit. Some software also allow the facility to set maximum exposure in terms of rupees.
Max Order Quantity:
Overrides the order quantity by decision logic to protect against erratic strategy signals.
Strategy does not accepts any fresh buy/sell signal if specified turnover limit is reached
Max Loss (per position/scrip/strategy/day)
Sets a maximum loss limit for risk management
Profit Target (per position/scrip/strategy/day)
Sets the profit at which position will be squared off or strategy will be stopped
Allows only Long or only Short trades to be taken irrespective of the signals received from decision logic (example a charting application)
If set to 100% and current time is near market closing the system adjusts itself to trade aggressively so that 100% quantity gets filled before market closes
Possible values are “Passive”, “Aggressive” or “Neutral”. If aggressive option is set then system trades aggressively to fill required order quantity.
Note that these parameters in auto trading allow complete control over the order management and risk/reward of a strategy.
SEBI Broad Guidelines on Algorithmic Trading, dated May 21, 2013. Read here
SEBI Broad Guidelines on Algorithmic Trading, dated March 30, 2012. Read here