Percentage of Volume - AlgoJi

The Percentage of Volume (POV), also called as Participation Rate, is a simple strategy which executes the order quantity as percentage of trade volume of the stock in a given time interval.

Example: “Be 10% of volume”- Buy 100,000 shares at %Volume of 10 and not exceeding the price of 125.20 until order completed or market closed.

When & Why to chose POV?

  1. When executing large orders in a given time window
  2. When the trader is satisfied with current & expected market price (POV executes close to market price)
  3. To execute an order totally without limitations on the price band- POV executes close to the market-determined prices
  4. To execute close to the market price, the strategy may use a predictive algo to decide the next order quantity and price
  5. To minimize the market impact by not executing large volume too quickly
  6. POV may execute at market price to keep up with stock turnover, so be careful to specify a price band

Strategy Parameters:

(Given below are some general parameters to help you decide what is essential for you; the actual strategy parameters will depend upon your broker)

Start Time: Any orders are not sent to market even if the decision logic generates buy/sell signal before Start Time.

End Time: All open orders are completed before End Time irrespective of the market impact

%Volume: The strategy automatically adjusts the participation rate to limit it to the percentage of stocks total traded volume. Example, if the stock trades 100,000 shares in one minute and %Volume is 10, the strategy will trade 10,000 shares in the same minute.

Price Brand: The desired price band for the average traded price. If market moves beyond the price band limit, the order will not be completely executed

Reference Price: A given price which the strategy will try to better in execution

Free Webinar Series on Algorithmic Trading

29th May | From Concept to Automation – 9 Trading Strategies
30th May | Algorithmic Trading using Machine Learning in Python
31st May | Kickstart Guide to Algorithmic Trading
1st June | Algorithmic Trading Using Amibroker and MTv3