Manage your Trading Risk
Global Sales Trader
Algorithmic trading (i.e. Algo Trading) is one of the many techniques widely used by institutional investors. It is popular on the professional level because the program-driven logic can execute orders and generate profits at a speed and frequency that is beyond human’s physical limit. At Saxo, we enable all our clients to trade like a sophisticated professional but with easy to understand interface. Starting this week, we go over different common algo strategies one by one, with an aim to share our knowledge with common users.
Implementation Shortfall aims to optimize the execution duration to minimize the combination of price impact and the risk of potential price movement. The optimization considers the current market price and stock-specific trading characteristics (e.g. liquidity) as well as the size of the order. The order is executed in line with the expected volume profile. Higher urgency trade faster at the beginning to maximize liquidity capture at the current price, whereas low urgency will prioritize to minimize market impact while undertaking higher execution risk.
Parameters to consider
Limit Price (Optional):
Strategy can be used both at market level or with a specified limit price
Start / End Time (Optional):
If not specified, start and end times are by default set to market open and market close, respectively. Start and end times are defined in local exchange time.
Max Participation Rate (Recommended):
Ability to place constraint on the maximum percentage of trade volume in which the order should participate. This parameter can protect the user from overly exposed in the market when order size is large compared to market level.
In Open / In Close Auction (Optional):
The user can decide whether to participate in opening and/or closing auctions. If not specified these are by default set to include auctions.
I Would Price (Optional):
Attempts to complete or trade up to the price specified. Within this price the order can be up to 100% of trade volume.
Urgency Selections offer High, Medium and Low. Based on the urgency chosen the algorithm determines the optimal trading horizon. Higher urgency trade faster at the beginning to maximize liquidity capture at the current price, whereas low urgency will prioritize to minimize market impact while undertaking higher execution risk.
Latest Market Insights
Outrageous Predictions 2023: The War Economy
- The constantly growing global need for energy drives the world's richest to huddle up and launch a R&D project in a size the world hasn't seen since the Manhattan Project gave the US the first atomic bomb.
French President Macron resignsThe political stalemate in France and the rise of Marie Le Pen following the 2022 elections corners President Macron, forcing him to give up on politics and resign from his position. At least for now.
Gold rockets to USD 3,000 as central banks fail on inflation mandateAs markets and central banks realise that the idea that inflation is transitory is wrong, and that prices will remain higher for longer, gold is sent through the roof, hitting a price tag of USD 3,000
EU Army forces EU down path to full unionWith continued challenges in the region and a US military that isn't aggressively enacting its former role as global policeman, the European Union agrees to create its own armed forces, bringing the whole region closer.
A country agrees to ban all meat production by 2030In an effort to become one of the global leaders on the path to net-zero emissions, one country decides to not only put a heavy tax on meat, but to ban domestic production entirely.
UK holds UnBrexit referendumFollowing a recession and domestic pressure, the United Kingdom is thrown into political turmoil that will end with a vote to wind back Brexit.
Widespread price controls are introduced to cap official inflationHistory tells us that with the war economy comes rationing and price controls. And this time is no different, as policymakers introduce strict price controls that lead to a range of unintended consequences.
OPEC+ & Chindia walk out of the IMF, agree to trade with new reserve assetSanctions against Russia have caused widespread turmoil due to US Dollar moves in countries across the globe that don't consider the US an ally. To relieve themselves from this, they leave the IMF and create a new reserve asset.
USDJPY fixed to the USD at 200 as Japan overhauls financial systemFollowing the challenges that faced the Japanese Yen in 2022, the Bank of Japan attempts to keep the currency from sliding. Unsuccessful on the long-term, Japan will launch a reset of its entire financial system.
Tax haven ban kills private equityWith the war economy comes an increased focus on national interests and sovereign nations' ability to assert themselves. In that regard, the OECD countries turn their attention on tax havens and pull the big guns out, banning them altogether.