Algorithmic trading – monitoring and management

The rationale for algorithmic trading has always been to reduce the need for human input. By automating decision making, algos allow you to manage more order flow, react faster, and consistently execute your trading strategies. Modern algos are designed with a wide range of trading scenarios, allowing them to respond effectively to changing market conditions with minimal oversight. But it’s not always possible to predict all potential scenarios and requirements. There can be unplanned changes to the trading schedule, like suspensions and auctions. Client requirements might change, or a given algorithm might perform differently than expected. If human intervention is required, it’s needed quickly. Traders need access to data, analytics, and alerts to make informed decisions about when to intervene. They also need a range of tools to make the proper intervention.

At ION, we’re working on expanding our Algos suite and enhancing the Fidessa trading platform with a range of new tools designed to allow you to exercise greater control over your inflight strategies.

Monitoring

Visualization is a vital tool for algo monitoring. Tracking order progress in a chart lets you see whether an order is performing as expected. Fidessa has introduced a new Algo Dashboard tool to deliver visualization within your core trading platform. This allows you to monitor the trajectory of the order and see progress and projections for slices and fills.

Visualization gives you an effective overview of order progress, but you’ll likely need to take a closer look at key metrics. Fidessa has different types of monitors that can keep track of these measurements. If any of the measurements go over a certain limit, the monitors can automatically send alerts or act. For example, monitors can be set to:

• Check if the total order volume will likely be completed based on the expected traded volume in the remaining order duration.
• Check that slice entries/amends do not exceed a set number within a given time frame.
• Raise an alert if the current spread exceeds a set percentage of the average historical spread.
• Alert and pause an order if set messages are received on active slices.
• Monitors are crucial for algo management since they can quickly identify when key order progress metrics exceed expectations, enabling rapid and effective intervention.

Many algos can be configured to change their behavior throughout the trading day, considering different types of trading sessions. Fidessa makes it easy to view specific data, such as the total quantity projected and achieved in each session.

This data allows you to build a more accurate picture of how an order will likely perform throughout the different parts of the trading day and provides important context for decisions on whether to intervene manually.

Fidessa also includes alerts. These are used to flag critical issues, like changes in market behavior, or if the order cannot perform specific actions. When a breaking change happens and a strategy cannot execute, it’s important to intervene as quickly as possible. Alerts give you the tools to do that.

Intervention

The real advantage of effective monitoring is that it can enable quick intervention when necessary. Fidessa offers a range of intervention options, including temporarily pausing an order and permanently pulling it from the market. It also allows splitting volume from an algo order into a manual slice. This allows traders to manage volume directly where necessary without breaking the link to the parent algo order. A range of options are available when creating a manual slice, allowing you to respond to market events agilely and effectively.

Another way to achieve agility is through shortcuts and saved procedures. The Fidessa platform allows you to create custom versions of default strategies. For example, you might wish to create a version of the VWAP+ algorithm that never trades within the auction period. You can associate your custom strategies to shortcut buttons for quick access and share them with other users. This allows you to fine-tune your algo strategies to meet your exact requirements and rapidly deploy them when needed.

Conclusion

Monitoring tools are a key component of any algo platform to assess order performance and support manual intervention. Fidessa Algorithms integrates a range of different ways to enable effective monitoring. If you’d like to learn more about our algorithmic trading tools, contact us today to arrange a demo.