Trading Case: AT2

The quick and dirty on AT2

New symbol?

What's different about the stock?

 

Yes, MC

  • low volume (1M per day)
  • something something price may go up or down

Anything you have to do differently?
 

  1. Yes: watch your price impact.
  2. Use marketable limit orders.

you will receive notification of whether you are to buy or sell a position

What's a marketable limit order?

13,000 share buy order

Option 1: market order

pay: 

  • 5,000 x 10.00
  • 3,000 x 10.03
  • 2,000 x 10.07
  • 3,000 x 10.42

Option 2: marketable limit order at $10.10

pay: 

  • 5,000 x 10.00
  • 3,000 x 10.03
  • 2,000 x 10.07
  • wait for 3,000 at $10.10
bid depth bid price offer price offer depth
1000 9.98 10.00 5000
4000 9.95 10.03 3000
4500 9.90 10.07 2000
10000 9.88 10.42 18000
15000 9.84 10.45 25000
bid depth bid price offer price offer depth
3000 10.10 10.42 18000
1000 9.98 10.45 25000
4000 9.95
4500 9.90
10000 9.88
15000 9.84

Limit orders in RIT

how many shares will you trade

price relative to where you click

  • 0 = same price as where you click

  • 5 = 5 cents "better" than where you clicked

Questions for breakout

  • Your cost vs. average market cost?

  • Your strategy?

  • Impact of low liquidity?

  • Limit vs. market orders?

  • Info from order book?

Evaluation guideline

  • Within 15 cents of VWAP Very Good

  • Within 20 cents of VWAP Good

  • Within 25 cents of VWAP Average

  • Within 30 cents of VWAP Needs improvement

  • More than 30 cents from VWAP Improper execution

MGT435: AT2

By Andreas Park

MGT435: AT2

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