Andreas Park PRO
Professor of Finance at UofT
Automating AT1
The quick and dirty on LT3
New symbol?
Two of them: CRZY & TAME
What do you have to do?
- You receive tender offers to buy or sell the stocks
- Simple decision rule: accept if and only if you can unload it immediately for a profit
What does that mean computationally?
- Buying via the tender and selling with a market order (that will "walk the book") is profitable
The quick and dirty on LT3
Main tasks
- Extract the right information from RIT
- Tender offer
- state of the order book
- Design decision rule
- When is it profitable
- Set order and acceptance to RIT
Components of flow charts
Start
Stop
Comment
Process
no
yes
input/output
Example: VWAP coding
- Our task: trade 50,000 shares according to a volume distribution
- Step 1: Determine Volume distribution
- Step 2: Decide what to trade when
- Step 3: Write a code that submits trades for you
Example: VWAP coding
- Submit an order
- of a specific size
- during a specific time interval
Fundamentally, what does the code have to do?
Example 1: VWAP coding FlowChart
Start
Loop through 39 trades; counter \(i\)
Submit the trade for interval \(i\)
Loop through the day
- 300 seconds represent 6.5 hours
- \(\Rightarrow\) 7.7 seconds \(=\) 10 minutes
- \(\Rightarrow\) submit a trade every 7.7 seconds
- \(\Rightarrow\) use an internal time of sorts
Wait for 7.7 seconds
Stop
Example 2: VWAP coding FlowChart
Start
Stop
Set starting interval
no
yes
is
0<time<300?
is
time \(\in\)
interval?
Submit order for that interval
yes
Increase interval
no
MGT435: Automating LT3
By Andreas Park
MGT435: Automating LT3
We apply flow charts to LT3
