Andreas Park PRO
Professor of Finance at UofT
Coding basics:
Flow charts
Why flow charts?
- thinking ahead:
- develop the logic of your code
- catch logic flaws early
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: Flow charts
By Andreas Park
MGT435: Flow charts
A very brief intro to flow charts and how they can help you organize your code
