Execution Algorithms

[steven fastuca]

Can you explain how PTL trade executes the pairs?

Does it only enter / exit a pair when it can get the trigger spread price all at 1 price for each stock?

I see sometimes in IB that it will execute 1 side and then the other side is sort of hung until the market fills that order. does the PTL trade automatically adjust the order in IB so that it says resting on the inside market bid or ask?

I know there is some type of "all or nothing" spread order within interactive brokers, is PTL trade using this?

Is there a way to route the Spread "AllorNothing" orders to dark pools?

last question, did you guys build PTL trader inhouse or did you build it on a base platform?

[admin]

Can you explain how PTL trade executes the pairs?

In a very simple way. If entry conditions are passed (using last-bid-ask prices), it justs sends market order for each leg (in parallel - not in sequence). If the short market order is not filled within some time limit (or it is held), it will close the long position.

This is sufficient for retail traders (we see the slippage stats).

For customers who want to trade larger positions and want more sophisticated execution, we have a partner company providing smarter executions via their platform.

We want to implement smarter algos to PTL Trader as well, but this is not a priority for near future (we focus to the analytic tools for now).

I see sometimes in IB that it will execute 1 side and then the other side is sort of hung until the market fills that order. does the PTL trade automatically adjust the order in IB so that it says resting on the inside market bid or ask?

This is only because filling each leg takes different amount of time. If you trade equities with sufficient equity volume, usually both legs are completely filled within two seconds.

I know there is some type of "all or nothing" spread order within interactive brokers, is PTL trade using this?

No, it is not.

Is there a way to route the Spread "AllorNothing" orders to dark pools?

Currently we use IB's SMART routing everywhere. We are open to discussion of introducing ability to setup custom order routing.

last question, did you guys build PTL trader inhouse or did you build it on a base platform?

100% inhouse...

[Roy Fraties]

A lot of times, when putting on combo orders, Interactive Brokers, will fill it using LMT + MKT algorithm. 

Both legs are put in limit.  Eventually one side fills, then the other immediately switches to market. 

There could be lots of variations on the execution algorithm.  The issue really has to do with momentum. 

If you want to go long A and short B, and A and B both moving up, then you probably want to get the long side in first.  Long A however you can, limit or market or whatever.  Get that in first, and wait for it to fill.  Then put the B order in as market. 

Then sort of the opposite approach if both are moving down.  You would want to get B in first, in that case. 

Now, in a mixture, one moving up and one moving down, it is more tricky, but I am sure a thoughtful analysis would yield some appropriate strategy.  Maybe, whichever one is moving faster, get that one on first, for example. 

You want to avoid bad fills, first and foremost.  If you can get "fair" fills (e.g. close to the mid-point) you are probably doing pretty good.