Program Trading

Ripley · Aug 31, 2005

Anyone know when trading programs start shooting down orders? And what does "Buy Threshold" and "Sell Threshold" mean?

I think I saw program traders today by the close.

Apex Capital · Aug 31, 2005

Quote from Ripley:

Anyone know when trading programs start shooting down orders? And what does "Buy Threshold" and "Sell Threshold" mean?

I think I saw program traders today by the close.

Were they wearing white hats?

landboy · Aug 31, 2005

Quote from Ripley:

Anyone know when trading programs start shooting down orders? And what does "Buy Threshold" and "Sell Threshold" mean?

I think I saw program traders today by the close.

You'll see program trading orders ALL the time, half of all trading volume is done by the programs. So what you saw very well could have been programs, but that's like asking if you saw a tree while standing in the middle of a forest. Most programs aren't super strong, only lasting a few minutes, while others last a good portion of the day.

Buy threshold is when the premium is statistically too high against fair value and will MOST LIKELY trigger programs to arb the spread, sell the futures and buy the cash. The sell threshold is the exact opposite.

hope this helps

Lawrence Chan · Aug 31, 2005

From time to time, for NY stocks, it goes as high as 70% of the volume is program trade.

Lawrence

Quote from landboy:

You'll see program trading orders ALL the time, half of all trading volume is done by the programs. So what you saw very well could have been programs, but that's like asking if you saw a tree while standing in the middle of a forest. Most programs aren't super strong, only lasting a few minutes, while others last a good portion of the day.

Buy threshold is when the premium is statistically too high against fair value and will MOST LIKELY trigger programs to arb the spread, sell the futures and buy the cash. The sell threshold is the exact opposite.

hope this helps

Arnie · Aug 31, 2005

You can usually spot P/T when they start taking the offer on high cap stocks and the spoos spikes

nitro · Aug 31, 2005

Actually I think most people confuse "program trading." There are two kinds of program trading, but probably one is far more important than the other to intraday traders:

1) VWAP and TWAP programs
2) Index Arb programs

I think the NYSE categorizes both as under "program trading," but most people on ET are only interested in the second one, which accounts for waaaaaaaaaaay less than 50% of the total volume.

nitro

chiguy · Aug 31, 2005

look at www.indexarb.com they spell it out in easy to read english...

Ripley · Aug 31, 2005

Did the "Buy Threshold" activate that strong buying in the afternoon?

omniscient · Aug 31, 2005

Quote from chiguy:

look at www.indexarb.com they spell it out in easy to read english...

very nice.

Since our launch, IndexArb has had an agreement with NASDAQ which allowed us to display the weights of the constituent stocks in the NASDAQ 100. Effective September 1, 2005, NASDAQ has terminated this agreement and, consequently, we must remove this information from our website.

If you need this information, NASDAQ offers individual subscriptions starting at $10,000 per year.

DOH! but then they add:

An accurate calculation of NASDAQ 100 fair value and buy/sell program trading trigger values require the weights of its constituent stocks. Therefore, IndexArb has entered into a subscription agreement. So, while we cannot redistribute the NASDAQ 100 stock weights, we have access to them for internal use and can continue to calculate and display accurate fair values and buy/sell program trading trigger values.

so is it gone or staying?

either way, thx for the link chiguy.

very interesting ...

take care -

omni

Program Trading

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