OmniVest User Forums
Risk Control Requests (& other Account Settings)
Avoiding Over-Subscribed Positions
5 replies, 1016 viewings
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OmniVest User Forums
Risk Control Requests (& other Account Settings)
Avoiding Over-Subscribed Positions
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Last Activity 5/17/2016 11:06 AM 5 replies, 1016 viewings |
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Jim Dean Elite   Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA  User Profile |
The problem is: if many OVest users subscribe to the same strategy on the same symbol list, then when that Strat fires, OVest will submit many simultaneous orders on the same symbol. If the sum of all the shares of those orders are a significant fraction of the avg daily volume (ie more than say 1%), then slippage will be magnified - and in some (higher-percent) cases might even trigger a market-response that would be harmful to all concerned. Since Nirvana is not a Market Maker, they have very limited options available to control this process, without showing favoritism to some users while hurting others (by delaying some orders). To help us proactively avoid being hit by this effect, it would be very helpful if OmniVest could report in an analysis column what the overall composite magnitude of participation there is amongst ALL OVest customers in a particular strategy used on a particular symbol. This report could be something simple like small/med/large, or something like a normalized percentage of max possible users participating in that combo, or (best) a percentage that specifically indicates the fraction of the average daily volume that the composite total "big trade" number of shares represents. If that percentage is high, we as users can opt NOT to participate in that trade. In fact, OVest could give us a money-management input option to either ignore or to scale back participation in a given trade as a function of what the big-trade percent of daily volume might be. This would be COOL. And powerful! [Edited by Jim Dean on 3/13/2013 8:01 AM] | ||
| Ed Downs Elite   Posts: 645 Joined: 2/7/2007 Location: Austin, Texas User Profile |
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| Jim Dean Elite Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA User Profile |
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| Ed Downs Elite Posts: 645 Joined: 2/7/2007 Location: Austin, Texas User Profile |
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| Steve2 Elite Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD User Profile |
[Edited by Steve2 on 3/14/2013 7:38 PM] | ||
| Jim Dean Elite Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA User Profile |
Ed has pointed out that the code to implement this suggestion will be relatively complex, since it requires "circular" processing. I'm sure that when/if they get around to doing this they will properly distinguish between live and paper as well as all the other factors involved. The CONCEPT is simple, but the coding isn't. So I would not expect this to be done in the near term. I wanted to post the idea for future consideration. Thanks for listening! |
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