How Fund Manager places order on market?

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oem7110
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How Fund Manager places order on market?

Post by oem7110 » Wed Jul 20, 2011 2:35 am

Does anyone have any suggestions on how Fund Manager places order on market?
For example:
1) When trader receives order from Fund Manager to purchase ?? stock today, will trader purchase at market open in the morning and afternoon? assume there is a lunch time break.
2) When trader receives order from Fund Manager to purchase ?? stock today, will trader purchase separately on market little by little every hour? and try to hidden their activities.
3) any other ?? ...

Does anyone have any suggestions?
Thanks in advance for any suggestions

jas-105
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Post by jas-105 » Wed Jul 20, 2011 3:31 am

I would imagine that the manager would specify the "when" and the broker would control the "how". If you are using a big Prime Broker then orders, especially in stocks, would be executed using methods not unlike high frequency trading.

You will be able to see a list of supported "native" order types from the exchange websites (limit, market, stop etc) but a lot of brokers would use slightly more complex types which could include pyramid, iceberg, price and volume averages......the list is endless.

As you correctly pointed out, the idea with handling relatively large orders (volume) would be to try and reduce the impact as best possible.

In my opinion I'm still to be convinced as to what purpose brokers serve when a manager is dealing in liquid, exchange traded instruments like fully listed stocks or exchange traded futures and options. It's far more efficient to execute yourself as long as you are doing enough business to justify the cost of the ISV (front-end trading platform) software.

Moto moto
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Post by Moto moto » Wed Jul 20, 2011 4:15 am

yes the algorithms usually offered by many platforms and brokers are designed specifically for this purpose.
The old VWAP (volume weighted average price) possibly being one of the simplest earliest type for stocks.
This is all particular relevant only with large orders and as discussed in other threads this is what the myriad of PHds seem/appear to do at many places, work out how to minimize market impact as opposed to trying to create new models.
As for brokers (as an old cynical trader of price action without reference to fundamental information)....a broker is merely a conduit of historical information and useless opinion.

oem7110
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Post by oem7110 » Wed Jul 20, 2011 11:36 am

[quote="Moto moto"]
The old VWAP (volume weighted average price) possibly being one of the simplest earliest type for stocks.
This is all particular relevant only with large orders and as discussed in other threads this is what the myriad of PHds seem/appear to do at many places, work out how to minimize market impact as opposed to trying to create new models.
quote]

Could you please provide the related link? so I can look at the discussion on the other threads for trading with large orders. Based on the definition on following link, could you please give me any idea on how VWAP (volume weighted average price) works with large orders?
http://www.investopedia.com/terms/v/vwap.asp
Thanks everyone very much for any suggestions

Moto moto
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Post by Moto moto » Wed Jul 20, 2011 8:14 pm

google - CTA hiding large trade orders
I dont know of any specific threads here dedicated to the subject but it has been discussed within threads. Most likely you will find more details in articles from the CTAs (example attached).....check out sites like Winton capital and their news items.

When it comes to VWAP and your question i am not sure what you mean for how it works.
VWAP is a measure that brokers offer to larger instos to execute their order on. Rather than just saying buy on open, or buy on close, a VWAP order can be given that buys over the course of the day and looking to match the VWAP price. There are many, many different price execution algorithms brokers can offer to spread a large order over a day or to minimise market impact for large orders.
This has also led to the rise of a lot of the dark liquidity pools and alternative markets, swaps and average pricing products....a whole other thing to search for
Attachments
THFJ CTAs article.pdf
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THFJ CTAs article.pdf
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