POV

Description

Percent of Volume (POV) is a trading algorithm based on volume used to an execution of bigger orders without excessive impact on the market price. The time window in which strategy is working (End Time minus Start Time) is divided on smaller time windows (each of length Delay) T_1, T_2, ... T_N. Each time window T_i has volume V(T_i) which was generated on the market in that period of time.

The POV strategy in the end of each time window T_i sends an order of volume

\text{ORDER}_i = \frac{p}{1-p} \times V(T_i)

where p is equal to Volume Participation. As a consequence its overall intended volume participation is equal to p.

Market Data

  • Last trade
  • Best quote / Order book
  • Historical market data

Parameters

Parameter name Description Essential
Target Quantity Overall quantity to be realized by strategy Yes
Delay Delay time between following orders Yes
Start Time Time when strategy begins working Yes
Volume Participation Participation of strategy orders in total volume Yes
End Time Time when strategy ends to submit orders No
Side Market side for orders Yes

Conditions

Open position

Side Buy or Sell
Amount For i-th trade equals \text{ORDER}_i
Price Last market price
Type Price limit

Close position

Strategy does not close its opened positions.

Termination

Strategy opens positions every time the delay value is reached. Strategy ends when either End Time is reached or declared orders’ quantity has been realized.

Time frame

This strategy is dedicated to use in short period of time like one day.

Further information & source

  • Barry Johnson, Algorithmic Trading & DMA: An introduction to direct access trading strategies, 4Myeloma Press, 2010.
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