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) . Each time window has volume which was generated on the market in that period of time.
The POV strategy in the end of each time window sends an order of volume
where p is equal to Volume Participation. As a consequence its overall intended volume participation is equal to p.
- Last trade
- Best quote / Order book
- Historical market data
|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|
Strategy does not close its opened positions.
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.
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.