Strategy Orders

This control is an add-on for the Kodiak OMS Client. Contact help@kodi.is for further details.

The Strategy Orders control allows users to create:

TWAP (Time Weighted Average Price) which will spread the order quantity evenly thoughout the day according to the number of intervals.

VWAP (Volume Weighted Average Price) orders which will attempt to spread the order quantity throughout the day according to historical averages.

POV (Percent of Volume) which will attempt to fill the desired percent of volume throughout the day by letting the user know when the minimal order quantity has been reached.

Order Entry

Start/End Time: The time span for the schedules.

Incl Opening/Closing Auction: If checked, the schedules will be timed to participate in opening/closing auction.

Strategy: List of strategy types available.

No. of Intervals: Only for TWAP and VWAP. Number of schedules to create.

Min Schedule Qty: Only for POV. Minimum quantity of schedule to be ready to send.

Target POV: Target percentage of volume of the whole order.

Calculate POV from start time: If checked, percentage of volume is calculated from the time entered in Start Time. If not checked, percentage of volume is calculated from start of day.

I Would Price: This is the price for which you are willing to fill all available quantity on the order. For instance if you have a buy order with an I Would Price of 50 and the price is equal to or better than 50 then an order with all available volume at that price will be recommended.

Limit Price: No orders will be placed equal to or worse than this price.

Comment: Optional field for comment on strategy order.

Short codes section specifies the short code settings for each order.

TWAP orders (Time weighted average price)

When creating a TWAP order you specify number of intervals that should be made. The order quantity will be divided equally to the schedules. The grid will show POV after and VWAP after but all of the quantity will always be sent unless you change the Qty to Send cell.

It is optional to put in a value for Target POV when creating a TWAP order. If you specify target POV, the grid will calculate how much quantity you should send so you don’t bust the target POV.

Example

In this example there was no Target POV so all of the quantity will be sent in each schedule, unless you manually change the Qty to Send value.

In this example the was a Target POV, and therefore the Qty to Send value is calculated down to 13.756 which matches the 10% target POV. The Send button is yellow because not all of the schedule quantity will be sent.

VWAP orders (Volume weighted average price)

When creating a VWAP order you specify number of intervals and the order quantity will be divided according to historic data to meet VWAP.

It is optional to put in a value for Target POV when creating a VWAP order. If you specify target POV, the grid will calculate how much quantity you should send so you don’t bust the target POV.

POV orders (Percent of Volume orders)

When creating a POV order you specify Minimum schedule quantity instead of the number of intervals.
The schedule will be Ready for market when the Qty to Send has reached the minimum schedule quantity specified in order entry. It is possible to send the schedule if Qty to Send is less than min schedule qty as long as it’s more than 0, but you will get a warning.

Example

In this example Order quantity is 1.000.000, Target POV 10% and min schedule quantity 10.000.
Accumulated volume from start is 111.500 so to meet the 10% target POV, quantity to send is calculated down to 12.388. The send button is yellow because not all of the quantity can be sent.

When the first schedule is sent, a new schedule is created with the quantity remaining on parent order. The POV is still in 10% from when the first schedule was sent so the quantity to send on the second schedule is 0 until a new trade is made on the orderbook.

Grid

Parent order (Strategy Order)

Parent order (Strategy Order)
Created	Timestamp when the strategy ordre was created
Modified	Time when order was modified
Side	Side of the order
Symbol	Symbol for the order
State	Orderbook State
Strategy	Strategy type. POV/TWAP/VWAP. If the user selected TWAP or VWAP and put value in Target POV in strategy order entry, the value here will be TWAP/POV or VWAP/POV
Status	Status of strategy order. New: No schedules have been sent Working: Some but not all schedules have been sent Completed: All schedules have been sent Cancelled: All schedules have been cancelled
Order Qty	The quantity entered in strategy order entry
Schedule Qty	The quantity sum of the schedules. If this value is not the same as Order Qty, it will be colored red. If schedule is partially executed, the sum will take the executed quantity into calculation, not the whole schedule quantity. This is done to make it easier to see if there is any outstanding quantity
Qty Remaining	Order quantity - quantity executed
Qty Executed	How much quantity has been executed
Avg Px	Average price of executed orders
VWAP	Volume weighted average price of executed orders. This value will be calculated from start time If calculate from start time was specified when creating the order. Otherwise this value will be for all day VWAP.
VWAP Today	Volume weighted average price on the symbol all day
Target POV	Value entered in Target POV in strategy order entry
POV	Percentage of Volume of executed orders. This value will be calculated from start time If “calculate from start time” was specified when creating the order. Otherwise this value will be for all day POV.
POV Today	Percentage of Volume of executed orders all day.
% Executed	Percentage of total order quantity exected.
Progress	This value will state the number of shares ahead or behind shedule. This can be Even, n Behind or n Ahead. If the order is behind, some schedule(s) are Overdue (the scheduled time has passed. If the order is ahead, some schedule(s) have been executed before their scheduled time
Market Vol	Market volume today or from start of order according to settings.
Market Vol Today	Market volume today
I Would Px	The price for which you are willing to fill all available quantity on the order. For instance if you have a buy order with an I Would Price of 50 and the price is equal to or better than 50 then an order with all available volume at that price will be recommended.
Limit Px	No orders should be placed equal to or worse than this price.
Next Due	The time the next order schedule is due.
Next Status	The schedule status of the next order.
Send next ready
Min Schedule Qty	Value entered in Min Schedule Qty in strategy order entry. Only for POV orders
Accumulated Vol	Intraday accumulated volume on orderbook
Send next ready	Button to send the next available schedule (see color explanations in next table)
Qty to Send	Quantity to send on the next available schedule
Price to Send	Price to send on the next available schedule
Exp. Avg Px	The expected average price for the order schedule to be sent.
Avg Px after	Average price for the order after next order is sent.
POV after	POV after the next available schedule will be sent
VWAP after	VWAP after the next available schedule will be sent
Comments	Comment on strategy order
Client Order Id	Id the client order.
Client	Name of client if applicable.
Min Qty	For POV orders only. The minimum amount for each order schedule.
Calc from Start	How to calculate POV, VWAP and Market Volume. If Calc from Start is false then these values will be calculated with the whole day’s Market Volume. Otherwise the Market Volume will be from the time of the first order.
Trading Desk	The trading desk of the order.
Trader	The trader which created the order.
Start Time	When the order should start.
End Time	The end time of the order.

Schedules

Schedules
Scheduled Time (editable)	Suggested time to send schedule
Due In	Minutes/hours until scheduled time. Empty if the line has been sent or cancelled.
Status	Status of schedule. Executed: All of the schedule quantity has been executed. Partially Executed: Part of the schedule quantity has been executed. Ready for Market: The schedule has not been sent and the scheduled time has passed within the last 5 minutes. Sent to Market: The schedule has been sent but the order has not been executed. Pending: The schedule has not been sent and the scheduled time has not passed Cancelled: The schedule has been cancelled by an user. Overdue: The schedule has not been sent and the scheduled time has passed longer than 5 minutes ago. Trade report sent: The schedule has been sent as a trade report.
% of Total	Schedule quantity / Strategy order quantity * 100
Quantity (editable)	Schedule quantity
Remainder	Schedule quantity that has not been sent to market or was sent to market and not executed.
Executable Qty	Available quantity on market to match schedule
Executable Avg Px	Average price of the executable quantity
Qty to Send (editable)	Quantity to send can be at most the quantity of the schedule. If the order has target POV, the quantity to send is calculated to not exceed target POV
Px to Send (editable)	Price to send. The price on the lowest level
Avg Px	Average price on executable orders
TIF (editable)	Time in force for order
Order Type (editable)	Order type for order
POV after	POV on Strategy order after this order will be sent
Avg Px after	Average Price on Strategy order after this order will be sent
VWAP after	VWAP on Strategy order after this order will be sent
Send to Market	Button to send order to market Colors: Green: All of the schedule quantity is ready to be sent to market Yellow: Only a part of the schedule quantity will be sent to market Orange: Schedule status is Overdue or the schedule quantity has not reached the Min Schedule Qty. Red: There is no Executable quantity or no Qty to Send or the schedule quantity will exceed the Target POV The button is empty and disabled if you cannot send the schedule; if it’s either executed or cancelled.
Order Status	Status on sent order
Order Px	Price on sent order
Order Qty	Quantity on sent order
Order Rem	Remaining quantity on sent order
Executed	Executed quantity on sent order
Exec Avg Px	Executed average price on sent order
Time Sent	The time the order was sent to market