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Home > Finance > Algorithmic Trading > Information Needed

Information Needed

Groups

Aggregated information should be calculated in following groups:

  • date range
  • side: buy, sell, short
  • trading strategy: vwap, market participation, impl shortfall, etc.
  • region
  • currency
  • market
  • client
  • size of orders: quantity / ADV
  • Market Capitalization of names: (can refer to Barra's data)
    • Large: > $10B
    • Mid: $2B ~ $10B
    • Small: $300M ~ $2B
    • Micro: < $300M
  • all orders

ADV:

Average Daily Volume. It can be calculated as the n-day average daily volume, or n-day median daily volume.

Order Summary Information needed

We need following information for analysis:

  • basic information:
    • side
    • number of parent orders
    • quantity
    • executed quantity
    • notional executed value: sum(execPrice * execQty)
    • bench mark: daily vwap, timed vwap, or arrival price, etc.
  • performance:
    • average of returns
    • standard deviation of returns
  • top n best/worst performers