A Single-order strategy, or single-order strategy, involves in trading only one instrument and one side transaction(buy or sell). It is usually created from an order, e.g. buy 0005.HK 200000 @ $68.2. The strategy is considered completed when the order is fully filled. The typical usage, though not limited to, is to avoid market impact while trading some large volume of orders.
A single-order strategy usually takes a benchmark as its measurement of performance. Some commonly used single-order strategies are VWAP, TWAP, POV, IS, ICEBERG, SDMA etc.. This article provides some good information about single-order strategies.
Both buy side and sell side may be interested in single-order strategy:
Strategy parameters controls the strategy behavior. For single-order strategies, strategy parameters are embedded in the order, or called Parent Order. Common parameters for single-order strategies are
There are also other parameters which are strategy specified. e.g. POV% parameter for POV, Display Quantity for ICEBERG.
POV stands for Percentage of Volume. It is used when you want to execute an order relatively quick but do not want to cause too much market impact. POV uses the POV% parameter to control its execution speed. Basically, it will try to make its executed volume to be POV% of the market executed volume.The formula:
X = POV% * MEV - OEVwhere
X - quantity to be executed
POV% - POV parameter. e.g. 30%
MEV - Market executed volume since strategy started
OEV - Order executed volume since strategy started
you may look at the classes in com.cyanspring.strategy.singleorder.pov package to see how it is implemented. The codes may look simple because most of the heavy duty jobs are already done by the strategy frame work.