Today we want to show the most sophisticated Institutional algorithms that is used by large institutional clients for market-making, order execution and trading.  

EXECUTION ALGORITHMS FOR MAKING LESS IMPACT TO MARKET

Iceberg (Iceberg)

An algorithm that dispenses orders . Of the true order quantity, only a part is shown on the board, and when the order placed on the board is executed, the next order is placed.

Stealth

Don't put your order on the board, but take it when you get an order for the price you want to buy on the board.

Pegging

An algorithm that places a limit order that is a certain value or a certain percentage away from the best quote, and follows it when the best quote fluctuates . Sometimes used for market making.

Layering

Place limit orders distributed across multiple prices in order to take a high priority position within each price .

Liquidity Driven Order

Monitor the liquidity of the board and place an order when the liquidity exceeds a certain level.

SOR (Smart Order Rouiting)

Place orders from multiple markets to the best market.

 BENCHMARK EXECUTION ALGORITHM-AN ALGORITHM THAT BRINGS THE EXECUTION RESULT CLOSER TO SOME KIND OF BENCHMARK USED BY INSTITUTIONAL INVESTORS FOR LARGE ORDERS. 

TWAP (Time-Weighted Average Price)

An algorithm that equalizes in time and places an order . Place an order by dividing the quantity you want to trade at equal time intervals.

VWAP (Volume-Weighted Average price)

An algorithm that aims to bring your VWAP closer to the market VWAP . In many cases , the volume is normalized by the volume distribution during the day and the quantity is sliced ​​before ordering.POW

POV(Percentage of Volume)

Place an order so that it accounts for a certain percentage of the market volume .

PI (Price Inline)

A modified version of VWAP. If the current price is smaller than VWAP, order a larger quantity, and if it is larger, order a smaller quantity.

MOC (Market on Close)

An algorithm that aims to bring its VWAP closer to the closing price of the market .

IS (Implementation Shortfall)

An algorithm that benchmarks the market price at the time of buying and selling decisions .

MARKET MAKING ALGORITHM-ALGORITHM USED FOR MARKET-MAKING . PLACE BOTH BUY AND SELL ORDERS ON THE BOARD.

See market mid-market price

Determine your order price by referring to the market mid-market price.

Market price interlocking

Take the limit order left behind when the board situation changes and the price moves to either side .

Utilization of market liquidity

If there is a large order for another participant on the board, place an order in front of it.

ARBITRAGE ALGORITHM-MAKE RULING BY PAYING ATTENTION TO THE DISTORTION OF THE MARKET. 

Same product arbitrage

If the same product is traded in multiple markets, the price difference is determined.

Theoretical ruling

For objects such as derivatives for which the theoretical price can be calculated according to a model such as the financial price, the price difference from the theoretical price is determined.

Statistical ruling

Arbitrate statistical distortions that other market participants are unaware of.

DIRECTIONAL ALGORITHM-PREDICT PRICE MOVEMENTS AND ACTIVELY TAKE MARKET RISK.

Trend Following

We will trade with the expectation that the trends that occurred at the past will continue in the future.

Momentum Traing

Make transactions that take advantage of short-term momentum.

MEAN REVERSION-TRADE THE HOPE THAT THE PRICE WILL RETURN TO EQUILIBRIUM WHEN THE PRICE FLUCTUATES TOO MUCH. 

Range Trading

Trade with the expectation that the price will move within a certain range.

News / Event Driven

Transactions are triggered by stock price movements such as corporate news and announcements of indicators.

MARKET OPERATION ALGORITHM-AIM TO MANIPILATE THE MARKET BY INDUCING THE OTHER PARTICIPANTS. IT MAY CONTAIN ILLEGAL ELEMENTS.

Front Running

The broker uses the order information from the customer to buy and sell in his own favor .

Spoofing

Place large orders at multiple prices and mislead other investors' forecasts.

Strike robbing (Strobing)

Placing an order on the board for a moment misleads other participants' predictions.

Momentum Ignition

Placing an order in a specific direction misleads other participants' predictions.

Stop Loss Ignition

Induce price movements by aiming for stop loss orders from other investors.

Push the Elephant

When there is a large order on the board that seems to be willing to buy or sell, induce a large order by updating the best quote with your own order.

Gaming

Update the best quote on your order and manipulate the price of the dark pool referring to the quote.

Hello folks

Today I want to show u system of Donald Prendergast that was explained in in the December 2013 in journal "Stocks and Commodities "

Donald Pendergast

Donald Pendergast has studied technical price charts and market dynamics for more than 30 years and has had more than 1,000 articles on technical analysis, trading system development, and high-probability chart setups published at several trading/investing publications since 2008. Pendergast offers real-world trading signals for a basket of eight gold/silver mining stocks/ETFs and also offers high-quality, customized analysis for US stocks. 

A SIMPLE AND VISUAL SYSTEM
Here's a look at my simple, visually based "trading with the trend" system that is nonoptimized, noncurve-fitted and is a no-brainer to construct and maintain. The key ingredient for success in trading with this template is you, because there are no secret market indicators or forecasting tools that can guarantee you trading success. But this no-cost trading template that is easy to construct will help you stay on track with the mental and emotional discipline needed to learn to trade profitably. After that, you may want to further fine-tune it by obtaining education in other market dynamics like relative strength analysis, money management techniques, price cycle studies, or wave analysis.

THE RIGHT CANDIDATES
Before you begin, you first need to locate stocks and ETFs that tend to make relatively smooth, regular swing and/or trending moves (up or down, and preferably balanced over long periods of time) if you expect to achieve success with this system. In other words, look for volatile (high-beta), high-volume stocks from sectors and industry groups that tend to go on a bullish/bearish tear several times per year, and which don't spend too much time chopping around in directionless funks. Fast-moving, news-driven technology, mining, financial, or energy stocks are likely to be good hunting grounds for such desirable issues; you'll likely want to avoid sluggish markets like electric utility stocks or other highly regulated public service issues that tend to trade within small ranges most of the time.

UNO, DOS, TRES
The daily chart of Citigroup (C) in Figure 1 shows the three-indicator trading template; this was created using three standard indicators in TradeStation 9.1 (see Figure 2):

 A 50-day exponential moving average (EMA; blue line)
A five-day simple moving average of the daily highs (SMA; gold line)
A five-day simple moving average of the daily lows (SMA; red line)

The trading logic is very simple:

Long entry:

Go long when price exceeds the upper (gold) moving average of the daily highs by five ticks (0.05) and the price bar prior to the break of the upper moving average has closed above the blue 50-day EMA. (Note: If trading low-priced or high-priced stocks, you may want to decrease/increase the five-tick parameter as needed, since five ticks in a $300 stock is a much smaller entry filter amount than five ticks in a $40 stock, so adjust accordingly).
Once you are in a long trade, use the lower (red) moving average of the daily lows as your initial/trailing stop-loss for the life of the trade. Aggressive traders can use the low of the entry bar as the initial stop, but this will sometimes result in premature stop-outs and will entail extra commissions and effort; newer traders should just use the red line as the initial/trailing stop to keep things simple.

Short entry:

The rules for short entry are simply the inverse of the long entry setup.

MOVING FORWARD, SLOWLY
The simulated test results aren't too shabby overall; the system made money on both sides of the market, although more on the long side. The closed trade drawdown was decent, and the profit factor was exceptionally good. Winners were much larger than losers on average, and there were no "catastrophic" losing trades -- a major plus. This means the model has good overall risk control even as it allows winning trades sufficient breathing room to develop.
Of course, this is just a sample trading strategy and no one knows if it will continue to perform as well as this in the future, but you can alter it, fine-tune it, automate it, add multiple exits, or just run it as-is, being sure to select a suitable, diverse universe of stocks or ETFs to trade it with.
Try using a longer or shorter EMA as your trend-confirmation line. Consider using, for example, a 21- or 30-day EMA to generate more trading opportunities, or perhaps an 80- or 100-day EMA to slow things down a bit. You can accomplish much of the same thing by lengthening/shortening the moving averages of the daily highs and lows, too. You can even control the dollar/share allocations by limiting your maximum account risk to perhaps 2% per trade or 0.75% to 1% per trade if you are trading it with a portfolio of six or more stocks. The possibilities for further development of this system are limited only by your understanding of the financial markets, trading skills, imagination, creativity, account size, and confidence level.

 Original and full story:http://premium.working-money.com/wm/display.asp?art=840

Sentiment Zone Oscillator-By Walid Khalil, CFTE, MFTA

Intresting tool for traders "Sentiment Zone Oscillator" (SZO), that was made by Walid Khalil that was introduced in "Stocks and Commodities" Magazine in May 2012. SZO is tracking swings in the marker sentiment.

GandalfProjectResearchSystem-By Domenico D'Errico and Giovanni Trombetta's

The Gandalf Project Research System strategy was published in the August 2017 "Stocks and Commodities" article titled "Artificial Intelligence For System Development" by Domenico D'Errico & Giovanni Trombetta.