Whenever I deploy my strategy I see something as tranching ?? Can you please throw some light here
Tradetron allows you to split your multiple lots and multi leg order into various tranches so that you can get the best price with the least slippage.
To do that the total order you can setup this in the Tranching dropdown which by default is at 100% meaning the total quantity is pushed at one go.
If you wish to send it in 2 tranches, set this to 50% ; 10% for 10 tranches, 1% for 100 tranches.
If there is only 1 leg and the quantity is more than enough for each tranch, it will be equally divided … the remainder of the lots is handled in the last tranch.
So lets say there are 21 lots and 10 tranches, the engine will post 2 lots in each tranch and the balance 1 lot is handled in the 11th tranch. If the number of lots are lesser than the tranches then it will get completed with the least no of lots per tranch possible.
So if there are 3 lots and 10 tranches it will get executed in 3 tranches of 1 lot each. If there are multiple legs with differing quantities then the one with the least quantity will get finished before the last tranch is fully executed.
So lets say for leg 1 the quantity is 21 lots and for leg 2 is 5 lots so from tranch 1 to 5 the order will be for 2 lots of leg 1 and 1 lot of leg 2 ; from tranch 5 to 10 the order will be 2 lots of leg 1 and the 11th tranch will be 1 lot of leg 1
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Custom tranching value required:
I have a custom tranching requirement. Before I make the request, I would like to explain my strategy and scenarios why I need this.
In my Banknifty option buying strategy, I’m buying qty in value (1lac) System will buy number of qty (as per lots) that fits in 1lac (some +/- is understood)
System buys less quantity if option premium is high on Friday / Monday. As it nears expiry – say on Thursday, premium is very low and system starts buying MORE quantity. Till Thursday early morning, its fine but problem starts when premium getting very low towards EOD (in two digit figure) it crosses the upper limit set by the SEBI (1200qty in single order while I’m writing this)
Say for e.g. Premium is 75. The system will order 1350qty (100000/75 = 1333.333333333333). But due to max qty limit such orders are rejected by the broker.
Here, I can use current tranching setting of 50% or 25%. Even if I select 50% or 25%, by EOD, premium is so low (20-25Rs.), it’ll order for 5000qty in single order. Here again I’ll have to tweak the tranching setting to make it 10% or 20%. While doing this tranching setting, I ALSO don’t want multiple orders for small quantities in normal days when premium is low and qty is well managed below 1200 (SEBI Max freeze limit) (e.g. 300 or 400qty).
Till now, hope you have understood the problem of buying large quantities that crosses the upper limit AND multiple orders for small quantities.
Being a technical developer, I thought of having facility to provide custom tranching size (apart from current %), where strategy builder will manually enter max quantity in single order (SEBI limit of max qty size)
To summarize, I’m looking for something like this:
This way, system will check if current quantity request is more than tranching set by the user, it’ll divide and process accordingly.
Hope, I have tried my best to explain the requirement. If you still need further clarification / inputs, plz let me know.