Infofin has developed an automated order generation and post-trade
monitoring software which allows users to choose from multiple
pre-defined stored trading strategies.
Based on user defined parameters such as trading lot size,
security, contract type, the entry and exit conditions, the system
detects opportunities, orders are generated and sent to the Exchange
via the Computer to computer link (CTCL) APIs. Each position is
monitored in real-time and the system exits the positions when the
exit condition is met. Informative reports with customisable alerts
inform the user of changes to his portfolio intra-day.
- Most commonly used strategies are stored.
- Multiple strategies can run simultaneously.
- High level of performance and accuracy.
- Strategies work on arbitrage between exchanges and in derivatives
- User friendly interface
- Detailed reports, with real-time updates
- Post market MIS analysis
- Distributed architecture
- High bandwidth messaging library
A simple example of a strategy that can be automated is the cash
and carry. The logic is fairly straightforward:
The software receives the broadcast of spot and futures prices of
the security to be traded. If the bid price of the futures is greater
than or equal to the ask price of the spot, the system places trades
to buy spot at ask price and sell futures at bid price after checking
whether the quantity available in spot is greater than or equal to the
minimum lot of the futures. If the quantity of spot is less than the
lot size, the system will not place orders and merely logs the
The system will not place fresh orders unless the entire quantity
is traded. If trades on both segments are executed, if the system
detects an opportunity to do an early unwind at predefined values
after considering the above mentioned conditions on required quantity,
the system places the orders to unwind. Once these two rounds are
completed, the system stops and starts again on detecting the entry
Once the strategy is started, it monitors both the spot and
derivatives markets for opportunities. On detecting an opportunity
giving returns more than the required rate, the system places limit
orders simultaneously both in the spot and futures markets. Once
confirmations of both legs of trade are received, it constantly
monitors for situations where there is an opportunity to unwind the
trade at the expected exit rate of return. The strategy deployed
focuses on exiting the arbitrage position in the same day without
having to take delivery.
No short selling positions are taken by the system.
The strategy also has the logic built in which monitors the
position of the index. If the index moves by 5\% in either direction,
the system takes care not to place orders in the same direction.
Infofin has followed a distributed, component based approach in the
design of the system. This allows the trading members to scale up
gradually without having to invest heavily in hardware on day one.
Multiple strategies can be run on different machines which then pass
on their orders to a central order routing interface. Logging of all
the information is also centralised.
The system has been developed in C owing to the requirement for high
speed transactions, with Sybase as the RDBMS.