The OTAS Intraday Screener app offers a fully configurable heatmap tool providing traders ‘at a glance‘ direction of where outliers sit on the pad, allowing them to immediately focus their attention on where it is most needed.
Embedded within a trading EMS it provides a recognizable systematic approach to order pad optimization, where each scenario analysis a trader wishes to perform is monitored in real-time, highlighting actionable opportunities and exceptions from the norm.
Each axis and chart annotation can be user-configured to suit distinct trading workflows, such as…..
Irregular Price & Volume Order Optimization
Screen an order pad for ‘action’ stocks where asymmetric behaviour in daily price performance and traded volume presents exception outliers for manual trader intervention.
- Manage ‘high touch’ flow broken out by idiosyncratic daily share price performance from the open(x-axis)
- Combine with disproportionate volume(y-axis) conditions to focus on highly liquid or harder to trade orders, vis-á-vis passive/aggressive strategy decision
- Example Screenshot: Standard Life, Informa & St James Place all under-performing on well above average volume with WPP significantly outperforming.
In-Trade Liquidity Screening:
Optimise High Touch vs Low Touch flow, spread crossing and liquidity opportunities
- Minute by minute lit market liquidity profiling relative to historic normalised ranges(x-axis.) Identify orders with above average liquidity and live trading opportunities Example: Shire, Diageo & Worldpay or conversely adjust to low liquidity trading indicators.
- Current indicative price spread levels(y-axis) relative to normal. Exceptionally wide spread = execution cost impact from spread crossing, plus low liquidity Example: Convatec.
Adjusting to Price Momentum changes:
Identify idiosyncratic returns from normal expected ranges.
Actively manage flow and adjust aggression based on rolling absolute and basket relative returns.
- Highlight orders with abnormal positive or negative price behaviour from the market open(y-axis) and combine with short term momentum compared to peers(x-axis.) Also assess traded volume for trend analysis and intraday mean reversion potential.
- Examples: Sainsburys – Extreme basket relative under-performance over last hour on lower than normal volume = potential Mean Reversion
- Capita – Significantly low absolute return from open, excessively high trade volume, negative one hour basket relative return = probable Trend Continuation
- Schroders & Merlin– Unusually low absolute return from open, excessively high trade volume, strong positive one hour relative performance = potential Trend Reversal or Continuation
Intraday Screener is just one of a suite of bespoke real-time trading applications we have created to help Global Trading desks provide a systematic approach and facilitate ‘sufficient steps’ under the guidlines and framework of MIFID II.
Contact us now to explore the current apps available within your EMS and how we can help your current technology mandate at otassales@otastech.com
