The limit of 200 lots or 10000 nifty per order is put by the exchange and unfortunately nothing that we as Zerodha can do about it.
That said, some of our high volume trading clients use our product which is called as " i3" , there around 11 order execution algos.
When I say order execution algos, it will give you the best way to execute an order(once you have decided what to buy/sell) with the least impact cost.
We have something called as a iceberg order, in the iceberg a big order is firstly hidden from marketwatch(similar to how in an iceberg, only a small bit of the iceberg you can see on top of the sea, and the 90% of iceberg is hidden in the water,
remember titanic) and also the order is broken into small parts and sent to execute. This not only gets over the limitation of the 200 lots, but more importantly will save you a lot of money in impact cost. Today if you put a market order of 10000 nifty, you could loose between 50 paise to 2 Rs in impact cost itself. This could mean 5000 to 20000 in impact cost saved. Brokerage actually is immaterial. We have a bunch of our high volume clients using this product.
The catch here though is that since these are algos, you will need a dealer terminal to execute and not possible on retail terminal. To get a dealer terminal, you need to become an Authorized person with us(cost around Rs 5000/exchange) , give us NISM certification and then also subscribe to i3( Rs 5000/month). But if you are a person who executes big orders, this would be peanuts compared to what you can save.
Will get Nithin to write a blog on this tomorrow..But here is the list of 11 algos available..
Aggressive execution strategies: Discretionary, Market/Limit if touched, Pegged to market, Sweep to fill
Reduce your risk: Bracket
Better average price: Mid point, active relative, passive relative, Scale
Automated slicing: Iceberg, time slicing, volume participation.
Which particular NISM exam needs to be passed and certification produced?
What are the requirements to become an "authorized" person, what is the 5000 (is it per month or per annum {its not a concern, just curiousity}?
Will I be able to open a PAMM style acct in this fashion to trade three different accts at the same time?
Is there anything else required besides 5000/month needed for i3 subscription?
Are their any minimum capital accts to get a dealer terminal. If so what are they?
On the data and software ...... for now i plan on using the amibroker plugin and gdfl data.
So let me get this straight,
a) when i place an order to buy nifty at 6010 on the chart, will the offer at that second on the ZT be 6010? i.e. are the two data sets (GDFL and ZT) in harmony?
(this should be moot, as it is a regulated exchange not frickin FX)
b) When the NSE disseminates tick by tick data. Are all the same price ticks bundled together or the same price ticks sent as one tick.
This could be the difference between a 70 tick bar being yay long or nay long of u feel me. In other words does GDFL or/and ZT use the
TCP or UDP protocol? What does the NSE use? are they the same?
c) Sorry for this question, i i think i know the answer, but just to make sure, is Zerodha ever a counterparty to our order? (u mentioned DD).
d) IF we have a retail terminal, can we
manually revise the SL (ie trailing)
e) Can we manually put in the TP or SL targets seperately, then is the order OCO when either executes or do we have to manually remove the other. In case of multiple entries, is it FIFO or LIFO.
f) I have patiently read 1300 pages of ur guys progress in the last two weeks, i was hazy on the above, also i started following u last August, and was surprised to see the breakeven on 10 lots drop to 1.37 points from around .74 pts a few mopnths earlier (in the past 6months or so), i cant see it but did u reduce something? Is 1.28 the cutoff? This is in addition to the spread. What is the avg spread for the nifty on ZT btw, for say the last month (if possible)?
Im trying to think of anything else (the ZT and GDFL data is an issue that is very important, i mean i execute a buy in the charts of the GDFL data but THEY WILL get executed in ZT (after confirming of course) in ZT data. same for SL TP.
Thanks for the help for the past couple of years. Im going to open a small acct in august and trade as of 2/9/13. After which i should hopefully scale up within a years time. Hence the dealer terminal question.
One more thing as an aside. I realize and u realize India is still pretty backwards trading wise and in other areas as well but that dosent mean cause some morons figured out how to curve fit data to past history, that backtesting or optimizing has aNY REAL WORTh. no computer program has ever been devised that can get u an edge in the retail market. As far as pointing out setups, maybe BUT elemEnts of discretion
will creep in there. Basically u cant switch on ur comp and go to sleep, not in India, not in tokyo or London. Having said that, we still cannot supply constant Alternating current in this country (reasons are real and many), and as humans we are addicted to A.C. So Timepass or w/e can chill out, cause calling a place behind the times dosent mean u dont love it or the ppl tht reside thr. You can try and make it better. JaiHind.
To the dude who will eventually point out HFT programs, realize there is a acre or so complex in New jersey filled with servers, that compete to get the data first before all of us (the competition is so ****** up, that the companys who have servers away from the feeding point complained and the exchanges had to put in latency (minimal) on request to disseminate to the chosen ones fairly (horribly expensive too), So in effect these HFT's front run ur orders, which is all fine, cause we can still find our edge, IF we are smart. But yeah if u think u can put on an EA or algo and go bake a pizza, lol, think it one more time. Plus bactesting against historical data is a waste of time. Ill explain all this as i start to post in the non Zerodha sections.
The name is Vik. Sachin you and ur crew are good men. Reply when u have time, no rush. Im gonna make you famous.
