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Enron Mail |
John,
Attached is an email which I have sent to Savita (who will not be able to attend today). It addresses the Robotrader concept. I will bring some hardcopy to hit the high points this afternoon. Dave -----Original Message----- From: Forster, David Sent: Monday, July 16, 2001 4:06 PM To: Puthigai, Savita Subject: Robotrader/Autotrader Savita, Attached is the latest Robotrader spreadsheet. As you may recall, we tried several different approaches to minimizing the cost of the market running up and then down again. The solution which gave the best solution was also the simplest one. Principles as follows: - Basically an advanced Offset to Last Trade - Definitions - Intensity: Measures the length of time between transactions as a rolling average over the last x number of transactions (the Intensity Factor) - Intensity Factor: The number of transactions used in calculating the rolling average Intensity - Dead Interval: The period of time in which (if nothing occurs), an event or transaction is deemed to take place. - Offset Reversion Ratio: The percentage by which the Offset will be reduced if a Dead Interval passes - Spread Minimum: The minimum spread which can be used. - Offset Minimum: The minimum offset which may be used. - Spread-Offset Minimum: The minimum amount by which the spread must exceed the offset - Spread Reversion Rate: The amount in dollars by which the spread will decrease if a Dead Interval passes - Position Sensitivity: The position which, if exceeded, will cause the V Factor Adjustment to increase - V-Factor adjust: The amount by which the Momentum will be increased if the Position Sensitivity is exceeded. - Momentum: The measure of the degree to which the market is either just buying or just selling - Adjusted Momentum: A Momentum number which may be boosted, causing a larger price reaction when the Position Sensitivity is exceeded. - Offset: The amount by which a bid or offer will be increased/decreased when a transaction occurs. - Spread: The difference between the bid and the offer - General Principles and Mechanics - As each Sell (Buy) occurs, the Momentum decreases (increases). - The Adjusted Momentum is the same as the Momentum, unless the Position Sensitivity is exceeded. - If the Position Sensitivity is exceeded, then the Adjusted Momentum is boosted by the V-Factor Adjustment - The Offset is calculated by looking up the Offset value on a table for the specified Adjusted Momentum - The Spread is calculated by looking up the value to boost (decrease) the Spread on a table for the Specified Intensity - As the Intensity value drops, the Spread widens. As it increases, the Spread decreases. - In a running market, the offset will increase quickly. If it establishes a new level, the Offset will slowly decrease - If the market runs up and whipsaws back, the offset will stay large - If a market range trades, the offset will trend to zero. - If there are a large number of transaction in succession, the spread will widen - If there are a small number of transactions in succession, the spread will tighten. Dave
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