Zerodha nesti3

Zerodha nesti3, algoZ user manual for algorithmic trading.

1. Introducing Next Generation Execution Algorithms
Zerodha Nest i3

2. Zerodha Nest i3 - Introduction
Zerodha Nest i3 is a comprehensive package with more than 13
predefined sophisticated execution algorithms.
Nest i3 supports a multitude of order types and algos that can help limit
risk, speed of execution, provide price improvement, allow privacy, time
the market and simplify the trading process through advanced trading

functions.
Dealers can choose from these wide variety of algorithms that suits
their requirement to execute their orders with ease and in the most
efficient manner.

3. Zerodha Nest i3 – Key Advantages
Limited Risk Speedy Execution
Price
Improvement
Hide Large
Orders

4. Zerodha Nest i3 – A package of 13 algos

5. Zerodha Nest i3 – Classification
Reduce Your
Risk
Trailing Stops
Bracket
Aggressive
Execution
Discretionary
Market/Limit if
touched
Pegged to Market
Sweep to Fill
Better
Average Price
Mid Point
Active Relative
Passive Relative
Scale
Automated
Slicing
Iceberg
Time Slicing
Volume Participation

6. Zerodha Nest i3 – Strategies
Order Validities
Good for Day Good till Cancelled Good after time Good after day
Immediate or
Cancel

7. Zerodha Nest i3 - Iceberg
The Iceberg algorithm is suitable for
trading large order quantities where
duration is of no importance
Iceberg algorithm posts small orders into
the market while holding the balance
to optimize price and size of various
orders while keeping in synch with
each tick in the market.
Once the previous posted orders are
executed they are replaced with the next
chunkofordersofthe same sizeasthatof
the previous one.

8. Zerodha Nest i3 - Volume Based Participation
Volume based participation executesin
line with prevailing volumeata target
participation rate until the orderis
completed.
The algorithmisusedtotradeuptothe
order quantity using a rateofexecution
thatisinproportiontothe actual volume
tradinginthe market.
Ifthe trader wantstotrade not more than
one thirdofthe market volume, then
Volume based participationisthe ideal
algorithmtobeused.

9. Zerodha Nest i3 - Time Based Order Slicing
Timer based order slicing algorithm
executesanorder using time linear
slicing.
Timer based order slicing slices theordersinequal proportions across
the specified time frame.

10. Zerodha Nest i3 - Sweep-t o-Fill
The algorithmisusedtotradeuptothe order
quantity using a rateofexecution thatis in
proportiontothe actual volume tradinginthe
market.
The algorithm removes portions of
liquidity as and when it is available in
the market, i.e., it identifies the best
price available in the market and the
quantity available against that price
and sends out the exact portion of
the order for immediate execution.

11. Zerodha Nest i3 - Scale
Scale algorithm uses price, upper limit and lower
limit specifiedtoautomatically scale large orders
into smaller portions and send theseaslimit
orders. Hence ensures that larger sized trades are
not subjecttoincreasingly deteriorating prices.
The algorithm will slice the orderstobeplaced
basedonthe spread difference mentioned.
Once the quantitytobeplaced has been calculated
itwill place all the ordersaslimit ordersatonce.

12. Zerodha Nest i3 – Trailing Stops
This algo allows you to set a trailing stop loss
for every buy and sell order
You can define the trailing ticksas aninput
The algo will continiously monitor and modify
your stop ordersasprice changes.

13. Zerodha Nest i3 - Active Relative
Active Relative algorithmisused when the user
seeks a more aggressive price than the best bid and
offer price.
The algorithm slices the orders basedontime
linear slicing and while placing the orders thealgorithm will place more aggressive bids and
offers than the current best bids and offers.
The order priceisautomatically adjustedasthe
market movestokeep the orders more aggressive.

14. Zerodha Nest i3 – Bracket
Bracket your orders with a profit leg and a stop
loss leg
Assoonasthe main orderisexecuted the system
will place two more orders (profit taking and stoploss)
When oneofthe two orders (profit takingorstop
loss) gets executed the other orderwillget
cancelled automatically.

15. Zerodha Nest i3 - Passive Relative
Passive Relative algorithmisused when the user
seeks a less aggressive price than the best bid and
offer price.
The algorithm slices the orders basedontime
linear slicing and while placing the orders thealgorithmwillkeep these orders peggedtothe
best bid for buy orderorask price for sell order
respectively.
The order priceisautomatically adjustedasthe
market movestokeep the order less aggressive.

16. Zerodha Nest i3 - Pegged to Market
The PeggedtoMarket algorithmisusedtopegthe
limit order pricetothe best available ask/bid
price.
This algorithm continuously modifiesan
unexecutedorder’slimit pricetothe best
available ask/bid price until the order gets
filled.

17. Zerodha Nest i3 - Midpoint Match
Midpoint Match algorithm executes the orders at
the midpoint price, i.e., the midpoint of the best
bid and best ask price.
The algorithm slices the orders basedon
time linear slicing and while placing the
orders the algorithm will place these
ordersatthe midpoint price calculated.

18. Zerodha Nest i3 - Market-i f-Touched
Market if Touched algorithm places buy/sell
order above or below the market.
The algorithm holds the orders until the
trigger priceistouched, only then the
algorithm will send out the ordersasa
market order.

19. Zerodha Nest i3 - Limit-if-Touched
Limit if Touched algorithm places buy/sell order at a
specified price or better, above or below the market.
The algorithm holds the orders until the trigger
priceistouched, only then the algorithm will send
out the ordersasa Limit order.
The algorithm will make sure that the orders are
executedatthe limit price mentionedorbetter.

20. Zerodha Nest i3 - Discretionary Order
Discretionary algorithmisusedtoincrease the price range
within which the orders are eligibletoexecute. While placing
the orders a“discretionary percentage”needstobespecified
basedonwhich the“discretionary price”isdetermined.
The algorithm then stands at the best bid/ask price with a
pre-defined percentage of the order quantity. Whenever a
price comes on the offer side/bid side which is within our
discretionary price the algo will fetch the same.
Once all the quantity at bid/ask side gets filled, the next
chunk for same size will go and stand as the best bid/best
ask so on and so forth until all the quantities has been
traded.

21. Zerodha Nest i3 – Algo Input Screen

22. Zerodha Nest i3 – Order Monitoring Screen

23. Zerodha Nest i3 – Array of algo control options
•Suspend
•Resume
•View/Modify Parameters

24. Conclusion
Standard
Execution
Nest i3
execution

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Contact us for a DEMO !