Greeksoft GATS Automated Arbitrage

GATS

Automated Arbitrage

Cash to Future v 3.0.0 Future to Future v 3.0.0

Pairs trading v 3.0.0

GreekSoft Technologies Pvt. Ltd.

507, 5th Floor, Western Edge – 1,

Western Express Highway,

Borivali (E), Mumbai – 400 066.

Greek Soft Technologies Pvt. Ltd. GETS Version 3.0.0

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Proprietary Notice

This document contains confidential information of GreekSoft Technologies Pvt. Ltd., which is

provided for the sole purpose of permitting the recipient to application document submitted herewith.

In consideration of receipt of this document, the recipient agrees to maintain such information in

confidence and to not reproduce or otherwise disclose this information to any person outside the group

directly responsible for evaluation of its contents, except that there is no obligation to maintain the

confidentiality of any information which was known to the recipient prior to receipt of such

information from GreekSoft Technologies Pvt. Ltd., or becomes publicly known through no fault of

recipient, or is received without obligation of confidentiality from a third party owing no obligation of

confidentiality to GreekSoft Technologies Pvt. Ltd.


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Document Information

DOCUMENT CONTROL INFORMATION

AUTHOR Prakash Payer

DOCUMENT GATS Automated Arbitrage

VERSION 3.0.0

REVIEWER Rahul Yesale

REVIEW NOTES

VERSION NOTES 3.0.0

KEYWORDS

REVIEW DATE 10th

October 2012


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Introduction

This document gives overview of the GATS Automated Arbitrage module for cash to future, future to

future and pair trading.

Automated Arbitrage

GreekSoft arbitrage module provides the sophisticated arbitrage trading platform between different

scrip listed on exchange in EQ, FNO and CURRENCY Segment. This module supports the below

strategies.

Cash to Future quote arbitrage

Future to Future quote arbitrage

- Absolute Difference

- Absolute Ratio

- Product Difference

- Log Ratio

Future to Future opportunity arbitrage

Pairs trading quote basis

For opportunity based arbitrage the orders will be generated upon the availability of set price difference

on screen. The order will be two-leg order with validity as IOC.

For quote based arbitrage, first a counter order is generated and submitted. Upon receiving trades of

counter order, against order is submitted. Counter order generation will be decided on option selected

by user.

From Automated Arbitrage application, user can add/update the input parameters and control the

execution part.

GETS arbitrage functions from client side and GATS arbitrage functions from server side.

To launch Automated Arbitrage Client from GETS / GATS Arbitrage:


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Login Screen:

Client ID to log in is given by default (the same of Client Login Id) and user of the arbitrage must be

the same.

After clicking Login button, it will display Index Limit Setting window as shown below. First, User

must have to set the Index Limits for the Arbitrage type. Then it will ask for the previous parameter

settings i.e. to delete previous settings or not.


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Index Limits

User needs to specify lower and upper Index Limits for Index i.e. S&P Nifty in percentage in Index

limit form. If the fluctuation in the index is beyond the set limits, automated orders are blocks and the

user is intimated the same.


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Banned Scrip Check List

After Index Limits dialog user will be shown dialog for Banned Scrip Check List. This dialog has an

option to upload file consisting banned scrip by NSE. The file in .CSV format will be downloaded by

user from site of NSE. This dialog will show the scrip banned for trading. The banned scrip will not be

shown on settings window so as not to allow user to perform trade on them.


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RBI Violation Check for Foreign Institutional Investors (FII)

RBI (Reserve Bank of India) publishes check list for Scrip that are not allowed to trade for FII (Foreign

Institutional Investors) beyond specified limit. This check is performed immediately after banned scrip

check list. The user selects the banned scrip for FII’s from the given drop down box. The selected scrip

will not be shown in settings window for FII clients. The user can save this scrip in file (.txt) for further

reference using Save File option. This file can be loaded using Load File option.


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Market Wide Open Position Limit Check:

The open position for all the scrip settings is monitored regularly. If open position exceeds for certain

scrip then an alert message will be shown to the user. Also trading will stop for that particular scrip if it

exceeds the pre specified limit as set by NSE from time to time.


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Input Parameter Settings

The user can add or update the input parameter settings through Arbitrage Settings dialog in Arbitrage

window.

At any instance a user can add up to 100 rules per strategy. The number of orders submitted is

proportionate to the number of messages per second allowed.

The system allows the user to execute the following strategies:

Buy scrip1 and Sell scrip2

Sell scrip1 and Buy scrip2

User can select the instrument type, symbol and expiry date. He can also define the order lot of both the

scrip.

Cash to Future Quote Based

For example, if the user wants to execute Cash to Future ARB in RELIANCE with Spread of 1 for 10

lots. Then he needs to input the first and second scrip along with client / PRO id, order lot per scrip for

cash 500 & future 1 lot, Difference as 12, Order Lots as 1, Total lots as 10, Threshold Quantity

Percentage as 100, Cash Disclosed Quantity Percentage as 100, Absolute Quantity Percentage as 100,

Order Type as NORMAL and Timer as 2 second. Order Quantity should be multiple of lot quantity.

All orders involved in this model are two leg DAY orders with same underlying symbol.

Future to Future Quote Based

For Quote Based trading settings will be given as per Difference Type:


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Difference Type:

1. Absolute Difference

2. Absolute Ratio

3. Product Difference

4. Log Ratio

User can select the instrument type, symbol and expiry date. For particular scrip user cannot input two

client codes. He can also define the order lot of both the scrip.

1. Absolute Difference:

For example, if the user wants to execute Future to Future ARB in NIFTY with Spread of -5 for 10 lots.

Then he needs to input the first and second scrip along with client id, order lot per scrip for as 1 lot,

Difference as -5, Order Lots as 1, Total lots as 10, Threshold Quantity Percentage as 100, Order Type

as NORMAL and Timer as 1 second. Order Quantity should be multiple of lot quantity.

All orders involved in this model are two leg DAY orders with same underlying symbol.


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2. Absolute Ratio

For example, if the user wants to execute Future to Future ARB in HDFC Bank with Spread of 1 for 1

lots. Then he needs to input the first and second scrip along with client id, order lot per scrip for as 1

lot, Difference as 0.005, Order Lots as 1, Total lots as 1, Threshold Quantity Percentage as 100, Order

Type as NORMAL and Timer as 1 second.

Order generation is based on ratio between prices of Upper Leg & Lower Leg Symbol.

User can value neutral with define Equity.

Order Quantity should be multiple of lot quantity.


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3. Product Difference:





Order generation is based on ratio between values of Upper Leg & Lower Leg Symbol.

Value calculation is multiplication of Symbol price and Actual lot quantity.

Order Quantity should be multiple of lot quantity.


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4. Log Ratio





Order generation with basis of Natural logarithm of Upper Leg symbol Value with Lower Leg Symbol

Value.

User can value neutral with define Equity.

Order Quantity should be multiple of lot quantity


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JOBBING:

This function will work between both the rules when they are inserted simultaneous & enables the user

to update the traded lot of base rule into the reverse rule automatically & vice versa. User can also

define the no. of round can made between these two rules.

ORDER OPPORTUNITY:

This check identify the market difference between selected arbitrage combination when market

opportunity is greater than define opportunity difference system will start to generate counter order for

define profit difference.

Future to Future Opportunity Based

For Opportunity Based trading settings will be given as follows.



For example, if the user wants to execute Future to Future ARB in NIFTY with Spread of 5 for 10 lots.

Then he needs to input the first and second scrip along with client id, order lot per scrip for as 1 lot,

Difference as 5, Order Lots as 1, Total lots as 1, Threshold Quantity Percentage as 100, Order Type as

SPREAD 2LEG. Order Quantity should be multiple of lot quantity.


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All orders involved in this model are two leg IOC orders with same underlying symbol.

Pairs Trading Quote basis

For Pairs Trading Quote Based trading settings will be given as follows.

Various instruments supported under pairs trading quote are EQUITY, FUTIDX and FUTSTK. And the

settings are allowed among different contract expiry dates.



For example, if the user wants to execute Pairs Trading between HDFC Bank and ICICI Bank with

spread of 1 for 10 lots. Then he needs to input the first and second scrip along with client id, order lot

per scrip for HDFC Bank as 1 lot & ICICI Bank as 1 lots, Difference as 360, Order Lots as 1, Total lots

as 10, Threshold Quantity Percentage as 100, Order Type as NORMAL and Timer as 5 seconds. Order

Quantity should be multiple of lot quantity.

All orders involved in this model are two leg DAY orders with different underlying symbol.


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* The user needs to consider the quantity of cash on delivery side in case of net sell.


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Order Book and Pending Book:

Surveillance Settings

Through Admin user can set the limit for buy quantity, buy value, sell quantity, sell value, net quantity,

net value etc. Order will be submitted only when the values set are within the limit. Limit can be set for

client as well as for a particular dealer.


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Single Order Validation:

Single Order Lot Size – Single Order Lot

Single Order Value – Single Order value

Price% Change - Maximum LTP Percentage Change Check While Order Submission

Quantity validation:

Buy Qty - Maximum Overall Buy Quantity

Sell Qty - Maximum Overall Sell Quantity

Net Qty - Maximum Overall Net Quantity

Pending Order Validation:

Total Order Qty – Maximum Total Order Quantity for Pending order

Buy Order Qty – Maximum Buy Order Quantity for Pending order

Sell Order Qty – Maximum Sell Order Quantity for Pending order

Total Order Value – Maximum Total Order Value for Pending order

Buy Order Value – Maximum Buy Order Value for Pending order

Sell Order Value – Maximum Sell Order Value for Pending order

Value/Exposure Limit Based on:

Buy Limit – Maximum overall Buy Limit

Sell Limit – Maximum overall Sell Limit

Net Limit – Maximum overall Net Limit


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Turnover Limit – Maximum overall Total (Buy+Sell) Limit

MTM Limit – Maximum market to margin

Order failed for user due to Single Order value limit check

Greeksoft GATS Automated Arbitrage

Technology

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