1. ORC TRADING – ETFAQ
Liquidator strategy for mass quoting ETF’s
ETFAQ
LIQUIDATOR STRATEGY FOR MASS QUOTING ETF’S
ETFAQ is a Java based mass quoting strategy developed for low-latency
performance in high frequency markets. It is fully integrated with the Orc Trader
and both mimics and extends the existing functionality available in the Auto
Trader.
Key features of the strategy are:
• Fully integrated with Orc Trader and operated
from normal Trading Window
• Handles constituents’ different open/closed
hours automatically by adding performance
from correlating indices.
• All parameters/settings are automatically
picked up on startup from server which
enables extensive integration
• Easily integrated with automatic basket
definition handling
• Extensive safety settings and exception
handling gives greater transparency
• Manages high frequency updates from both
constituents and FX in low-latency calculations
• Easy to add more features
• Parameters can be updated during runtime
• Automatic hedging
• Java based
Starting and running the strategy
The strategy is started on a per ETF basis and put in to the market by toggling the ‘a-flag’ column. Once
active, it is easy to change both quoting and pricing parameters. The ‘Th.Q.bid’ and ‘Th.Q.ask’ columns
display levels at which the ETFAQ would enter the market, these values in their simplest form are
controlled by offsets from your theoretical price. Once the correct price is acquired the ‘M-flag’ on contract
level is toggled to put the prices in to the market. See below:

2. ORC TRADING – ETFAQ
Liquidator strategy for mass quoting ETF’s
Settings
The strategy holds bespoke logic for dealing with ETFs with constituents spread over multiple markets or
markets with special opening hours. In the case that one or more components of the underlying index is
non active (e.g. halted, closed, suspended, non open market) it is possible to “snap” the component’s
price at a given point in time. It is then possible to add performance from another instrument (index)
during the component’s inactive phase to get the Fair Value and - when the component goes back into
normal phase - switch back.
These behaviors are fully customizable and automated and thus require very little management.
ETFAQ is configured on four different levels, for each quoted ETF:
1. Pricing file (located on the server) – holds pricing parameters and logic
2. Components file (located on the server) – holds component group membership settings
3. Groups file (located on the server) – holds snap settings and logic
4. Client settings (GUI) – manually adjusted pricing, quoting and hedging settings
Views
This view displays performance that is
being added to each group of
components (they are usually grouped
by exchange segment and currency).
This view displays the hedging status. If
any hedge orders are not hit with the
hedging logic played out its role, they
will be displayed as hung. User is also
able to customize how to react in those
cases, i.e. worsen price x number of
ticks every y number of seconds during
z amount of time.