for FAQs visit https://algoji.

com/algo-trading-faq/
for FAQs visit https://algoji.com/algo-trading-faq/
Introduction

for FAQs visit https://algoji.com/algo-trading-faq/

First Step

for FAQs visit https://algoji.com/algo-trading-faq/

Algoji Events

05/05/2018 Mumbai
03/02/2018 Bangalore
29/10/2017 Chennai
07/10/2017 Chandigarh CII hall
22/07/2017 Ludhiana Stock Exchange
10/05/2017 Mumbai
22/04/2017 Kolkata
18/03/2017 Ahmedabad

for FAQs visit https://algoji.com/algo-trading-faq/

Todays Speakers
Mr. D.K. Agarwal – Chief Guest & Keynote Speaker
Chairman & Managing Director - SMC Investments & Advisors Ltd.

Sr. Vice President - PHD Chamber of Commerce & Industry

Narinder Wadhwa, Alternate President, CPAI- Guest of Honor

Vishal Mehta CMT - Thomson Reuters

Vaibhav Sethi - CEO, QuantX

Govind Jhawar - Derivatives Trader –Finideas

Puneet Bareja - Founder Bulls n Bears
Anubhav Sethi - CEO, AlphaSix Capital
Abhishek Agnihotri - Independent Derivatives Trader
Mayank Singh - CNB Finwiz Ltd
Saurabh Lohiya - Co-founder, AlgoJi
Prateek Singh - Founder, LearnApp
for FAQs visit https://algoji.com/algo-trading-faq/
Ritesh Kumar - India International Exchange (IFSC)
Overview of Algorithmic Execution and Robo Advisory

Presented By : Vishal Mehta, CMT

Thomson Reuters

for FAQs visit https://algoji.com/algo-trading-faq/

Most Important Questions

Q : Who wants to only make profits in

the markets ?

for FAQs visit https://algoji.com/algo-trading-faq/

Most Important Lessons

“Markets are nothing but a systematic Transfer of

Money from Undisciplined Trader to Disciplined
Trader” - Trading Proverb
for FAQs visit https://algoji.com/algo-trading-faq/
Most Important Questions

Why Algorithmic Trading ? SEBI – Securities Exchange Board of

India

2016 SEBI Discussion Paper on Algorithmic Trading

The regulatory body mentioned that more than 80%
orders placed on exchanges are generated by
algorithms.

The contribution of algorithms in the total numbers of

trades was approximately 40%.

for FAQs visit https://algoji.com/algo-trading-faq/

Volume Generated by Algorithms : Survey

for FAQs visit https://algoji.com/algo-trading-faq/

India Growth Story

Source : Quantinsti.com/blog

for FAQs visit https://algoji.com/algo-trading-faq/

Trading Infrastructure spending

Where else?
• Colo/Datacenters
• Trading Lines
• Inter Destination lines
• Technology Development
• Hardware
• Salaries

Source : Quantinsti.com/blog

for FAQs visit https://algoji.com/algo-trading-faq/

Why Algorithms : Reasons

for FAQs visit https://algoji.com/algo-trading-faq/

How ?
Survey Results which include full-time traders and small trading floors in India. Institutional Desks are omitted
Trading Strategies : Algorithmic
What is different kind of Algorithmic Trading

Automated Trading

Algorithmic Trading

Quantitative Trading

BlackBox Trading

HFT Trading

System Trading

Statistical Arbitrage

Robo Advisory

for FAQs visit https://algoji.com/algo-trading-faq/

How to Chose Execution Algo

1. Urgency of Trade (Entry vs Exit, Momentum vs Mean

Reversion)

2. Order Qty compared to Quantity available from Buyers &

Sellers

3. Elasticity (contracts which are based on very liquid

underlying are very elastic, even though illiquid)
for FAQs visit https://algoji.com/algo-trading-faq/
4. Single-leg or Multi-leg
Saving of 2 Lac per month

Breakout Strategy : Say you want to buy when a stock prices crosses above Rs. 101 ( above resistance or
whatever reason)

The stock LTP prints 101.00, then 101.05, then 101.20, 101.25 etc (buying triggers momentum in stock)

You typically end up buying 101.20 when manual order sent on LTP of 101.00. This is because when LTP
is 101.00, the bid is at 101.00, while ask is at 101.05 or higher (as the stock is moving up)

Why not automatically trigger order when ask is at 101.00, instead waiting for LTP to be 101.00

Save 0.1% slippage per trade, or 2 lac per 20 crore

for FAQs visit https://algoji.com/algo-trading-faq/

Types of Execution Algorithms : Basic Algorithmic Trading Strategies:

1)LTP Vs Bid/Ask Trigger

2)Conditional Orders

3)Aggressive Execution Strategies

for FAQs visit https://algoji.com/algo-trading-faq/

Types of Execution Algorithms : Price Based Algo

1)Target Close (Day)

2)Jobbing/scalping Algo

3)Pivot Trading Algo

4)Open Range High Low Breakout Algo

5)Range Trading Algo

for FAQs visit https://algoji.com/algo-trading-faq/

Types of Execution Algorithms Big order or Institutional Algo

1)Implementation Shortfall

2)Opertunitistic Target Completion Algo (OTC)

3)Time Weighted Average Price (TWAP)

4)Percentage of Volume : (POV)

5)Volume Wieghted Average Price(VWAP)

for FAQs visit https://algoji.com/algo-trading-faq/

Types of Algo : Options Trading

1)Calendar Spread

2)Delta Hedging

3)2/3/L Option Strategies such as strangle, Straddle, Bull Call Spread, Put
Spread

for FAQs visit https://algoji.com/algo-trading-faq/

Pair Trading

Presented By : Mayank Singh

 A pair trade is the taking of a long
position in one security together with an
equal short position in another that is
strongly correlated with it. It is sometimes
used to refer to multiple long and short
positions that are similarly matched .

for FAQs visit https://algoji.com/algo-trading-faq/

ELEMENT OF PAIR TRADING

Pairs Trading is the synthesis of 3 basic elements

1- The Market Neutral Element: Market neutrality is central to pairs trading because it drives how trades are built and
analyzed, it defines relative risk metrics & it serves as the basis for the overall trading strategy .

2- The Arbitrage Element : Arbitrage is central to pairs trading because it provides the framework for the success or
failure of a trade, and, therefore is the basis of absolute risk management .

3-The Technical Analysis Element : Technical analysis is central to pairs trading because it provides many of the tools
by which a trader may make decisions about both the quality and the timing of any potential trade

for FAQs visit https://algoji.com/algo-trading-faq/

MARKET NEUTRAL ELEMENT

Many types of neutrality must be considered:

Sector or Industry Neutrality: A pairs trade that crosses sector or industry lines may be statistically attractive, but each leg of the
trade is acted on by different market forces that may affect the ultimate success of the trade .

Market Capitalization Neutrality: Pairing stocks with significantly different market caps may leave a trade vulnerable to regular
market rotations.

Beta Neutrality : Pairing stocks with significantly different betas builds a market direction bet into a trade where it may not be
wanted. While total beta neutrality is very difficult, a pairs trader must always be aware of the betas of the two stocks he or she is
pairing

for FAQs visit https://algoji.com/algo-trading-faq/

The Trading Process Model

Screening Tool

Technical Analysis

Market Element

Neutral Element

Arbitrage

Fundamental / Technical Overlays Element

Additional Statistical Filters PAIRS PORTFOLIO

for FAQs visit https://algoji.com/algo-trading-faq/

Product rationale

Aim to generate returns from a portfolio in an all-seasons environment Reduce the “market risk (beta)” by investing in
“stocks/derivatives with pair trades,Pair trades will illustrate our positive and negative convictions in stock ideas,The fund
would endeavor to attain market neutrality by means of executing pair trades, Pair trades can be done on stocks and
indices, Basic premise: Aims to “Generate returns” in all market conditions, An extension of our “active fund management”
skills Stock selection would generate the returns (alpha) of the fund

for FAQs visit https://algoji.com/algo-trading-faq/

Trading & Investment strategies

– A-Long stock (equity) – Short stock futures Strategy B: – Long stock futures – Short stock futures Strategy C: – Long stock (equity) /
stock futures – Short index futures Strategy D: – Long index futures – Short stock / futures Strategy.

for FAQs visit https://algoji.com/algo-trading-faq/

 Investment philosophy:

Portfolio returns

Situation A:Stock A – long stock futures; stock B – short stock futures – Post trade, price of stock A goes up and post trade, price of stock
B goes down – This is a best case scenario, where such trades will result in profits in both the legs of the trader.resulting in profit Situation

B: Stock A – long stock futures; stock B – short stock futures– Post trade, price of stock A goes up more than stock B – Relative out
performance of stock A compared with stock B Situation

C: Stock A – long stock futures; stock B – short stock futures – Post trade, price of stock A goes down less than stock B – Relative out
performance of stock B compared with stock A Situation D: Stock A – long stock futures; stock B – short stock futures – Post trade, price
of stock A goes down while stock B goes up (worst case scenario) – Trade going the other way.

for FAQs visit https://algoji.com/algo-trading-faq/

SOME EXAMPLE OF INDIAN STOCK
MARKET
1- Indusind Bank Vs. Bharat Financial

for FAQs visit https://algoji.com/algo-trading-faq/

ACC VS AMBUJA

for FAQs visit https://algoji.com/algo-trading-faq/

HDFC BANK Vs.KOTAK BANK

for FAQs visit https://algoji.com/algo-trading-faq/

BPCL VS HPCL

for FAQs visit https://algoji.com/algo-trading-faq/

HDFC LIMITED VS HDFC BANK

for FAQs visit https://algoji.com/algo-trading-faq/

KOTAK BANK VS INDUSIND BANK

for FAQs visit https://algoji.com/algo-trading-faq/

Volatility Play in Options

Presented By : Abhishek Agnihotri

 In automated environment…

for FAQs visit https://algoji.com/algo-trading-faq/

Why to consider options for trading

Specially designed products for every size of investment

Ultimate flexibility for managing risk

One can play all kinds of market situations

Any combination of risk/reward can be designed using your wisdom

Cost effectiveness

for FAQs visit https://algoji.com/algo-trading-faq/

Options players in the market
Options buyers

Option writers

Options as hedge tool

Options for structured products

Various options strategies for different scenarios

for FAQs visit https://algoji.com/algo-trading-faq/

Options pricing
Basic lingo

Moneyness and time factor in options

Market timing and options behavior

• First week of expiry

• Mid way

• Last week

Things to consider in options price

for FAQs visit https://algoji.com/algo-trading-faq/

Options Greeks
Delta: Price sensitivity

Vega: Volatility sensitivity

Gamma: Delta sensitivity

Theta: Time sensitivity

Rho: Interest rate sensitivity

for FAQs visit https://algoji.com/algo-trading-faq/

Vega demystified
Volatility : Function of standard deviation

Vega

Factors to watch out for

Types of volatility:

• Historical

• Implied

• Realized

for FAQs visit https://algoji.com/algo-trading-faq/

How to play volatility
Common practices:

• Single side options with delta neutral trade

• Volatility spreads with/without delta neutrality

• Calendar Spreads

for FAQs visit https://algoji.com/algo-trading-faq/

One sided buying/selling iv
IV bying/selling consist of creating long/short position in options with delta neutrality in underlying

Things to look for

• General range for past 5-7 days

• IVP

• Events/corporate outcomes

• Cash to future spread

• Liquidity

• Moneyness

for FAQs visit https://algoji.com/algo-trading-faq/

Vol spreads
We create spreads in options based on their ivs, we punch a delta neutral trade to capture noises in ivs of different strike price of same
stock/index.

Types

• Back spreads: Dr Spread

• Front spreads: Cr Spread

• Ratio spreads: Dr/Cr Spread

Important concepts

• Vol smile, Vol skew, Flat curve

for FAQs visit https://algoji.com/algo-trading-faq/

Reliance
Vol Smile visible:
Nifty
Vol Skew visible:
Calendar Spreads

Effective strategy for capturing theta decay

Combinations can be created in such an effective manner where one can enjoy both Vega and theta same side

Directional views can also be implemented in calendar trades with minimum risk

Diagonal spreads can also be implemented in calendar

for FAQs visit https://algoji.com/algo-trading-faq/

Adapting vol play in your trading setup
Need to have robust trading setup which can take several inputs and put them altogether to execute the trade

Algorithmic trading is best suited for trading options vol because of multi-legged trade executions and lesser opportunities

Trading setup must be able to handle slippages and primary level risk management

for FAQs visit https://algoji.com/algo-trading-faq/

Demystifying Algorithmic Trading

Presented By : Anubhav Sethi

In the world of trading, Algorithmic Trading is that new species

➢ Around for almost a decade

➢ Growing

➢ Evolving

➢ Top of the trading hierarchy

for FAQs visit https://algoji.com/algo-trading-faq/
 What we are seeing is a transition from

Grey Box Trading

Manual Trading for FAQs visit https://algoji.com/algo-trading-faq/

 What is Algorithmic trading?
An algorithm is defined as set of rules that must be followed, when solving a particular problem.

Algorithmic trading can be defined as set of rules that directs trading (Buy/Sell) decisions.

Decision Execution
Set of rules
Making Engine Engine
for FAQs visit https://algoji.com/algo-trading-faq/
 Speed

Multi-Tasking

Eradicating Emotions
for FAQs visit https://algoji.com/algo-trading-faq/
How fast is fast enough.

Algos which has 1 minute as lowest time frame to trade.

• Quant based/ TA based

• Trend following or mean reverting systems.

Do not require Co-Location / Super Computers

for FAQs visit https://algoji.com/algo-trading-faq/
for FAQs visit https://algoji.com/algo-trading-faq/
Multitasking

Multiple Operations

Faster Processing of
Information

for FAQs visit https://algoji.com/algo-trading-faq/

 Eradicating Emotions
Known Risk

Unkown Risk

for FAQs visit https://algoji.com/algo-trading-faq/

 Future Generation of Traders
Programming

Core Engine Strategy Level

Programmers Programmers
Financial R
C Instruments
Markets
C++ Python

AFL /
Multicharts
Technical Risk
Analysis Management

for FAQs visit https://algoji.com/algo-trading-faq/

 Manual trader

Algo
Traders Investor

Trading Investment

for FAQs visit https://algoji.com/algo-trading-faq/

Education in Algorithmic Trading

Presented By : Prateek Singh

 Started trading

I dropped out from class 8 and started trading.

I am profitable.

I am not formally educated.

What if successful people could teach? And that’s how learnapp was
born.

In my first 5 years of trading I lost money.

for FAQs visit https://algoji.com/algo-trading-faq/

 If I flip a coin 100 times (50% prob)

It’s LIKELY you get AROUND ________ heads

You could get 7 heads

1. Probability is not a certainity

2. You need a large sample size to judge
probability.

for FAQs visit https://algoji.com/algo-trading-faq/

 Risk Management

Venture Capitalists - only 10% of companies make 90% of all profits

Private Equity- only 10% of companies make 90% of all profits
Mutual Funds - only 10% of companies make 90% of all profits

Group of companies - only 10% of companies make 90% of all

profits

As a trader, 10% of your trades will make 90% of all the money.

Rakesh Jhunjhun - Titan

Warren Buffet - Pepsico
for FAQs visit and Geico
https://algoji.com/algo-trading-faq/
 The system

-100 +30
0

1:3 RR ratio 110% a year

65% win:loss 15% drawdown
Less trades Less trades
for FAQs visit https://algoji.com/algo-trading-faq/
Always use a stop loss

What is a stop loss?

Maximum risk a trader is willing to take in a

particular trade.

____ % should be the maximum stop loss in an

intraday trade.

____ % should be the maximum stop loss in a

positional trade.
 Execution is 90% of the battle

Backtest:

2 trades a day
1% risk per trade

Backtest showed 60%

Real trades made 10%

for FAQs visit https://algoji.com/algo-trading-faq/

 Execution is 90% of the battle

Backtest:

2 trades a day
1% risk per trade

Backtest showed 60%

Real trades 10%

Lost 0.1% because manually trading was too slow.

66 trades a month meant 4.4% loss every-month, 52%
loss a year

for FAQs visit https://algoji.com/algo-trading-faq/

 Cognitive Biases that affect trading

1. Selection bias

2. Outcome bias: judging a situation by outcome rather than by the quality of

decision at the time it was made. Tweaking monster.

3. Recency Bias

for FAQs visit https://algoji.com/algo-trading-faq/

Execution is 90% of the battle

for FAQs visit https://algoji.com/algo-trading-faq/

So is the knowledge.
LearnApp is born

for FAQs visit https://algoji.com/algo-trading-faq/

Employment in Capital Markets
Past, Present and Future

Presented By : Puneet Bareja

Journey Since 1984

for FAQs visit https://algoji.com/algo-trading-faq/

NSE Opens for Trading 1994

for FAQs visit https://algoji.com/algo-trading-faq/

Algorithmic Trading Starts 2008

for FAQs visit https://algoji.com/algo-trading-faq/

Trading Desks Wiping Out 2008

for FAQs visit https://algoji.com/algo-trading-faq/

Trading Career Growth 2008

for FAQs visit https://algoji.com/algo-trading-faq/

for FAQs visit https://algoji.com/algo-trading-faq/
for FAQs visit https://algoji.com/algo-trading-faq/
Collaborating for Success

Presented By : Govind Jhawar

Year of Collaboration
for FAQs visit https://algoji.com/algo-trading-faq/
 Early Age - Systems
Ahmedabad Stock Exchange

Kolkata Stock Exchange

Delhi Stock Exchange

for FAQs visit https://algoji.com/algo-trading-faq/

They made huge money

for FAQs visit https://algoji.com/algo-trading-faq/

 Live Example of Market – Strategy
Rules :
● Only Options Trading
● Positional Trade
● Trades in Spread
● Bullish / Bearish / Volatile View
● Stop Loss System
● Weekly Square off
● Limited Risk Strategy
for FAQs visit https://algoji.com/algo-trading-faq/
When Tested at End of the Day Data

Profit 23.37%
Qty Traded 12100
Win Month 59%
Lose Month 41%

for FAQs visit https://algoji.com/algo-trading-faq/

When Tested at Intraday Data

Profit 23.37% 37.02%

Qty Traded 12100 25200
Win Month 59% 67%
Lose Month 41% 33%

for FAQs visit https://algoji.com/algo-trading-faq/

When started in Real Market Algorithmic Trading

Profit 23.37% 37.02% 17.23%

Qty Traded 12100 25200 15875
Win Month 59% 67% 77%
Lose Month 41% 33% 23%

for FAQs visit https://algoji.com/algo-trading-faq/

 After Improving in Algorithms

Profit 23.37% 37.02% 17.23% 19.57%

Qty Traded 12100 25200 15875 26250
Win Month 59% 67% 77% 72%
Lose Month 41% 33% 23% 58%

for FAQs visit https://algoji.com/algo-trading-faq/

 For Successful Earnings in Market
● Funds & Logical Risk taking

● Ideas - Research - Data Testing

● Algorithms & Technology

for FAQs visit https://algoji.com/algo-trading-faq/

 Keeping All 3 at your end is
● Highly Expensive

● Unspecialised

● Low Experienced

for FAQs visit https://algoji.com/algo-trading-faq/

Best way to get all three is

Collaborate
Benefits :
● No additional Costs

● Earn and Share Formula

● Easy to Start and Easy to Stop

● Always Updated

for FAQs visit https://algoji.com/algo-trading-faq/

 Action Plan - Find
● Members for Funds and Logical risk Taking

● Good Analyst Teams for research in different Segments

● Good Algorithms & Technology

for FAQs visit https://algoji.com/algo-trading-faq/

Scope for all of us
● Equity Exchanges

● Currency Exchanges

● Commodity Exchanges

● Foreign Market Trading

for FAQs visit https://algoji.com/algo-trading-faq/

Strategies, Big Data and Data Science

Presented By : Abhishek Agnihotri

for FAQs visit https://algoji.com/algo-trading-faq/
for FAQs visit https://algoji.com/algo-trading-faq/
for FAQs visit https://algoji.com/algo-trading-faq/
for FAQs visit https://algoji.com/algo-trading-faq/
for FAQs visit https://algoji.com/algo-trading-faq/
for FAQs visit https://algoji.com/algo-trading-faq/
for FAQs visit https://algoji.com/algo-trading-faq/
for FAQs visit https://algoji.com/algo-trading-faq/
for FAQs visit https://algoji.com/algo-trading-faq/
for FAQs visit https://algoji.com/algo-trading-faq/
for FAQs visit https://algoji.com/algo-trading-faq/
for FAQs visit https://algoji.com/algo-trading-faq/
for FAQs visit https://algoji.com/algo-trading-faq/
for FAQs visit https://algoji.com/algo-trading-faq/
for FAQs visit https://algoji.com/algo-trading-faq/
for FAQs visit https://algoji.com/algo-trading-faq/
for FAQs visit https://algoji.com/algo-trading-faq/
for FAQs visit https://algoji.com/algo-trading-faq/
for FAQs visit https://algoji.com/algo-trading-faq/
for FAQs visit https://algoji.com/algo-trading-faq/
for FAQs visit https://algoji.com/algo-trading-faq/
for FAQs visit https://algoji.com/algo-trading-faq/
for FAQs visit https://algoji.com/algo-trading-faq/
for FAQs visit https://algoji.com/algo-trading-faq/
for FAQs visit https://algoji.com/algo-trading-faq/
for FAQs visit https://algoji.com/algo-trading-faq/