Omnesys Technologies

Omnesys Algorithm List

January 6th, 2013

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Document Information

DOCUMENT CONTROL INFORMATION

DOCUMENT Omnesys Algorithm List

AUTHOR RUSHABH DOSHI / PRABHAKAR KUDVA
REVIEWER ATHUL KUDVA

VERSION NOTES This document briefs about Omnesys Algorithm List

KEYWORDS

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 Omnesys Algorithm List
Sr. Colo
Strategies Name Exchange/Segment Supported Required
Description
No
Technical Analysis Based Strategies
NEST Pulse is a trading tool that allows a user to trade based on technical analysis using
1 Nest Pulse NSE/NFO/CDS/MCX/ MCXSX No advanced charts and over 70 technical indicators. It allows the user to write his own
strategies, back-test them & execute them in the live

Intraday / Jobbing Strategies

In this strategy, buy orders will be placed at every dip while sell orders will be placed at
Single Order Jobbing
2 NFO/CDS/NSE No every rise. At what point the strategy should be buy or sell is dependent on the buy
Strategy
factor/sell factor.
In this strategy, series of buy orders and sell orders will be placed at the gap specified by
Multi-Slice Order Jobbing
3 NFO/CDS No the user. Once any of the orders gets traded, its subsequent profit order is placed
Strategy
immediately. The idea is to take advantage of the intraday volatility in particular scrip.
This is an agile strategy for jobbers. It will place three orders, initial order, take profit order
4 Bracket Order NFO/NSE/BSE/BFO/MCX/MCXSX/CDS No & stop-loss order. After trade of initial order, remaining 2 orders are immediately placed.
At completion of square-off/stop-loss order, the other order is automatically cancelled.
Inter-Exchange Strategy
This is an Inter-Exchange Arbitrage Strategy that takes advantage of the price differential
between the futures in one exchange and cash in another exchange. It is a participatory
5 NFO Vs. BSE Cash Bidding NFO-BSE No
algo that will try to ensure that user mandate is maintained by bidding the first leg based
on the user’s mandate.

This is an Inter-exchange Strategy that takes advantage of the price differential that exists
BSE Cash Vs. NSE Cash
6 NSE-BSE No for the same scrip trading in different exchanges. Bidding strategy ensures that there is a
Bidding
possibility of user getting more than the mandate one has specified.

This is an Inter-Exchange Strategy that takes the advantage of price differentials between
BSE Cash (IOC) Vs. NSE Cash
7 NSE-BSE No the same scrips trading in different exchange. IOC orders ensure that users mandate is
(IOC)
nearly maintained.
This strategy allows the user to do a 2L or 3L trading in futures and/or options. Any
8 2L3L Bidding Strategy NFO-BFO No combination of futures and/or options between two exchanges (NFO Vs. BFO) or any
futures and/or options combination in same exchange.

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 This strategy allows for arbitrage between two futures scrip of NFO and BFO segments
(Inter-Exchange) (i.e. buy one future scrip and sell another future scrip). This strategy
9 Value Neutral Pairs NFO-BFO No
ensures that the value / quantity difference between the two scrips is as close as one
another, thereby maintaining quantity/Value neutrality.
Nest Gemini is a GUI tool which allows user to create 2-Leg strategies between the
NEST GEMINI (Generic 2-Leg NSE/NFO/CDS/BSE/NCDEX/BFO/MCX/
10 No same/different exchange/product from a set of pre-defined parameters within a short
Spreader) MCX SX
span of time with ZERO programming knowledge.
Options Strategies (Plain Vanilla)
This strategy allows users to create any 2leg/3leg combination including
11 Option Hit Model (2L3L IOC) NFO/CDS Yes straddle/strangle/butterfly etc. Orders placed are IOC orders, thereby ensuring that user’s
mandate is maintained.
This strategy allows users to create any 2leg/3leg combination including
12 2L3L bidding NFO/CDS/BFO Yes straddle/strangle/butterfly, etc. It is a bidding strategy, wherein under certain condition,
user can get more than the desired mandate.
This Option strategy takes advantage of discrepancies in the value of synthetic positions or
13 Conrev IOC NFO/CDS Yes violation of put-call parity principle. Since, the order is 3L IOC order involving one call, one
put and one futures, user is nearly certain of maintaining the said mandate.
This Option strategy takes advantage of discrepancies in the value of synthetic positions or
violation of put-call parity principle. Because of bidding strategy, it will participate in the
14 Conrev Bid NFO/CDS/MCXSX Yes
market waiting for the opportunity. Bidding strategy under certain condition is known to
give more than the user’s desired mandate.
This is a 4-Leg Strategy that allows user to create any 4 leg option combination like Condor
15 4L Strategy (IOC + Bid) NFO/CDS Yes Strategy. Orders are placed as 3-Leg IOC + 1. In this strategy user has the choice whether to
place orders IOC based or bidding based.
This is a 4-Leg Strategy that allows user to create any 4 leg option combination like Condor
16 Option 4L IOC Strategy NFO/CDS Yes
Strategy. Orders are placed as 3-Leg IOC + 1.
Options Strategies (Hedging-Based)
Single Strike bidding is the Vol. strategy wherein User trades option based on user defined
17 Single Strike Bidding NFO/CDS/BFO No
IV and hedges it in futures based on the specified delta option.
This strategy is a vol-based Two-Leg Option strategy wherein the user trades two options
based on the IV/Rs Difference between two option contracts After completion of the
18 Differential Strike Hit Model NFO/CDS No
option trades, it will hedge in futures based on specified delta. Both options are placed as a
2-Leg IOC order.
This is also a Vol based two leg option strategy, wherein the user trades two options based
on the IV/Rs Difference between two option contracts After completion of the option
19 Differential Strike Bidding NFO/CDS No st
trades, it will hedge in futures based on specified delta. Bidding of the 1 option can be
based on the IV-Difference or Rs. Difference
The nest auto delta hedging tool enables the user to trade options based on user defined
20 Nest Auto Delta Hedging NFO/CDS No
IV and with automated future/cash hedge calculation and execution.

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 This strategy is for the in-the money options that takes into account the intrinsic value and
In the Money Option
21 NFO/CDS No the user defined premium/discount. After the completion of the option trade, the future is
Strategy
hedged based on the delta specified.
This is a non-IV based Delta Hedging Option Strategy wherein user only specifies the option
Delta Hedging Based on price, future reference price and the delta. Option price changes based on the delta
22 NFO/CDS No
Reference Price Movement specified and the change in the reference future price. After the trade of option leg, future
is hedged accordingly to the specified delta.
Pair Strategies (2-Leg)
This strategy allows user to trade in pairs for two different scrips in the same Exchange for
23 Generic Pair NFO No
a given spread/ratio.
This strategy allows user to trade in pairs for two different scrips in the same Exchange for
24 Value Neutral Pair NFO/CDS/MCXSX/NSE /NCDEX No a given spread/ratio. This strategy ensures that the value / quantity difference between
the two scrips is as close as one another, thereby maintaining quantity/Value neutrality.
This strategy allows user to trade in pairs for two different scrips in the same Exchange for
25 VN Pairs – Value Based MCX No a given spread/ratio. This strategy ensures that the value difference between the two
scrips is as close as one another, thereby maintaining Value neutrality
This strategy allows user to trade in pairs for two different scrips in the same Exchange for
26 VN Pairs – Quantity Based MCX No a given spread/ratio. This strategy ensures that the quantity difference between the two
scrips is as close as one another, thereby maintaining quantity neutrality
This strategy allows user to trade in pairs for two different scrips in the same Exchange for
27 Generic Pair Stop Loss NFO/CDS No
a given spread/ratio. It is usually used for stop-loss pair orders
Nest Gemini is a GUI tool which allows user to create 2-Leg strategies between the
NEST GEMINI (Generic 2-Leg NSE/NFO/CDS/BSE/NCDEX/BFO/MCX/
28 No same/different exchange/product from a set of pre-defined parameters within a short
Spreader) MCX SX
span of time with ZERO programming knowledge.
Market Making Strategies
This strategy allows user to stand on both sides of the book at a specified gap from the
29 Book Maker BFO No
LTP.
Value Neutral Pair Market This strategy allows user to stand on both sides of the book based on the price of the other
30 NFO-BFO No
Making selected tokens of the pair.
This Strategy is a Vol-based market making strategy wherein user is allowed to stand on
31 Single Strike Market Making BFO No both side of the option token in BFO based on the volatility of the Nifty Options IV. Once
the option at any side is traded, it is hedged with BFO futures
Cash (BSE) Future (BFO) This strategy allows user to stand either in future/ cash scrip on both sides in a book based
32 BSE/BFO No
Market Making on the price of the token and the mandate specified.
This allows user to stand and bid on both sides of the market depth for a particular token
Two Way Conversion
33 NFO No (Call, Put or Futures) based on the conversion rate and reversal rate specified by the user
Reversal Bidding Strategy
and the price of the other two tokens (Call, Put or Futures).

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 Execution Strategies
This algorithm is used to trade a fixed quantity order over a set period of time. The
34 Nest Gate: TWAP NSE/NFO/CDS/BSE/BFO/MCX/MCX SX No order is broken down into discrete time intervals (waves) with an equal quantity to
be traded in each wave.

Execution in line with prevailing volume at a target participation rate until the order is
35 Nest Gate: POV NSE/NFO/CDS/BSE/BFO/MCX/MCX SX No
completed.

The Display size algorithm posts small orders into the market while holding the
36 Nest Gate: Display Size NSE/NFO/CDS/BSE/BFO/MCX/MCX SX No balance to optimize price and size of various orders. Once posted orders are executed only
then are replaced with a new order.

Attempts to match the VWAP (Volume Weighted Average Price) over a defined time period
37 Nest Gate: VWAP NSE/NFO/CDS/BSE/BFO/MCX/MCX SX No
by executing the order as per the historical volume curve of the stock.

Liquidity-Seeker is a liquidity-capturing algorithm. Its primary aim is to execute the order as

38 Nest Gate: Liquidity Seeker NSE/NFO/CDS/BSE/BFO/MCX/MCX SX No quickly as possible, at the best available price, while minimizing market impact and
information leakage.
Price Band automatically adjusts the targeted participation rate according to the price until
39 Nest Gate: Price Band NSE/NFO/CDS/BSE/BFO/MCX/MCX SX No
the order is completed.
Implementation Shortfall algorithm allows users to modify the participation rate based on
Nest Gate: Implementation
40 NSE/NFO/CDS/BSE/BFO/MCX/MCX SX No changes in the price levels. This can be extremely useful to manage market impact and
Shortfall
achieve execution close to the arrival price.
Three types of Order Slicing: Time Based Order Slicing, Order slicing based on market field
41 Order Slicing NSE/NFO/CDS/BSE/BFO/MCX/MCX SX No
value, & Market Volume based slicing
Iceberg algorithm posts small orders into market while holding the balance to optimize
42 Nest i3 – Iceberg NSE/NFO/CDS No price and size of various orders while keeping in synchronization with each tick in the
market
Volume based participation executes in line with prevailing volume at a target participation
Nest i3 – Volume Based
43 NSE/NFO/CDS No rate until the order is completed. The algorithm is used to trade up to the order quantity
Participation
using a rate of execution that is in proportion to the actual volume trading in the market.
Nest i3 – Time Based Order Timer based order slicing algorithm executes an order using time linear slicing. Timer
44 NSE/NFO/CDS No
Slicing based order slicing slices the orders in equal proportions across the specified time frame
Sweep-to-Fill algorithm is a liquidity capturing algorithm which in turn gives precedence to
45 Nest i3 – Sweep To Fill NSE/NFO/CDS No speed of execution over price. The algorithm removes portions of liquidity as and when it
is available in the market

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 Scale algorithm uses price, upper limit and lower limit specified to automatically scale large
46 Nest i3 - Scale NSE/NFO/CDS No orders into smaller portions and send these as limit orders. The algorithm will slice the
orders to be placed based on the spread difference
Active Relative algorithm is used when the user seeks a more aggressive price than the
best bid and offer price. The algorithm slices the orders based on time linear slicing and
47 Nest i3 – Active Relative NSE/NFO/CDS No
while placing the orders the algorithm will place more aggressive bids and offers than the
current best bids and offers
Passive Relative algorithm is used when the user seeks a less aggressive price than the best
bid and offer price. The algorithm slices the orders based on time linear slicing and while
48 Nest i3 – Passive Relative NSE/NFO/CDS No
placing the orders the algorithm will keep these orders pegged to the best bid for buy
order or ask price for sell order respectively
The Peg algorithm is used to peg the limit order price to the best available ask/bid price.
49 Nest i3 – Pegged to Market NSE/NFO/CDS No This algorithm continuously modifies an unexecuted order’s limit price to the best
available ask/bid price until the order gets filled.
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 based on time linear slicing
50 Nest i3 – Midpoint Match NSE/NFO/CDS No
and while placing the orders the algorithm will place these orders at the midpoint price
calculated.
Market if Touched algorithm places buy /sell order above or below the market. The
51 Nest i3 – Market if Touched NSE/NFO/CDS No algorithm holds the orders until the trigger price is touched, only then the algorithm will
send out the orders as a market order.
Limit if Touched algorithm places buy /sell order at a specified price or better, above or
52 Nest i3 – Limit if Touched NSE/NFO/CDS No below the market. The algorithm holds the orders until the trigger price is touched, only
then the algorithm will send out the orders as a Limit order.
The Discretionary Order algorithm is ideal for aggressive liquidity taking executions where
sizable liquidity appears sporadically. The Discretionary strategy submits a passive limit
53 Nest i3 – Discretionary Order NSE/NFO/CDS No order in the market with an aggressive component that captures liquidity to the Discretion
percentage mentioned. The Discretionary strategy is a passive strategy that turns
aggressive if sufficient volume exists within a specified price range from the limit price.
Arbitrage Strategies
This is an arbitrage algo that captures the price differential between the cash and the
54 Cash Vs. Future Bidding NFO/NSE, BFO/BSE Yes
future segment. Based on the user-specified mandate, it will try to place the order

This is a roll-over arbitrage strategy that tries to captures the user-defined price differential
55 Future Vs. Future Bidding NFO/CDS/BFO/NCDEX/ MCX/MCXSX Yes between the two future tokens. Strategy will bid for the first leg based on the price of the
second leg and the mandate specified.
This is an arbitrage algorithm that tries to capture the user-defined price difference
56 Cash Vs. Future Arbitrage NFO/NSE Yes
between the cash and future segment of the same exchange.

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 The strategy is also a rollover arbitrage strategy that will place a Spread IOC order (2-Leg),
57 Future Vs. Future Arbitrage NFO/CDS/BFO/NCDEX/ MCX/MCXSX Yes
whenever the market spread is greater or equal to the user-specified limit
It is an arbitrage strategy between 2l IOC (implicit) and day spread (explicit). If the user
58 Implicit Vs. Explicit Spread NFO Yes specified mandate is better than the market spread, a 2L IOC order is placed, on trade of
implicit, a day spread order is placed.
This is a strategy that tries to captures the user-defined price differential between the two
future tokens and the spread token. Strategy will bid for the first leg of the implicit future
59 Implicit Vs. Explicit Bidding NFO
(one token) based on the price of the second implicit futures token, price of the explicit
(spread) and the mandate specified.
This is an arbitrage algorithm between and index and its constituents. Whenever market
NEST Index Future vs. Basket
60 NFO/NSE No spread is better than the user's spread, Strategy will place first leg in Index futures as IOC
Arbitrage
order and then place subsequent leg in its various constituents.
● We support these strategies but Exchange Approval procedure differs from exchange to exchange & Exchange Approvals might be pending for few of them
● Client will need to apply in-house for the strategies made in Nest Gemini at Each Exchange

For Further Details, Please visit our Website: www.omnesysindia.com OR Email us at: marketing@omnesysindia.com

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 Thank you

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