Optimized Portfolio Trade Scheduling
FlexEdge’s Portfolio Trade Scheduler module enables traders to determine the best trading trajectory for their portfolios while minimizing market-impact cost and the risk of underperforming benchmarks. By utilizing state-of-the-art optimization technology, the Portfolio Trader Scheduler establishes the optimal portfolio trading schedule weighing all the available data, such as user inputs, risk factor correlations, implied volatility, the estimated market impact cost, and the trader’s short-term alpha goals. While the system initially employs its own cost model, as well as the highly regarded short-term equity risk models from Northfield Information Services, the Portfolio Trade Scheduler is adaptable to any cost and risk models in use today.
- Traders can not only optimize their pre-trade schedules, but also implement real-time schedule adjustments due to its extremely fast computation.
- Minimizes market impact and risk of underperforming benchmarks.
- Initially employs short-term equity risk models from Northfield Information Services.
- Adaptable to any existing cost and risk models.
- State-of-the art optimization algorithms.
- Determines the ideal start and end time for the trade.
- Generates trading schedules for part of a day or multiple days.
- Supports portfolio and industry cash constraints as well as general linear constraints.
- Enables maximum trading participation within specified time frames.
- Optimization component also employs ultra-fast computation (20 seconds for 3,000 symbols) allowing for rebalancing during market open.