Create a spreadsheet and VBA algorithm that trades according to the decision rules

Anonymous
timer Asked: Oct 16th, 2018
account_balance_wallet $20

Question Description

The case involves accepting or rejecting a series of institutional orders. Your decision rule for accepting or rejecting these orders is as follows:

 You will accept an institutional sell order if, following the acceptance of the order, you can instantly place a market sell order to reverse 65% of the share position at a volume-weighted average price that is greater than the price of the institutional sell order

 You will accept an institutional buy order if, following the acceptance of the order, you can instantly place a market buy order to reverse 65% of the share position at a volume-weighted average price that is less than the price of the institutional buy order.

After placing the large market order, the remaining position should be reversed algorithmically using smaller market orders of 500 shares per second. If your share position is close to zero but not divisible by 500, then your algorithm should place a market order such that you revert to a zero share position. As an example, suppose you had to decide whether to accept an institutional buy order for 80,000 shares at a price of $50 per share. While contemplating this decision, you examine the ask side of the limit order book and find that you can buy 52,000 shares at a volume-weighted average price of $49 per share. Because the VWAP of buying 52,000 shares is less than the price at which the institution sells you the shares, you would accept the institutional buy order for 80,000 shares and then quickly submit a market order to buy 52,000 shares to reverse 65% of your negative share position. The remaining position of negative 28,000 shares would then be reversed algorithmically by purchasing 500 shares per second.

Create a spreadsheet and VBA algorithm that trades according to the decision rules above. Information in your spreadsheet should be used to facilitate the decision of whether to accept or reject an order. The accept/reject decision can be executed manually or algorithmically (the latter is more challenging). Your spreadsheet should be organized so that the manual decision to accept an institutional order can be made quickly. The instructions for accepting or rejecting an order should be made very clear.

(Note: your solution to this question must as a spreadsheet with macros (i.e. an xlsm file) . Also make sure that the workings in your spreadsheet and VBA code are clear and easy to follow.)

Tutor Answer

ProfessorRemirez
School: Carnegie Mellon University

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Spread Sheet and VBA Algorithm

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Spread Sheet and VBA Algorithm
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Anonymous
awesome work thanks

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