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GTS - Strategist Questionnaire: Description of Strategy (Model by Model)

The document contains a questionnaire for a strategist to describe trading strategies, including: 1. Instruments traded, trade durations, venues, universe size, order types, book compositions and correlations. 2. Historical performance statistics from 2015-2018 including daily returns, simulated returns, fees, drawdowns, ratios and sensitivities. 3. Technology requirements to rebuild models including latency needs, order volumes, data feeds, and risk management tools. 4. A proposed ramp-up schedule with book sizes, performance hurdles and risk measurement hurdles. 5. Risk management practices around performance monitoring, stress testing, capacity constraints, and responses to major events.

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Jonathan Shao
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64 views2 pages

GTS - Strategist Questionnaire: Description of Strategy (Model by Model)

The document contains a questionnaire for a strategist to describe trading strategies, including: 1. Instruments traded, trade durations, venues, universe size, order types, book compositions and correlations. 2. Historical performance statistics from 2015-2018 including daily returns, simulated returns, fees, drawdowns, ratios and sensitivities. 3. Technology requirements to rebuild models including latency needs, order volumes, data feeds, and risk management tools. 4. A proposed ramp-up schedule with book sizes, performance hurdles and risk measurement hurdles. 5. Risk management practices around performance monitoring, stress testing, capacity constraints, and responses to major events.

Uploaded by

Jonathan Shao
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOC, PDF, TXT or read online on Scribd
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GTS - Strategist Questionnaire

Description of Strategy (model by model)

1. What instruments do you trade?


2. Trade durations, frequency of book turnover (include # of shares per day, contracts per day, FX
notional per day)
3. Venues traded (exchanges)
4. Size of symbol universe
5. Percentage of orders that are passive versus active
6. Book compositions, concentrations and relevant correlations
7. Please provide a brief description of each trading model and its theoretical source of alpha
generation (its “edge” and “uniqueness”)
8. Would the model still be active at the prior firm? How would it change performance if it was
running in different places simultaneously?
9. How important is short-sale availability? Borrow rates?
10. How is scaling considered? When/why do you increase or decrease the model’s exposure?
11. What discretionary overrides exist?

Historical statistics (model by model)

1. 2015, 2016, 2017, 2018 ytd live trading performance. Include a spreadsheet with daily
resolution
2. Historical simulated performance
3. Analysis of disparity between live and simulated activity
4. Clearing and financing fees that are included in historical live and simulated performance
5. Degree of diligence that can be done to support above data (clearing sheets, trading confirms)
6. Average and maximum intraday and overnight delta for a given book size
7. Historical average intraday and overnight gross notional (long value + short value) of book
8. Max peak to trough drawdown (live and simulated)
9. Longest recovery time after peak to trough drawdown
10. Ratio of up-days to down-days
11. Max number of consecutive down days
12. Best/Worst single day
13. Sharpe ratio
14. How sensitive is the model to overall increases in market volatility and volumes? Include any
other good/bad macro environments for the strategy
15. What is the maximum projected capacity of the system? Can it be expanded geographically?
Technology Requirements

1. What specific technology is needed to rebuild each model?


2. What latency (for each market traded) is needed?
3. What is the average and maximum amount of resting open orders at any given time?
4. How many orders/messages are sent each second?
5. What are the peak messaging times?
6. What are the specific data feeds needed?
7. What specific risk management tools are needed?
8. What specific datacenters for co-location are required?

Ramp-up Schedule

Please propose a ramp-up schedule for each model. Include dates and book sizes along with
performance hurdles and risk measurement (Sharpe ratio etc) hurdles when relevant.

Risk Management

What type of performance would lead you to believe each model was no longer effective?

What should be the max peak to trough “shut-off” number for each model as a % of gross book size?

How do you monitor risk? Stress-tests? What tools do you use?

How do you recognize capacity constraints?

What do you do during major events? Central bank announcements?

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