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Trading Strategies >> General Discussions About Strategies >> difference between agency and proprietary strategy
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Message started by will on 07/17/09 at 17:42:28

Title: difference between agency and proprietary strategy
Post by will on 07/17/09 at 17:42:28

I'm studying Algorithmic Trading Strategies now.

I'm wondering what's the difference between Agency Algorithmic Trading Strategies and Proprietary Algorithmic Trading Strategies. Can anyone give me an explanation? Any help will be really appreciated.

I have read several papers of Robert Almgren, like "Optimal Trading in a Dynamic Market", "Optimal Execution of Portfolio Transactions", where he tried to solve a liquidation problem using dynamic programming.

And in Coggins' paper "Optimal Trade Execution: An Evolutionary Approach" where he tried to solve the trade execution problem called Trader's dilemma using a Genetic Algorithm approach.

Are they talking about the same execution problem? Although I finished the two papers, I'm still confused. Almgren focused on order schedule (Kissell's work is also like this). And Coggins seemed to evolve an order submission strategy (limit order/ market order).

In Almgren's approach, why doesn't he consider choice of order (limit/market order), limit price, submission time?　

Is Almgren's strategy an Agency Strategy? Is Coggins's strategy a Proprietary Strategy?

Is there any definition of Agency Strategy?

I do not have any work experience before. Is there any significance in the Industry to research on proprietary strategies?

Thanks a lot. :)

Title: Re: difference between agency and proprietary strategy
Post by Ricky Johnson on 07/08/10 at 11:38:07

Hi friend,
Really it's a very hard task to say the different between these two. If such a movement should occur, the algorithm will note the total volume and use it as one observation in final calculations. ... The calculation takes the difference between the day's highest transaction price and the day's lowest.

If you wants to know more about trading then Day Trading Book can help you on this way.

Thanks.