What are Execution Algos?

Execution Algos enables leverage of computing resources, speed, accuracy to benefit the user. It helps in increasing the consistency of the user and removes the emotions involved in trading. It also makes trading more user friendly and eventually helping ICICIdirect customers.

All the customers of ICICIdirect having a Trading account with us, can trade using Execution Algos. The customers can access Execution Algos through the ICICIdirect Markets app or ICICIdirect website.

Any customer of ICICI Securities can trade using Execution Algos from the ICICIdirect Markets App as well as from the ICICI Direct website.

In ICICIdirect Markets App, in the bottom navigation bar, select *Tools*. After opening tools section, Click on *Add Algo* to view and trade the available strategies.

In ICICIdirect website, Execution Algos tab is introduced under F&O. After opening the Execution Algos tab, a customer can place new orders from the this page by selecting the desired algorithm and clicking on the “Go” button on the selected strategy.

A customer can use Execution Algos strategies to place orders in Equity and Derivatives (Futures & Options) segments.

There is no additional charge for using the Execution Algos. Existing brokerage and statutory charges will be levied as applicable for products.

Each leg or slice of any Execution Algos is a separate order; hence the brokerage will be charged separately for each one of them.

Yes, there is a “Stop All” button to stop all the Execution Algos order placed. This will stop all the Awaiting and Running strategies and shift these to the Finished tab.

Yes, a customer can Pause, Stop and Start the Execution Algos placed.

The Pause button will enable the Customer to Pause the Running and Awaiting Execution Algos orders. The strategy will get mapped to Awaiting state till further action is taken by the customer.

The Stop button will enable the Customer to stop the Running or Awaiting Execution Algos orders to ‘Stop’ and move it to Finished Tab.

The Resume button will allow the Customer to continue the execution of paused Algo orders placed in the Awaiting tab.

The Clone button will enable the customer to create new Execution Algo orders with existing parameters, that is the script, total quantity, slice quantity and time interval of the stopped or completed Execution Algos from the Finished page. Also, one can modify these parameters if required and start the Execution Algo accordingly.

The description of the Trading strategies listing tabs is based on the current status of the Execution Algos:

• Awaited Tab

  This will list all the Execution Algos orders in state of ‘Pause’ OR ‘Start’.

  Start – Strategy where start time is yet to reach.

  Pause – Strategy which started execution, however manually stopped.

• Running Tab

  This will list all the Execution Algos orders where execution has started and the status is Active.

• Finished Tab

  This will list all the Execution Algos orders in state of ‘Completed’ or ‘Stopped’

  Completed – Execution is finished.

  Stopped – Placement of orders is stopped in between by manual intervention.

All the orders completed will appear under ‘Finished’ page. On clicking the completed Execution Algo order in the ICICIdirect Markets app or clicking “View Details” on the ICICIdirect website, we will be redirected to the summary of that Algo. The summary of the selected order which includes Algo Name, Script Name, Exchange order no., Order price, Qty etc. can be seen.

For more details of the Execution Algo orders, user can click on “Algo log” button which will provide all the details of every slice in that Algorithm order placed.

Yes, ICICI Securities Limited can stop the running Algorithm in case anything goes wrong either from customer’s end or due to system failure. If customer faces any technical issue, then they can connect to customer service and ask to stop the active Algos. On the other hand, if there is mechanical failures from our or exchange’s end, then ICICI Securities will stop all the active Execution Algos.

Yes, ICICI Securities Limited can pause the active Execution Algos if customer faces any technical issue and raises a query to customer service. Moreover, customer can resume the paused Algo from his end as per his convenience.

When aggressive IOC limit orders are triggered, the order will get executed at the best bid/offer available at the exchange. If the quantity of the existing bids/offers isn't enough to match your order quantity, then the remaining unexecuted quantity will be matched against the next best bid/offer. Hence it guarantees execution but doesn't determine the price of execution. Also, please note that, these orders will not be executed above the limit price. To understand the limit price for this product, please refer FAQ - "Why did my market order get executed as limit order in Execution Algos?"

Reference price is the Bid/ Ask price at which the last order was triggered by algo to the exchange. We monitor the rise/ fall wrt this reference price to compute the Trigger Price. Thus, neither the reference price or the trigger price will be equal to the LTP, it reflects the bid/ ask price at that point in time.

When the trigger is based on bid/ ask, it saves significant slippage costs that might occur in case of triggers based on LTP.

Suppose trigger was LTP based: In this example, our trigger price is 1000

Now, suppose we have 4 buyers | sellers in Nifty at 999.65, 999.75, 999.80, 999.85 | 999.90, 999.95, 1000, 1000.10

1. One of the buyers takes away the stocks available at 999.90 and 999.95 from seller

2. Now the scrip is in uptrend and another buyer comes and takes away all the stocks available at 1000, in this case our LTP becomes 1000

3. Then after this, the available buyer and sellers are 999.65, 999.75, 999.80, 999.85 | 1000.10, 1000.15, 1000.25

4. But as the LTP is now 1000, your order has been sent to exchange, your order will get executed 1000.10. If the available quantity is not sufficient then it will also take stocks available at 1000.15 to complete the remaining quantity

Suppose, in the above example if trigger was Bid/Ask based, it would have triggered the order as soon as the first buyer took away the stocks available at 999.90 and 999.95.

As you can see, it saves significant slippage costs.

Please note that as per the regulatory guidelines, now all execution algos will be converting IOC Market orders to IOC Limit Orders.

This change is introduced to reduce the risk of orders being executed at prices far from the Last Traded Price (LTP).

Now, how will this work and what will be the limit price for such orders?

• For Futures and Stocks:

  The limit price will be within 3% of LTP. This will also be limited by daily price range specified for that scrip. Also, these orders won't sit in the order book as the validity is Immediate or cancel (IOC).

  
  

  Buy:  Placed above ask within 3% of LTP.

  Sell:  Placed below bid within 3% of LTP.

  Examples 1:

  If you have started an Algo for XYZ stock with an LTP of ₹100 with Daily Price Range (Exchange specified) is ₹90- ₹110 . It wants to trigger buy order at IOC market. Instead of market order, a limit order with market protection of 3% will be placed, i.e., the order will get executed at the next best offer within ₹103. Since, it is not breaching Daily Price Range (DPR) specified by exchange, therefore limit order will be placed at ₹103.

  Examples 2:

  If you have started an Algo for ABC stock with an LTP of ₹500 and Daily Price Protection (Exchange specified) is ₹487 - ₹521. It wants to place a sell order at IOC market. Instead, a limit order with market protection of 3% should be placed, i.e., ₹485. But this price is in breach of Daily Price Protection, threfore the limit order placed will be at ₹487 instead. The order will get executed at the next best price above ₹ 487.

• For Options:

  The limit price will be within 20% of LTP. Since options as an asset class is more volatile, therefore the cushion given for execution is also more. These orders being of the nature IOC(Immediate or cancel) won't sit in the order book.

  
  

  Buy:  Placed above ask with a differencial of Max( 20% of LTP, ₹5).

  Sell:  Placed below bid with a differencial of Max( 20% of LTP, ₹5).

  Examples 1:

  If you have started an Algo for XYZ options contract with an LTP of ₹100. It wants to trigger buy order at IOC market. Instead of market order, a limit order with market protection. The differencial as per the formula is ₹20, therefore, the IOC limit order will be placed at ₹120 get executed at the next best offer within ₹120.

  Examples 2:

  If you have started an Algo for ABC options contract with an LTP of ₹15. It wants to trigger sell order at IOC market. Instead of market order, a limit order with market protection will be placed. The differencial as per the formula is ₹3, which is less than ₹5(min difference). Therefore, a difference of ₹5 will be maitained. The IOC limit order will be placed at ₹10 and get executed at the next best price above ₹10.

• Impact:

  This change is introduced to reduce the risk of orders being executed at prices far from the Last Traded Price (LTP). But this could also lead to instances of no-fill.