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Learn Algorithmic Trading
book

Learn Algorithmic Trading

by Sebastien Donadio, Sourav Ghosh
November 2019
Beginner content levelBeginner
394 pages
10h 31m
English
Packt Publishing
Content preview from Learn Algorithmic Trading

Position and PnL management

All algorithmic trading strategies need to track and manage their positions and PnLs effectively. Depending on the actual trading strategy, this can often range in complexity.

For more sophisticated trading strategies, such as pairs trading (curve trading is another similar strategy), you have to track positions and PnLs on multiple instruments and often, these positions and PnLs offset one another and introduce complexity/uncertainty as regards determining true positions and PnLs. We will explore these issues when we talk in detail about these strategies in Chapter 4, Classical Trading Strategies Driven by Human Intuition, but for now, we won't discuss this in too much detail.

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Publisher Resources

ISBN: 9781789348347Supplemental Content