Automated Portfolio Manager – pair trading platform

Automated Portfolio Manager (APM) is a pair trading platform that can trade pairs based on predefined rules. It was built for traders who want to run a portfolio of pairs and single-stocks. It allows tracking prices of pairs (differential and ratio), setting buy/sell levels for alerts, executing trades (entry and exits), keeping accounting and tracking PNL of positions. It supports customization of layout, custom formulas, indicators and trading rules. PairStats gateway is built into the program for easy retrieval of on-demand statistical calculations and fundamental data, all of which can be used in custom formulas.

APM feature list:

  • monitor a list of ratio or differential pairs and/or single stocks in real time
  • visual/message/voice alerts when spread price reaches desired level
  • execute live orders through IB‘s TWS, Sterling Trader Pro, Knight or REDIPlus (REDI+) platform
  • paper-trade on any of the above platforms as well as eSignal (v10 which supports DDE links)
  • keep pair or single stock accounting records (for manual or automatic entries)
  • unattended execution & re-arm when buy/sell targets are hit
  • unattended entries into additional layers and based on ATR or another measure of volatility
  • manual execution using “Fast order” feature
  • stops targets for taking off last layer for a loss when a specified price is reached
  • built-in PairStats gateway
  • user can create custom calculations and custom indicators (based on PairStats data and/or real-time data from platform)
  • customize formulas for execution quantities
  • customize formulas for Buy/Sell to control how layers are added or taken off

Latest additions:

  • added support for Stop targets
  • added a setting for “Locate broker” where traders can set a number of shares they’ve located for a hard-to-borrow security and which broker to execute through (“GSCO” for REDI). Located amount is reduced automatically with each trade and if a trade will cause it to be less than 0 this trade will not be allowed to go through.
  • added ability to control slippage by setting Order Type to Limit and add Bid/Ask offset values
  • enabled voice alerts
  • added portfolio search functionality (to locate desired instrument(s) quickly)
  • added “go-with” target for trend following strategy (as opposed to contrarian)
  • adjusted for REDI+ new “Sell Auto” feature
  • added a feature to close all layers for a given instrument
  • enabled sort by all columns
  • added ability to auto-trading based on Bollinger Bands
  • added settings to control Max Open Pairs and Max Capital Allocated
  • added charting of ratio pairs, differential pairs and single stocks

Watch-list tab is what traders looks at most of the time and it contains the most vital information. All of the columns can be moved around, new columns can be added and unnecessary columns may be hidden or removed:

arbpairs.com - 01 - APM Demo - Watch List tab

Portfolio Modification tab is a place where trader can edit pairs: Bias, Ratio and Constant for Mergers. Also there’s empty space to add new columns for various settings:

arbpairs.com - 02 - APM Demo - Portfolio Modification tab
General trading rules:

arbpairs.com - 03 - APM Demo - General settings tab
Re-arming tab – controls for automatic buy/sell level updates

arbpairs.com - 04 - APM Demo - Re-arming tab
Execution tab controls how each leg is executed:

arbpairs.com - 05 - APM Demo - Execution tab
Share settings tab allows to customize how leg size is calculated for every pair:

arbpairs.com - 06 - APM Demo - Share settings tab
PairStats gateway allows to pull various data-points from our PairStats server. In the example below we pull earnings and ex-div dates and use them to create custom indicators. If you scroll back to the first image (Watch List tab), you will see two small columns to the right and to the left of Spread price. These colored cells represent visual alerts for upcoming or recent ex-divs and earnings. Number of days to alert for before and after, as well as the colors can be adjusted. Other indicators can be created in a similar way.

arbpairs.com - 07 - APM Demo - PairStats tab
Chart view:

arbpairs.com - 08 - APM Demo - Charts
Accounting view:

arbpairs.com - 09 - APM Demo - Accounting window

Supported platforms:

REDI+

Interactive Brokers – TWS

Sterling Trader Pro

KCG Knight Trader