If you’re asking about a Stratzy algo, it helps if you mention:
• Algo name: Zen Credit Soread
• Time period
• What you’re observing or confused about - because of CAS implementation since yesterday , it was notional loss but today it was total damage 24600 PE was shorted by Zen and it exited around 12 but post 3:15 rather 3:37 from 140 to .20 and premium became useless and due to this CAS yesterday and today was like Tesla ones. Any plans in algorithm changes due to CAS and its timings , else like today most of them were in lossess
No need to share account details or P&L screenshots.
Hi! Thanks for bringing this up. It’s a very valid question, and we’ve been receiving similar queries from many users.
The introduction of the Closing Auction Session (CAS) is a market structure change introduced by the exchanges. While it changes how the official closing price is determined for F&O stocks, it doesn’t automatically mean overnight F&O strategies will be adversely affected.
Our research team has been studying the transition and evaluating the potential implications of CAS on F&O execution and algo trading from a market microstructure perspective. More importantly, we continuously monitor all our algos—not just during major market changes like CAS, but as an ongoing process. Whenever external factors such as exchange rule changes, market microstructure shifts, or changing market behaviour have the potential to impact an algo’s performance, they are closely tracked and evaluated by our team.
It’s natural that the initial few days may see the market adjusting to the new mechanism. We’ll be observing this closely and, if any refinements are required based on actual market behaviour, they’ll be taken up through our regular research and monitoring process.
At this point, we don’t see any evidence to suggest that the recent losses are attributable to the introduction of CAS.
Every algorithm goes through periods of drawdown as part of its normal performance cycle. The recent losses are in line with the natural drawdowns that can occur based on prevailing market conditions and are not something we can directly associate with CAS.
Our research team continues to monitor all strategies closely, including their behaviour after the implementation of CAS. If we observe any consistent pattern indicating that the new market structure is materially impacting an algo’s performance, we’ll evaluate it and take any necessary action through our regular research process.
As of now, the drawdowns being observed appear to be part of the normal risk profile of the strategies rather than an effect of CAS.
If what you are saying is correct, then that is reassuring. I have also been observing continuous drawdowns in Zen, Damper, Curvature, Skew Hunter, and other strategies. This is concerning me as well. To manage the drawdowns and continue trading, I have allocated additional funds to my account.
Thankyou sir trust you, but I see some of the algos in the line ups are in - ve profits that is more than -100 percent why are u still holding those do u have hove it will recover, also expecting for commodity algorithms soon