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An automated trading system (ATS), a subset of algorithmic trading, uses a computer program to create buy and sell orders and automatically submits the orders to a market center or exchange. The computer program will automatically generate orders based on predefined set of rules using a trading strategy which is based on technical analysis, advanced statistical and mathematical computations or input from other electronic sources. These automated trading systems are mostly employed by investment banks or hedge funds, but are also available to private investors using simple online tools. An estimated 70% to 80% of all market transactions are carried out through automated trading software, in contrast to manual trades. Automated trading systems are often used with electronic trading in automated market centers, including electronic communication networks, "dark pools", and automated exchanges. Automated trading systems and electronic trading platforms can execute repetitive tasks at speeds orders of magnitude greater than any human equivalent. Traditional risk controls and safeguards that relied on human judgment are not appropriate for automated trading and this has caused issues such as the 2010 Flash Crash. New controls such as trading curbs or 'circuit breakers' have been put in place in some electronic markets to deal with automated trading systems. Mechanism The automated trading system determines whether an order should be submitted based on, for example, the current market price of an option and theoretical buy and sell prices. The theoretical buy and sell prices are derived from, among other things, the current market price of the security underlying the option. A look-up table stores a range of theoretical buy and sell prices for a given range of current market price of the underlying security. Accordingly, as the price of the underlying security changes, a new theoretical price may be indexed in the look-up table, thereby avoiding calculations that would otherwise slow automated trading decisions. A distributed processing on-line automated trading system uses structured messages to represent each stage in the negotiation between a market maker (quoter) and a potential buyer or seller (requestor). Strategies Trend following Trend following is a trading strategy that bases buying and selling decisions on observable market trends. For years, various forms of trend following have emerged, like the Turtle Trader software program. Unlike financial forecasting, this strategy does not predict market movements. Instead, it identifies a trend early in the day and then trades automatically according to a predefined strategy, regardless of directional shifts. Trend following gained popularity among speculators, though remains reliant on manual human judgment to configure trading rules and entry/exit conditions. Finding the optimal initial strategy is essential. Trend following is limited by market volatility and the difficulty of accurately identifying trends. For example, the following formula could be used for trend following strategy: "Consider a complete probability space (Ω, F, P). Let S r {\displaystyle S_{r}} denote the stock price at time r {\displaystyle r} satisfying the equation d S r = S r [ μ ( α r ) d r + σ d B r ] , {\displaystyle dS_{r}=S_{r}[\mu (\alpha _{r})dr+\sigma dB_{r}],} S t = X , {\displaystyle S_{t}=X,} t ≤ r ≤ T < ∞ {\displaystyle t\leq r\leq T<\infty } , where α r ∈ { 1 , 2 } {\displaystyle \alpha _{r}\in \{1,2\}} is a two-state Markov-Chain, μ ( i ) ≡ μ i {\displaystyle \mu (i)\equiv \mu _{i}} is the expected return rate in regime i = 1 , 2 , σ > 0 {\displaystyle i=1,2,\sigma >0} is the constant volatility, B r {\displaystyle B_{r}} is a standard Brownian motion, and t {\displaystyle t} and T {\displaystyle T} are the initial and terminal times, respectively". Volume-weighted average price According to Volume-weighted average price Wikipedia page, VWAP is calculated using the following formula: ": P V W A P = ∑ j P j ⋅ Q j ∑ j Q j {\displaystyle P_{\mathrm {VWAP} }={\frac {\sum _{j}{P_{j}\cdot Q_{j}}}{\sum _{j}{Q_{j}}}}\,} where: P V W A P {\displaystyle P_{\mathrm {VWAP} }} is Volume Weighted Average Price; P j {\displaystyle P_{j}} is price of trade j {\displaystyle j} ; Q j {\displaystyle Q_{j}} is quantity of trade j {\displa.... Discover the Gregory Scopino popular books. Find the top 100 most popular Gregory Scopino books.