BOARD

When do DARWINs close for new investment?

16 June 2016

With several DARWINs gaining Assets under Management at speed, the time has come to announce the DARWIN lock-out methodology.

This blog post explains how the process is monitored, with two new areas in the investor interface providing the relevant information.

Reminder – Divergence

DARWINs track their underlying strategy. DARWIN provider and investors are bound NOT to trade at the exact same prize because:

  1. Investors’ replica block trade lags the lead DARWIN provider’s
  2. For popular DARWINs, the investor block trade volume exceeds provider’s

The market typically moves during the latency period, and this introduces a performance difference. On some trades investors lose out, on some they win. Over a long enough sample of trades the latency effect averages out – but it introduces a bit of noise in the replication process.

Unlike the latency effect, the volume effect makes investors systematically worse off. They lose out gradually as growing trade sizes (driven by growing assets under management) wipe available market depth. For successful enough DARWINs, there comes a point when a marginal EUR / USD / GBP invested yields no marginal profit. This point marks a strategy’s AuM ceiling.

Monthly Divergence

The single metric driving when and how a DARWIN is closed for new investment is monthly investor divergence.

Monthly investor divergence is public for all DARWINs on the public dashboard, with a high-level summary (A in the screen capture below) and a detailed overview (B in the capture):

Screen Shot 2016-06-16 at 17.47.48

Negative monthly divergence (red) indicates how much DARWIN investor performance lags DARWIN notional performance, per month. Note that to protect investors from this effect, investor trades clear at the raw spread provided by our LPs. This is the reason why most DARWINs sport positive (green) divergence by default. The monthly divergence  figure is calculated for the most representative trades by the strategy (note – there are numerous hedging micro-trades triggered by the risk management algos to “shave” investor exposure, but these do not count towards the divergence computation).

The public submenu in the DARWIN profile (B in the screenshot) includes two tabs.

The first tracks divergence in cumulative % – as a difference between DARWIN and investor performance:

Screen Shot 2016-06-16 at 20.27.00

The second tracks pip divergence: tracking positive (green) and negative (red) divergence accounting for replication latency (average and median) in milliseconds (ms) and individual trade size (bubble size): Screen Shot 2016-06-16 at 20.29.38

Note that divergence can fluctuate substantially across strategies and market times. It can be particularly slow during market roll-over and news releases, as trades take longer to fill and the execution bridge takes longer to report to our investor infrastructure.

 

What’s next?

As AuM for the more popular DARWINs scale, we’ll continue to monitor all the parameters driving investor divergence, with a view towards:

  1. Refining the calibration of the scalability score to AuM
  2. Developing algorithms that fraction investor execution – it is certainly possible to reduce slippage this way
  3. Offering providers toolkit to optimize their investors’ liquidity trade-offs
  4. Refining the threshold after which DARWINs are closed for new investment (currently set at -1% negative divergence)

Thoughts? Suggestions? Go ahead!

Last News
ws30

Mini contracts for the WS30 index are here

9 April 2020

Nuestros traders ya pueden abrir, en plataforma MT4 y MT5, 0.1 lotes del índice WS30 en vez del mínimo de 1 que permitíamos anteriormente.

Our traders can now open, on the MT4 and MT5 platforms, 0.1 lots of the WS30 index instead of the minimum of 1 that we previously allowed.

In addition, following our strategy of continuous improvement, we have substantially narrowed the average spread of the WS30 to a target spread of 2 points during US opening hours. Commissions and swaps remain unchanged.

 


Photo by investmentzen / CC BY

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Margin increase on XTIUSD (Professional Clients)

8 April 2020

Our margin requirement for XTIUSD trades will be increased today for Professional Clients. The new margin requirement on XTIUSD will be 5% as opposed to the 3% until now. This change is a security measure due to the increase in market uncertainty and volatility and the consequent decrease in liquidity. The change will take effect […]

Our margin requirement for XTIUSD trades will be increased today for Professional Clients.

The new margin requirement on XTIUSD will be 5% as opposed to the 3% until now.

This change is a security measure due to the increase in market uncertainty and volatility and the consequent decrease in liquidity.

The change will take effect today April 8th 2020 5 pm BST and will apply to both existing and new positions.

Kindly make sure you have enough available margin and equity in your account for the new margin levels.

Need help? Please don’t hesitate to contact us at info@darwinex.com.

Darwinex Trading Schedule Easter 2018

Trading Schedule for the 2020 Easter Holiday Period

31 March 2020

Please note the amended Darwinex Trading Schedule for the 2020 Easter Holiday Period.

Please note the amended Darwinex Trading Schedule for the 2020 Easter Holiday Period.

Times are displayed in BST (UK time) and changes to regular schedules are highlighted in red.

Instrument

Thursday 9th April  Friday 10th April  Monday 13th April
FX 22:04:01 Wed – 21:59:50 Thu 22:04:01 Thu – 21:55:00 Fri 22:05 Sun – 21:59:50 Mon
Commodities* 23:00:01 Wed – 21:59:50 Thu CLOSED 23:00:01 Sun – 21:59:50 Mon 
DARWINs 22:05 Wed – 21:59 Thu 22:05 Thu – 21:55 Fri 22:05 Sun – 21:59 Mon
Indices      
Europe50 23:00 Wed – 22:00 Thu  CLOSED  CLOSED
GDAXI 07:00:00 – 21:00:00  CLOSED   CLOSED
SPX500 23:00 Wed – 22:00 Thu  CLOSED  23:00 Sun – 22:00 Mon
WS30 23:00 Wed – 22:00 Thu  CLOSED  23:00 Sun – 22:00 Mon
NDX 23:00 Wed – 22:00 Thu  CLOSED   23:00 Sun – 22:00 Mon
J225  23:00 Wed – 22:00 Thu CLOSED  23:00 Sun – 22:00 Mon
AUS200 23:00 Wed – 15:00 Thu CLOSED  CLOSED 
FCHI40  23:00 Wed – 22:00 Thu  CLOSED  CLOSED
UK100 23:00 Wed – 22:00 Thu  CLOSED   CLOSED 
SPA35 07:00 – 19:00  CLOSED   CLOSED 
US stocks 14:31 – 20:59   CLOSED  14:31 – 20:59  
Crypto instruments 23:00 Wed – 22:00 Thu   23:00 Thu – 21:55 Fri   23:00 Sun – 22:00 Mon

 

XAUUSD closes a minute earlier, and opens a minute later than the rest of Commodities in Darwinex as shown in the table of Darwinex assets and spreads.

Please note during Easter Holidays, swaps will be charged in a different way than on normal weeks. There may be days with swap x6 charges and days without any swap charges at all. The amount of the swap will be similar to that of normal weeks, the only thing that changes is the way it’s charged. The swap rates that appear on our site generally get updated around 19:00 BST and may suffer only minor changes afterwards.

Also note that on Friday, April 10th the US market will be closed. Fx spreads thus may widen considerably. Both traders and investors should avoid setting tight stop loss levels.

The DARWIN Exchange will remain open even if the underlying assets’ market is closed. Should you want to know the standard procedure when you buy/sell a DARWIN whose underlying asset market is closed, we recommend you to read the following Knowledge Base article: Can I buy and sell DARWINs whenever I want?

Do not hesitate to contact us at info@darwinex.com for support.

Happy Easter!

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Important update on XAUUSD liquidity

24 March 2020

Please be informed that  high volatility across the markets is leading to sharp moves in indices & currencies and spreads in the spot market have widened dramatically. Specific to XAUUSD, liquidity within the futures market remains thin and unstable mainly because refineries are shutting down and it is impossible to move metal. We are doing our best to […]

Please be informed that  high volatility across the markets is leading to sharp moves in indices & currencies and spreads in the spot market have widened dramatically.

Specific to XAUUSD, liquidity within the futures market remains thin and unstable mainly because refineries are shutting down and it is impossible to move metal.

We are doing our best to manage these issues for you, however please note that XAUUSD pricing may be erratic and  intermittent in the coming days.

Please remain aware and vigilant to the increased risk on XAUUSD trades.

May we finally wish you and your beloved ones all the best for this COVID19 crisis.
As always, at info@darwinex.com we remain at your disposal should you need assistance.
Stay strong,
Your Darwinex Team
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FCHI40 and SPA35 Equity Index CFDs Update

20 March 2020

In light of the shortselling ban introduced in France and Spain, as of market open on Sunday 22nd March 2020, the opening of short positions in the FCHI40 and SPA35 Equity Index CFDs will be no longer allowed until further notice. The closing of existing short positions, as well as the opening and closing of […]

In light of the shortselling ban introduced in France and Spain, as of market open on Sunday 22nd March 2020, the opening of short positions in the FCHI40 and SPA35 Equity Index CFDs will be no longer allowed until further notice.

The closing of existing short positions, as well as the opening and closing of new long positions will continue to be permitted in these assets.

Please don’t hesitate to write to info@darwinex.com with any questions you may have.

Launched: New DarwinIA Pages

17 March 2020

We introduce you to the new style of DarwinIA information and ranking pages, our monthly capital allocation.

Why

Let’s face it – the previous version was too complex – trying to explain how it worked, how to enter plus the standings for the month was just too much.

The Leaderboard ranked all participating DARWINs by rating. Running month rankings and final winners lacked visual distinction. Not to mention when DARWIN providers checked their own standings… and to top things off – legacy standings were only available from our blog :-(.

What

We’ve split information in two:

  1. The Leaderboard proper
  2. How it works, and how to participate (aka, the explanatory page)

The new DarwinIA Leaderboard

  • includes links to final standings for any previous edition,
  • visually highlights winners, focusing on the top 3 DARWINs,
  • lets you share standings with the world, and
  • intuitively provides all information relating to your own DARWIN(s) & DarwinIA.

DarwinIA

The new DarwinIA explanatory page features

  • new copy,
  • a prize calculator,
  • prize distribution and rating variables are visible at all times
  • instructions to enter DarwinIA, and
  • a FAQ section.

 

Both pages are now mobile-friendly as well!

What’s next

The Hall of Fame! Expect a major redesign later this year!


Do you like the new DarwinIA design? As always, your comments and feedback are welcome.

CFDs are complex instruments and come with a high risk of losing money rapidly due to leverage. -- % of retail investor accounts lose money when trading CFDs with this provider. You should consider whether you understand how CFDs work and whether you can afford to take the high risk of losing your money.