Live run LiveFrom05Jun2007 was the first TRAITS live run, using TRAITS version 1.0. It uses a universe of 121 large cap, highly liquid European stocks.

LiveFrom05Jun2007 was used to test and debug the process of running TRAITS in a completely automated fashion, including extracting new data from our data vendors each morning, loading the saved state of the system and advancing it by one day with the new data, generating a spreadsheet detailing full information about new trades and limit orders to be placed that day, and sending these spreadsheets to selected third parties before the markets opened.

In particular, the spreadsheets were sent to Glasgow Investment Managers each morning, where the trade prices that TRAITS had assumed for performance calculation purposes were compared against the actual volume-weighted average prices for the first 30 minutes of trading that day. An analysis of this data showed that the assumed prices closely matched the VWAP prices, and that there was no systemic bias towards either underestimation or overestimation of the trade price.

The LiveFrom05Jun2007 live run was superseded by LiveFrom23Oct2007 in October 2007 following further development of TRAITS. Having successfully fulfilled its purpose, LiveFrom05Jun2007 was ended in March 2008.