Algoritmik savdo - Algorithmic trading

Algoritmlardan foydalangan holda savdo qilish uchun qarang avtomatlashtirilgan savdo tizimi.

Moliyaviy bozor ishtirokchilari

Algoritmik savdo vaqt, narx va hajm kabi o'zgaruvchilarni hisobga olgan holda avtomatlashtirilgan oldindan dasturlashtirilgan savdo ko'rsatmalaridan foydalangan holda buyurtmalarni bajarish usuli.[1] Ushbu turdagi savdolar odam savdogarlariga nisbatan kompyuterlarning tezligi va hisoblash resurslaridan foydalanishga harakat qiladi. Yigirma birinchi asrda algoritmik savdo ham chakana savdo, ham institutsional savdogarlar bilan qiziqishni kuchaytirmoqda.[2][3] Tomonidan keng qo'llaniladi investitsiya banklari, pensiya fondlari, o'zaro mablag'lar va to'siq mablag'lari katta buyurtmaning bajarilishini yoyish yoki odam savdogarlari munosabat bildirishi uchun juda tez savdolarni amalga oshirish kerak bo'lishi mumkin. 2019 yilda o'tkazilgan tadqiqotlar shuni ko'rsatdiki, Forex bozoridagi savdoning taxminan 92% odamlar tomonidan emas, balki savdo algoritmlari tomonidan amalga oshirildi.[4]


Algoritmik savdo atamasi ko'pincha sinonim sifatida ishlatiladi avtomatlashtirilgan savdo tizimi. Ular turli xil narsalarni o'z ichiga oladi savdo strategiyalari, ularning ba'zilari formulalar va natijalarga asoslangan matematik moliya, va ko'pincha ixtisoslashtirilgan dasturiy ta'minotga tayanadi.[5][6]

Algoritmik savdo-sotiqda ishlatiladigan strategiyalarga misollar kiradi bozor ishlab chiqarish, bozorlararo tarqalish, hakamlik sudi yoki toza spekülasyon kabi trend quyidagi. Ko'pchilik toifasiga kiradi yuqori chastotali savdo (HFT), bu yuqori tovar aylanmasi va savdo-sotiqning yuqori nisbati bilan tavsiflanadi.[7] HFT strategiyasi, odam savdogarlari kuzatgan ma'lumotlarini qayta ishlash qobiliyatiga ega bo'lishidan oldin, elektron shaklda olingan ma'lumotlarga asoslanib buyurtmalar boshlash uchun aniq qarorlarni qabul qiladigan kompyuterlardan foydalanadi. Natijada, 2012 yil fevral oyida, Tovar fyucherslari savdo komissiyasi (CFTC) maxsus ishchi guruhni tuzdi, uning tarkibiga akademiklar va soha mutaxassislari kirib, CFTCga HFTni qanday yaxshiroq aniqlashni maslahat berishdi.[8][9] Algoritmik savdo va HFT keskin o'zgarishga olib keldi bozor mikroyapısı, ayniqsa, yo'lda likvidlik taqdim etiladi.[10]

Tarix

Dastlabki o'zgarishlar

Moliya bozorlaridagi buyurtmalar oqimini kompyuterlashtirish 1970-yillarning boshlarida boshlandi Nyu-York fond birjasi "belgilangan tartibda o'zgartirish" tizimini (DOT) joriy qildi. SuperDOT 1984 yilda DOT-ning yangilangan versiyasi sifatida taqdim etilgan. Ikkala tizim ham buyurtmalarni elektron shaklda kerakli savdo punktiga yo'naltirishga imkon berdi. "Avtomatlashtirilgan hisobot tizimini ochish" (OARS) mutaxassisni aniqlashda yordam berdi bozorni tozalash ochilish narxi (SOR; Smart Buyurtma Yo'nalishi).

To'liq elektron bozorlarning ko'tarilishi bilan bozorga kirib keldi dastur savdosi, bu Nyu-York fond birjasi tomonidan 15 million va undan ortiq aktsiyalarni sotib olish yoki sotish uchun umumiy qiymati 1 million AQSh dollaridan ortiq bo'lgan buyurtma sifatida belgilanadi. Amalda, dasturiy savdolar turli xil omillarga asoslangan holda savdo-sotiqni avtomatik ravishda kiritish yoki undan chiqish uchun oldindan dasturlashtirilgan edi.[11] 1980-yillarda dasturiy savdo S&P 500 o'rtasidagi savdoda keng qo'llanila boshlandi tenglik va fyucherslar indeks arbitraj deb nomlanuvchi strategiyadagi bozorlar.

Taxminan bir vaqtning o'zida portfel sug'urtasi sintetik yaratish uchun mo'ljallangan edi qo'yish opsiyasi ga asoslangan kompyuter modeli bo'yicha fond indekslari fyucherslarini dinamik ravishda savdo qilish orqali birja portfelida Qora-Skoul optsion narxlash modeli.

Ikkala strategiyani ham ko'pincha "dastur savdosi" deb birlashtirib, ko'p odamlar ayblashdi (masalan Brady hisoboti ) ni kuchaytirish yoki hatto boshlash uchun 1987 yil fond bozori qulashi. Shunga qaramay, kompyuterlar yordamida olib boriladigan savdolarning fond bozori qulashiga ta'siri noaniq va akademik hamjamiyatda keng muhokama qilinmoqda.[12]

Noziklash va o'sish

Paydo bo'lishi bilan moliyaviy manzara yana o'zgartirildi elektron aloqa tarmoqlari (ECN) 1990-yillarda, bu an'anaviy birjalardan tashqarida aktsiyalar va valyutalar bilan savdo qilish imkonini berdi.[11] AQShda, kasrlash Shomilning minimal hajmini 2001 yilda har bir aksiya uchun dollarning 1/16 dan (0,0625 AQSh dollari) 0,01 AQSh dollarigacha o'zgartirdi va algoritmik savdoni rag'batlantirgan bo'lishi mumkin bozor mikroyapısı taklif va taklif narxlari o'rtasidagi kichikroq farqlarga yo'l qo'yib, market-meykerlarning savdo ustunligini pasaytirib, bozorni ko'paytiradi likvidlik.[13]

Bu bozorni ko'paytirdi likvidlik institutsional savdogarlar buyurtmalarni o'rtacha o'rtacha narxda bajarishlari uchun kompyuter algoritmlariga ko'ra buyurtmalarni ajratishlariga olib keldi. Ushbu o'rtacha narx ko'rsatkichlari kompyuterlar tomonidan o'lchangan va hisoblangan vaqt bo'yicha tortilgan o'rtacha narx yoki odatda ko'proq tomonidan o'rtacha tortilgan narx.

Hammasi tugadi. Asrlar davomida mavjud bo'lgan savdo-sotiq vafot etdi. Bugungi kunda bizda elektron bozor mavjud. Bu hozirgi. Bu kelajak.

Robert Greifeld, NASDAQ Bosh direktor, 2011 yil aprel[14]

Moliya bozorlarida algoritmik savdoni qabul qilishni yanada rag'batlantirish 2001 yilda paydo bo'ldi IBM tadqiqotchilar maqolani nashr etdilar[15] da Sun'iy intellekt bo'yicha xalqaro qo'shma konferentsiya moliya bozorlarida ishlatiladigan elektron auksionlarning eksperimental laboratoriya versiyalarida ikkita algoritmik strategiya (IBMning o'zi) MGDva Hewlett-Packard "s Pochta) inson savdogarlarini doimiy ravishda amalga oshirishi mumkin edi. MGD 1996/7 yillarda Steven Gjerstad & John Dikhaut tomonidan ixtiro qilingan "GD" algoritmining o'zgartirilgan versiyasi edi;[16] The Pochta algoritmi HP tomonidan ixtiro qilingan edi Deyv Kliff (professor) 1996 yilda.[17] IBM jamoasi o'z ishlarida MGD va ZIP-ning inson savdogarlaridan ustunligini ko'rsatadigan natijalarining moliyaviy ta'siri "... har yili milliardlab dollar bilan o'lchanishi mumkin"; IBM qog'ozi xalqaro ommaviy axborot vositalarida yoritishni yaratdi.

2005 yilda qimmatli qog'ozlar bozorini mustahkamlash uchun SEC tomonidan milliy bozorni tartibga solish tizimi o'rnatildi.[11] Bu firmalarning "Savdo qoidalari" kabi qoidalar bilan savdosini o'zgartirib yubordi, bu bozor buyurtmalarini eng yaxshi narxda joylashtirish va elektron tarzda bajarish kerak degan buyruqni taqdim etdi, shu bilan sotib olish va sotish buyurtmalariga mos kelganda brokerlarning narxlar farqidan foyda olishiga yo'l qo'ymasdi.[11]

Ko'proq elektron bozorlar ochilishi bilan boshqa algoritmik savdo strategiyalari joriy etildi. Ushbu strategiyalar kompyuterlar tomonidan osonroq amalga oshiriladi, chunki mashinalar vaqtincha noto'g'ri baholanishga tezroq ta'sir qilishi va bir vaqtning o'zida bir nechta bozorlarning narxlarini tekshirishi mumkin. Xameleyon (tomonidan ishlab chiqilgan BNP Paribas ), Yashirin[18] (tomonidan ishlab chiqilgan Deutsche Bank ), Snayper va partizan (tomonidan ishlab chiqilgan Credit Suisse[19]), hakamlik sudi, statistik arbitraj, trend quyidagi va orqaga qaytishni anglatadi algoritmik savdo strategiyalarining namunalari.

Timsol misollari

Moliyaviy xizmatlar sanoatining tadqiqot kompaniyasi TABB Group tomonidan AQShning qimmatli qog'ozlar sanoati HFT sanoati uchun rentabellik prognozlari 1,3 AQSh dollarini tashkil etdi. milliard 2014 yil xarajatlaridan oldin,[20] maksimal darajada 21 AQSh dollaridan pastga tushdi milliard keyinchalik ushbu savdo turiga ixtisoslashgan 300 ta qimmatli qog'ozlar firmasi va xedj fondlari 2008 yilda foyda olishgan;[21] keyinchalik mualliflar bozorning umumiy savdo hajmi bilan taqqoslaganda "nisbatan kichik" va "ajablanarli darajada kamtar" deb atashgan. 2014 yil mart oyida, Virtu Moliyaviy, yuqori chastotali savdo firmasi, besh yil davomida firma umuman 1278 savdo kunidan 1277 kunida foyda ko'rganligini xabar qildi.[22] faqat bir kun pul yo'qotish, har bir savdo kunida minglab millionlab savdo-sotiqning mumkin bo'lgan foydasini namoyish etadi.[23]

Algoritmik savdo. Bozor hajmining ulushi.[24]

2006 yilda Evropa Ittifoqi va Qo'shma Shtatlar aktsiyalarining uchdan bir qismi avtomatik dasturlar yoki algoritmlar asosida amalga oshirildi.[25] 2009 yilga kelib, tadqiqotlar shuni ko'rsatdiki, HFT kompaniyalari AQShning barcha aktsiyalar savdosi hajmining 60-73 foizini tashkil qilgan, 2012 yilda bu raqam taxminan 50 foizga tushgan.[26][27] 2006 yilda, da London fond birjasi, barcha buyurtmalarning 40% dan ortig'i algoritmik treyderlar tomonidan kiritilgan, ularning 60% 2007 yilga mo'ljallangan. Amerika bozorlari va Evropa bozorlari odatda boshqa bozorlarga qaraganda algoritmik savdolarning yuqori qismiga ega va 2008 yildagi taxminlarga ko'ra 80% ulushga teng ba'zi bozorlar. Valyuta bozorlari shuningdek, 2016 yilda buyurtmalarning taxminan 80% miqdorida (2006 yildagi buyurtmalarning taxminan 25% gacha) o'lchangan faol algoritmik savdoga ega.[28] Fyuchers bozorlarni algoritmik savdoga qo'shilish juda oson deb hisoblanadi,[29] 2010 yilga qadar taxminan 20% hajmdagi kompyuterlar tomonidan ishlab chiqarilishi kutilmoqda.[yangilanishga muhtoj ][30] Obligatsiya bozorlar algoritmik treyderlarga ko'proq kirishga intilmoqda.[31]

Algoritmik savdo va HFT shu davrdan beri ommaviy munozaralarga sabab bo'ldi AQShning qimmatli qog'ozlar va birjalar bo'yicha komissiyasi va Tovar fyucherslari savdo komissiyasi Hisobotlarda aytilishicha, o'zaro fond jamg'armasi tomonidan kiritilgan algoritmik savdo sotuvlar to'lqinini keltirib chiqardi 2010 yilgi Flash halokati.[32][33][34][35][36][37][38][39] Xuddi shu hisobotlarda HFT strategiyalari bozorda likvidlikni tezda tortib olish orqali keyingi o'zgaruvchanlikka hissa qo'shgan bo'lishi mumkin. Ushbu voqealar natijasida Dow Jones Industrial Average shu kunga qadar kun davomida ikkinchi eng katta kunlik o'zgarishlarga duch keldi, ammo narxlar tezda tiklandi. (Qarang Dow Jones Industrial Average-dagi eng katta kundalik o'zgarishlarning ro'yxati.) Tomonidan 2011 yil iyul oyidagi hisobot Qimmatli qog'ozlar bo'yicha xalqaro komissiyalar tashkiloti (IOSCO) xalqaro qimmatbaho qog'ozlarni tartibga soluvchi organining xulosasiga ko'ra, "algoritmlar va HFT texnologiyalari bozor ishtirokchilari tomonidan o'z savdosi va xavfini boshqarish uchun ishlatilgan bo'lsa-da, ulardan foydalanish 2010 yil 6-maydagi favqulodda hodisada katta hissa qo'shgan omil bo'ldi. . "[40][41] Biroq, boshqa tadqiqotchilar boshqacha xulosaga kelishdi. 2010 yilgi bir tadqiqot shuni ko'rsatdiki, HFT Flash Crash paytida savdo zaxiralarini sezilarli darajada o'zgartirmagan.[42] Oldinda ba'zi algoritmik savdolar indeks fondi sarmoyadorlarning transfert foydasini qayta muvozanatlash.[43][44][45]

Strategiyalar

Indeks fondini qayta muvozanatlashdan oldin savdo qilish

Ko'pchilik pensiya tejash xususiy kabi pensiya mablag'lar yoki 401 (k) va individual pensiya hisobvaraqlari AQShda investitsiya qilinadi o'zaro mablag'lar, ulardan eng mashhurlari fondlar indeksi ular vaqti-vaqti bilan "muvozanatni o'zgartirishi" yoki o'z portfelini yangi narxlarga mos kelishi uchun moslashtirishi va bozor kapitallashuvi tarkibidagi asosiy qimmatli qog'ozlar aksiya yoki boshqa indeks ular kuzatib boradi.[46][47] Foyda indeks investorlaridan faol investorlarga o'tkaziladi, ularning ba'zilari indeksni muvozanatlashish effektidan foydalanadigan algoritmik treyderlardir. Passiv investorlar tomonidan ko'rilgan ushbu yo'qotishlarning hajmi S&P 500 uchun yiliga 21-28 ot kuchiga va Rassell 2000 uchun yiliga 38-77 ot kuchiga teng deb baholandi.[44] Jon Montgomeri Bridgeway Capital Management Natijada "kambag'al investor qaytadi", bu o'zaro mablag'lardan oldin savdo qilishdan "xonadagi fil" bo'lib, "hayratga soladigan narsa, odamlar bu haqda gapirmayapti".[45]

Savdo juftliklari

Savdo juftliklari yoki juft savdo ideal uzun, qisqa bozorga neytral treyderlarga vaqtinchalik kelishmovchiliklardan yaqin zaxira moddalarning nisbiy qiymatida foyda olish imkoniyatini beradigan strategiya. Klassik arbitrajdan farqli o'laroq, juft savdo qilishda bitta narx qonuni narxlarning yaqinlashishini kafolatlay olmaydi. Bu, ayniqsa, strategiya individual aktsiyalarga nisbatan qo'llanilganda - bu nomukammal o'rinbosarlar aslida cheksiz ravishda ajralib turishi mumkin. Nazariy jihatdan strategiyaning uzoq muddatli xususiyati uni fond bozori yo'nalishidan qat'i nazar ishlashga majbur qilishi kerak. Amalda, ijro etilish xavfi, doimiy va katta farqlar, shuningdek o'zgaruvchanlikning pasayishi ushbu strategiyani uzoq vaqt davomida foydasiz qilishi mumkin (masalan, 2004-2007). Bu toifalarning keng toifalariga tegishli statistik arbitraj, konvergentsiya savdosi va nisbiy qiymat strategiyalar.[48]

Delta-neytral strategiyalar

Moliya sohasida, delta-neytral tegishli qimmatli qog'ozlar portfelini tavsiflaydi, unda asosiy qimmatli qog'ozlar qiymatining ozgina o'zgarishi sababli portfel qiymati o'zgarishsiz qoladi. Bunday portfelda, odatda, ijobiy va salbiy variantlar va ularga mos keladigan qimmatli qog'ozlar mavjud delta komponentlar o'rnini bosadi, natijada portfel qiymati asosiy xavfsizlik qiymatining o'zgarishiga nisbatan befarq bo'ladi.

Arbitraj

Yilda iqtisodiyot va Moliya, hakamlik sudi /ˈ.rbɪtrɑːʒ/ ikki yoki undan ortiq narx farqidan foydalanish amaliyotidir bozorlar: muvozanatsizlikdan foydalanadigan mos keladigan bitimlarning kombinatsiyasini tuzish, foyda esa ular orasidagi farqni tashkil etadi bozor narxlari. Akademiklar tomonidan ishlatilganda, arbitraj - bu hech qanday salbiy bo'lmagan bitimni anglatadi pul muomalasi har qanday ehtimoliy yoki vaqtinchalik holatda va kamida bitta holatda ijobiy pul oqimi; oddiy so'zlar bilan aytganda, bu nol narxda tavakkal qilmasdan foyda olish imkoniyati. Misol: Arbitrage-ning eng mashhur savdo imkoniyatlaridan biri S&P fyucherslari va S&P 500 aktsiyalari bilan o'ynaydi. Ko'pgina savdo kunlarida bu ikkalasi ikkalasi o'rtasidagi narxlanishda nomutanosiblikni rivojlantiradi. Bu asosan NYSE va NASDAQ bozorlarida sotiladigan aktsiyalarning narxi CME bozorida sotiladigan S&P Futures-ning oldinga yoki orqasida bo'lganida sodir bo'ladi.

Arbitraj uchun shartlar

Qo'shimcha ma'lumotlar: Ratsional narxlash § Arbitraj mexanikasi

Uch shartdan biri bajarilganda arbitraj mumkin:

  • Xuddi shu aktiv barcha bozorlarda bir xil narxda sotilmaydi ("bitta narx qonuni "vaqtincha buzilgan).
  • Pul oqimlari bir xil bo'lgan ikkita aktiv bir xil narxda savdo qilmaydi.
  • Kelajakda ma'lum bo'lgan narxga ega aktiv bugun o'zining kelajak narxida savdo qilmaydi chegirmali da xavfsiz foiz stavkasi (yoki aktivni saqlash uchun ahamiyatsiz xarajatlari yo'q; masalan, bu shart don uchun amal qiladi, ammo emas qimmatli qog'ozlar ).

Arbitraj - bu shunchaki bir bozorda mahsulotni sotib olish va uni boshqa bozorda bir muncha vaqt o'tgach, yuqori narxga sotish emas. Uzoq va qisqa operatsiyalar ideal tarzda amalga oshirilishi kerak bir vaqtning o'zida bozor tavakkalchiligini yoki ikkala bitim tugamasdan bir bozorda narxlarning o'zgarishi xavfini minimallashtirish. Amaliy ma'noda, bu odatda faqat elektron shaklda sotilishi mumkin bo'lgan qimmatli qog'ozlar va moliyaviy mahsulotlar bilan mumkin bo'ladi va hatto undan keyin ham, savdo birinchi bosqichlari amalga oshirilganda, boshqa oyoqlarda narxlar yomonlashib, kafolatlangan holda saqlanishi mumkin. yo'qotish. Savdoning bir oyog'idan mahrum bo'lish (va keyinchalik uni yomonroq narxda ochish kerak) "ijro etish xavfi" yoki aniqrog'i "oyoq-qo'l va oyoq osti xavf" deb nomlanadi.[a]

Oddiy misolda, bitta bozorda sotiladigan har qanday tovar boshqa bozorda bir xil narxga sotilishi kerak. Savdogarlar masalan, qishloq xo'jaligi mintaqalarida bug'doyning narxi shaharlarga qaraganda arzonroq ekanligini aniqlab, tovarni sotib olib, yuqori narxda sotish uchun boshqa mintaqaga olib borishi mumkin. Ushbu turdagi arbitraj eng keng tarqalgan, ammo bu oddiy misol transport xarajatlari, saqlash, xavf va boshqa omillarni hisobga olmaydi. "Haqiqiy" arbitraj, bozor xavfi mavjud bo'lmasligini talab qiladi. Qimmatli qog'ozlar bir nechta birjada muomalada bo'lgan taqdirda, hakamlik bir vaqtning o'zida birini sotib olish va ikkinchisini sotish orqali yuzaga keladi. Bunday bir vaqtning o'zida ijro etish, agar mukammal o'rnini bosadiganlar jalb qilingan bo'lsa, kapitalga bo'lgan talabni minimallashtiradi, lekin amalda hech qachon "o'zini o'zi moliyalashtirish" (erkin) pozitsiyasini yaratmaydi, chunki ko'pgina manbalar nazariyani noto'g'ri deb o'ylashadi. Ikkala oyoqning bozor qiymati va tavakkalchiligida bir oz farq bor ekan, uzoq muddatli hakamlik mavqeini egallash uchun kapital qo'yilishi kerak edi.

O'rtacha reversiya

O'rtacha reversiya bu ba'zida aktsiyalarni investitsiya qilish uchun ishlatiladigan matematik metodologiya, ammo u boshqa jarayonlarda qo'llanilishi mumkin. Umuman olganda, g'oya shundan iboratki, aktsiyalarning ham yuqori, ham past narxlari vaqtinchalik bo'lib, aktsiyalar narxi vaqt o'tishi bilan o'rtacha narxga ega bo'ladi. O'rtacha qaytarish jarayonining misoli Ornshteyn-Uhlenbek stoxastik tenglama.

O'rtacha reversion birinchi navbatda aktsiyalarning savdo doirasini aniqlashni, so'ngra analitik metodlardan foydalangan holda o'rtacha narxni aktivlar, daromadlar va boshqalar bilan bog'liq holda hisoblashni o'z ichiga oladi.

Amaldagi bozor narxi o'rtacha narxdan past bo'lsa, aktsiya sotib olish uchun jozibador hisoblanadi, narx ko'tarilishini kutadi. Amaldagi bozor narxi o'rtacha narxdan yuqori bo'lsa, bozor narxi pasayishi kutilmoqda. Boshqacha qilib aytganda, o'rtacha narxdan og'ish o'rtacha darajaga qaytishi kutilmoqda.

The standart og'ish eng so'nggi narxlarning (masalan, so'nggi 20) ko'pincha sotib olish yoki sotish ko'rsatkichi sifatida ishlatiladi.

Hisobot xizmatlari (Yahoo! Finance, MS Investor, Morningstar va boshqalar kabi) odatda 50 va 100 kunlik davrlar uchun o'rtacha harakatlanuvchi qiymatlarni taklif qiladi. Hisobot xizmatlari o'rtacha ko'rsatkichlarni ta'minlayotganda, o'rganish davrida yuqori va past narxlarni aniqlash hali ham zarur.

Scalping

Scalping noan'anaviy tomonidan likvidlik bilan ta'minlash bozor ishlab chiqaruvchilari, bu orqali savdogarlar daromad olishga harakat qilishadi (yoki qilish) taklifni tarqatish. Ushbu protsedura, agar narx harakatlari ushbu tarqalishdan kam bo'lsa va odatda pozitsiyani tezda va odatda bir necha daqiqada yoki undan kamroq vaqt ichida o'rnatish va tugatishni o'z ichiga oladigan bo'lsa, foyda olishga imkon beradi.

A bozor ishlab chiqaruvchisi asosan ixtisoslashgan skalper hisoblanadi. Bozor ishlab chiqaruvchisi savdosi hajmi o'rtacha scalperdan bir necha baravar ko'p va yanada murakkab savdo tizimlari va texnologiyalaridan foydalanadi. Biroq, ro'yxatdan o'tgan market-meykerlar o'zlarining minimal kotirovka majburiyatlarini belgilaydigan birja qoidalariga amal qilishadi. Masalan; misol uchun, NASDAQ a-ni ushlab turish uchun har bir market-meykerdan hech bo'lmaganda bitta taklifni va bitta narxni ba'zi darajadagi narxlarda joylashtirishlarini talab qiladi ikki tomonlama bozor har bir aksiya uchun.

Tranzaksiya narxini pasaytirish

Algoritmik savdo deb ataladigan ko'pgina strategiyalar (shuningdek, likvidlikni qidirish algoritmi) xarajatlarni kamaytirish toifasiga kiradi. Asosiy g'oya - katta buyurtmani kichik buyurtmalarga ajratish va vaqt o'tishi bilan ularni bozorga joylashtirishdir. Algoritmni tanlash turli xil omillarga bog'liq, eng muhimi aktsiyalarning o'zgaruvchanligi va likvidligi. Masalan, yuqori likvidli aktsiyalar uchun, aktsiyalarning umumiy buyurtmalarining ma'lum bir foiziga (hajmli ichki algoritm deb ataladigan) mos kelish odatda yaxshi strategiya hisoblanadi, ammo juda likvidsiz aktsiyalar uchun algoritmlar qulay narxga ega bo'lgan har bir buyurtmaga mos kelishga harakat qiladi ( likvidlikni izlash algoritmlari deb ataladi).

Ushbu strategiyalarning muvaffaqiyati odatda butun buyurtma bajarilgan o'rtacha narxni bir xil muddat davomida benchmark bajarilishi natijasida erishilgan o'rtacha narx bilan taqqoslash orqali o'lchanadi. Odatda mezon sifatida o'rtacha hajmli narx qo'llaniladi. Ba'zida ijro narxi buyurtma berish paytida asbob narxi bilan ham taqqoslanadi.

Ushbu algoritmlarning maxsus klassi boshqa tomondan algoritmik yoki aysberg buyurtmalarini aniqlashga harakat qiladi (ya'ni, agar siz sotib olmoqchi bo'lsangiz, algoritm sotiladigan tomon uchun buyurtmalarni aniqlashga harakat qiladi). Ushbu algoritmlarni hidlash algoritmlari deyiladi. Bunga odatiy misol - "Yashirin".

Algoritmlarning ba'zi bir misollari VWAP, TWAP, Amalga oshirishning etishmasligi, POV, Displey o'lchami, likvidlilikni qidiruvchi va yashirin. Zamonaviy algoritmlar ko'pincha optimal yoki statik yoki dinamik dasturlash orqali tuziladi.[49][50][51]

Faqat qorong'i hovuzlarga tegishli strategiyalar

Yaqinda, shuningdek, sotib olish tomonlarining keng to'plamini o'z ichiga olgan HFT bozor ishlab chiqarish yon savdogarlarni sotish, yanada taniqli va tortishuvlarga aylandi.[52] Ushbu algoritmlar yoki metodlarga odatda "Yashirin" (Deutsche Bank tomonidan ishlab chiqilgan), "Aysberg", "Xanjar", "Partizan", "Snayper", "BASOR" (Quod Financial tomonidan ishlab chiqilgan) va "Sniffer" kabi nomlar berilgan. .[53] Qorong'i hovuzlar tabiatan xususiy bo'lgan va shu tariqa jamoat tartibining oqimi bilan o'zaro aloqasi bo'lmagan muqobil savdo tizimlari bo'lib, aksincha yirik qimmatli qog'ozlar bloklariga ko'rinmas likvidlikni ta'minlashga intiladi.[54] Qorong'i hovuzlarda savdo noma'lum tarzda amalga oshiriladi, aksariyat buyurtmalar yashiringan yoki "muzli".[55] Geymerlar yoki "akulalar" sotib olish va sotish uchun kichik bozor buyurtmalarini "ping qilish" orqali katta buyurtmalarni hidlashadi. Bir nechta kichik buyurtmalar to'ldirilganda, akulalar katta muzli buyurtma mavjudligini aniqlagan bo'lishi mumkin.

"Endi bu qurollanish poygasi," deydi Endryu Lo, direktor Massachusets texnologiya instituti Moliyaviy muhandislik laboratoriyasi. "Har bir inson yanada murakkab algoritmlarni yaratmoqda va raqobat qancha ko'p bo'lsa, shunchalik kam foyda oladi."[56]

Bozor vaqti

Alfa hosil qilish uchun ishlab chiqilgan strategiyalar bozor vaqtini belgilash strategiyasi hisoblanadi. Ushbu turdagi strategiyalar backtesting, oldinga test va jonli testlarni o'z ichiga olgan metodologiya yordamida ishlab chiqilgan. Bozor vaqtini belgilash algoritmlari odatda harakatlanuvchi o'rtacha qiymatlar kabi texnik ko'rsatkichlardan foydalanadi, lekin ular yordamida amalga oshirilgan naqshlarni aniqlash mantig'ini ham o'z ichiga olishi mumkin Sonlu davlat mashinalari.[iqtibos kerak ]

Algoritmni backtesting qilish odatda birinchi bosqich bo'lib, namunaviy ma'lumotlar davri orqali taxminiy savdolarni simulyatsiya qilishni o'z ichiga oladi. Optimallashtirish eng maqbul kirishni aniqlash maqsadida amalga oshiriladi. Haddan tashqari optimallashtirish imkoniyatini kamaytirishga qaratilgan qadamlar kirishni +/- 10% o'zgartirish, kirishni katta bosqichlarda schmooing, monte-karlo simulyatsiyalarini ishga tushirish va siljish va komissiya hisobini ta'minlashni o'z ichiga olishi mumkin.[57]

Algoritmni sinovdan o'tkazish keyingi bosqich bo'lib, algoritmni sinovdan o'tgan taxminlar doirasida bajarilishini ta'minlash uchun namunalarni ma'lumotlar to'plami orqali ishlashni o'z ichiga oladi.

Jonli test - bu rivojlanishning yakuniy bosqichi va ishlab chiquvchidan haqiqiy tijorat savdolarini orqa va oldinga sinovdan o'tgan modellar bilan taqqoslashni talab qiladi. Taqqoslangan ko'rsatkichlar rentabellik foizini, foyda koeffitsientini, maksimal pasayishni va har bir savdo uchun o'rtacha daromadni o'z ichiga oladi.

Yuqori chastotali savdo

Asosiy maqola: Yuqori chastotali savdo

Yuqorida ta'kidlab o'tilganidek, yuqori chastotali savdo (HFT) - bu yuqori tovar aylanmasi va savdo-sotiqning yuqori nisbati bilan ajralib turadigan algoritmik savdo shakli. HFTning yagona ta'rifi mavjud emasligiga qaramay, uning asosiy atributlari orasida juda murakkab algoritmlar, ixtisoslashtirilgan buyurtma turlari, birgalikda joylashish, juda qisqa muddatli investitsiya ufqlari va buyurtmalarni bekor qilishning yuqori darajasi mavjud.[7]AQShda yuqori chastotali (HFT) firmalar bugungi kunda faoliyat yuritayotgan taxminan 20000 firmaning 2 foizini tashkil qiladi, ammo barcha aktsiyalar savdosi hajmining 73 foizini tashkil qiladi.[iqtibos kerak ] 2009 yilning birinchi choragiga kelib, HFT strategiyasiga ega to'siq fondlari boshqaruvidagi jami aktivlar 141 milliard AQSh dollarini tashkil etdi, bu ularning yuqori ko'rsatkichlaridan 21 foizga kamaydi.[58] HFT strategiyasi birinchi marta muvaffaqiyatli amalga oshirildi Uyg'onish texnologiyalari.[59]

2007 va 2008 yillarda yuqori chastotali fondlar ayniqsa ommalasha boshladi.[59] Ko'pgina HFT firmalari bozor ishlab chiqaruvchilari va bozorga likvidlikni ta'minlash, bu o'zgaruvchanlikni pasaytirdi va torayishga yordam berdi Tender takliflarining tarqalishi bozorning boshqa ishtirokchilari uchun savdo qilish va investitsiyalarni arzonlashtirish.[58][60][61] O'shandan beri HFT jamoatchilikning diqqat markazida bo'lgan AQShning qimmatli qog'ozlar va birjalar bo'yicha komissiyasi va Tovar fyucherslari savdo komissiyasi ikkala algoritmik savdo va HFT ham o'zgaruvchanlikka hissa qo'shganligini ta'kidladilar 2010 yilgi Flash halokati. AQShning yuqori chastotali yirik savdo firmalari orasida Chikago Trading Company, Optiver, Virtu Moliyaviy, DRW, Jump Trading, Ikki Sigma qimmatli qog'ozlari, GTS, IMC Financial va Citadel MChJ.[62]

HFT strategiyasining to'rtta asosiy toifasi mavjud: buyurtma oqimiga asoslangan bozorni yaratish, malumotlar to'g'risidagi ma'lumotlarga asoslangan bozorni yaratish, voqealar hakamligi va statistik arbitraj. Portfelni taqsimlash bo'yicha barcha qarorlar kompyuterlashtirilgan miqdoriy modellar bilan qabul qilinadi. Kompyuterlashtirilgan strategiyalarning muvaffaqiyati asosan ularning bir vaqtning o'zida hajmlarni qayta ishlash qobiliyatlari bilan bog'liq bo'lib, oddiy odam savdogarlari qila olmaydilar.

Bozor ishlab chiqarish

Bozor ishlab chiqarish sotish (yoki taklif qilish) uchun chegara buyurtmasini joriy bozor narxidan yuqori yoki doimiy ravishda va doimiy ravishda doimiy ravishda doimiy sotib olish uchun limit bo'yicha buyurtmani (yoki taklifni) joriy narxdan pastroq joylashtirishni o'z ichiga oladi. Citigroup tomonidan 2007 yil iyul oyida sotib olingan avtomatlashtirilgan savdo stoli faol bozor ishlab chiqaruvchisi bo'lib, NASDAQ va Nyu-York fond birjasida umumiy hajmning taxminan 6 foizini tashkil qildi.[63]

Statistik arbitraj

Klassik hakamlik strategiyasidagi HFT strategiyasining yana bir to'plami qamrab olingan kabi bir nechta qimmatli qog'ozlarni o'z ichiga olishi mumkin foiz stavkasi pariteti ichida valyuta bozori bu ichki zayom, chet el valyutasida ko'rsatilgan obligatsiya, valyutaning spot narxi va a forvard shartnomasi valyutada. Agar bozor narxlari qoplash uchun modelda nazarda tutilgan narxlardan etarlicha farq qilsa tranzaksiya qiymati shunda tavakkalsiz foyda olishni kafolatlash uchun to'rtta operatsiyani bajarish mumkin. HFT 4 dan ortiq qimmatli qog'ozlarni o'z ichiga olgan katta murakkablikdagi modellardan foydalangan holda shunga o'xshash hakamliklarga ruxsat beradi. TABB guruhining taxmin qilishicha, kam kechiktirilgan arbitraj strategiyasining yillik umumiy foydasi hozirgi kunda 21 milliard AQSh dollaridan oshadi.[26]

Savdo qarorlari statistik ahamiyatga ega bo'lgan munosabatlardan chetga chiqish asosida qabul qilinadigan statistik arbitrajning keng strategiyasi ishlab chiqildi. Bozor yaratish strategiyalari singari, statistik arbitraj ham aktivlar sinflarida qo'llanilishi mumkin.

Voqealar hakamligi

Ikki yoki undan ortiq moliyaviy vositalar va ruxsatnomalarning narxlari yoki stavkalari munosabatlarini o'zgartirish uchun shartnoma imzolash, normativ hujjatni tasdiqlash, sud qarori va boshqalar kabi ma'lum bir voqea hisoblanadigan xatar, qo'shilish, konvertatsiya qilinadigan yoki qiynalgan qimmatli qog'ozlar arbitrajining bir qismi. foyda olish uchun hakamlik sudi.[64]

Birlashish hakamligi ham chaqirdi xavf arbitraj bunga misol bo'lar edi. Birlashish hakamligi odatda a-ning maqsadi bo'lgan kompaniya aktsiyalarini sotib olishdan iborat qabul qilmoq; yutib olmoq esa kalta ekvayer kompaniya aksiyalari. Odatda maqsadli kompaniyaning bozor narxi ekvayer kompaniya tomonidan taklif qilingan narxdan past bo'ladi. Ushbu ikki narx o'rtasidagi tarqalish asosan sotib olish jarayoni tugash ehtimoli va vaqtiga hamda foiz stavkalarining ustun darajasiga bog'liq. Birlashish arbitrajidagi garov shuki, agar sotib olish tugagandan so'ng, bunday tarqalish nolga teng bo'ladi. Xavf shundan iboratki, bitim «buziladi» va tarqalishi juda kengayadi.

Soxtalashtirish

Asosiy maqola: Layering (moliya)

Ba'zi bir savdogarlar ishlatgan, ammo hali ham ta'qiqlangan strategiya davom etmoqda, bu firibgarlik deb ataladi. Bu buyurtmalarni buyurtmani bajarish yoki hech qachon sotishni istamaslik haqidagi taassurot qoldirish uchun buyurtma berishdir, hech qachon buyurtmani bajarish uchun bozorni aktsiyalarni yanada qulay narxlarda sotib olish yoki sotish uchun vaqtincha manipulyatsiya qilishiga yo'l qo'ymaslik kerak. Bu joriy taklifdan tashqari chegara buyurtmalarini yaratish yoki boshqa bozor ishtirokchilariga hisobot narxini o'zgartirish uchun narxni so'rash orqali amalga oshiriladi. Keyinchalik treyder narxlarning sun'iy o'zgarishi asosida savdolarni amalga oshirishi mumkin, so'ngra chegara buyurtmalarini ular bajarilishidan oldin bekor qilishi mumkin.

Deylik, savdogar kompaniyaning aktsiyalarini joriy taklifi 20 dollar va joriy so'rovi 20,20 dollar bilan sotmoqchi. Savdogar sotib olish uchun buyurtmani $ 20.10 da o'rnatadi, ammo so'ralgandan biroz uzoqroq, shuning uchun u amalga oshirilmaydi va $ 20.10 taklifi eng yaxshi taklif va taklif bo'yicha eng yaxshi narx sifatida e'lon qilinadi. Keyin savdogar sotmoqchi bo'lgan aktsiyalarini sotish bo'yicha bozor tartibini amalga oshiradi. Eng yaxshi taklif narxi investorning sun'iy taklifi bo'lganligi sababli, bozor ishlab chiqaruvchisi sotish buyurtmasini 20.10 dollarga to'ldiradi va har bir aktsiya uchun .10 dollarga sotish narxini oshirishga imkon beradi. Keyinchalik, savdogar hech qachon tugatmoqchi bo'lmagan sotib olish bo'yicha chegara tartibini bekor qiladi.

Iqtibosni to'ldirish

Asosiy maqola: Iqtibosni to'ldirish

Kotirovka bilan to'ldirish - bu zararli treyderlar tomonidan qo'llaniladigan taktika, bu tezda buyurtma berish uchun katta miqdordagi buyurtmalarni tezda kiritish va qaytarib olishni o'z ichiga oladi, bu esa bozorni sekinlashtiruvchi ishtirokchilaridan ustunlikka ega bo'lishdir.[65] Tezda joylashtirilgan va bekor qilingan buyurtmalar, oddiy investorlar to'lg'azish paytida narx kotirovkalarini kechiktirishga ishonadigan bozor ma'lumotlarini keltirib chiqaradi. HFT firmalari mulkiy, yuqori quvvatli yemlardan va eng qobiliyatli, eng past kechikish infratuzilmasidan foydalanadilar. Tadqiqotchilar shuni ko'rsatdiki, yuqori chastotali treyderlar sun'iy ravishda qo'zg'atilgan kechikishlar va kotirovkalarni to'ldirish natijasida kelib chiqadigan hakamlik imkoniyatlari bilan foyda ko'rishlari mumkin.[66]

Kam kechikadigan savdo tizimlari

Tarmoq bilan bog'liq kechikish, kechikishning sinonimi, bir tomonlama kechikish yoki qaytish vaqti bilan o'lchanadi, odatda ma'lumotlar to'plami bir nuqtadan boshqasiga o'tish uchun qancha vaqt ketishi sifatida aniqlanadi.[67] Kechiktirilgan savdoni moliyaviy operatsiyalarni tezkor ravishda amalga oshirish uchun fond birjalari va elektron aloqa tarmoqlariga (ECN) ulangan moliya institutlari foydalanadigan algoritmik savdo tizimlari va tarmoq marshrutlari tushuniladi.[68] HFT firmalarining aksariyati savdo strategiyalarining kam kechikishiga bog'liq. Djoel Xasbruk va Gideon Saar (2013) kechikishni uchta tarkibiy qismga asoslanib o'lchaydilar: (1) ma'lumot savdogarga etib borishi uchun vaqt, (2) treyderning ma'lumotni tahlil qilish algoritmlari va (3) hosil qilingan harakatlar almashinish va amalga oshirish.[69] Zamonaviy elektron bozorda (taxminan 2009 yil) past kechiktirilgan savdoni qayta ishlash muddati 10 millisekundagacha, o'ta past kechikish esa 1 millisekundagacha bo'lgan darajaga to'g'ri keldi.[70]

Kam kechikadigan savdogarlar bog'liq ultra past kechikish tarmoqlari. Ular o'zlarining algoritmlariga raqobatbardosh takliflar va takliflar kabi ma'lumotlarni mikrosaniyalarda tezroq etkazib berish orqali foyda ko'rishadi.[26] Tezlikning inqilobiy rivojlanishi firmalarga real vaqt rejimiga ega bo'lish zarurligini keltirib chiqardi, uyg'unlashgan yuqori chastotali strategiyalarni amalga oshirishdan foyda olish uchun savdo maydonchasi.[26] Bozordagi nozik o'zgarishlarni aks ettirish hamda mavjud strategiya tahdidiga qarshi kurashish uchun strategiyalar doimiy ravishda o'zgartirilib boriladi teskari muhandislik raqobatchilar tomonidan. Bu algoritmik savdo strategiyalarining evolyutsion tabiati bilan bog'liq - ular bozor sharoitlaridan qat'i nazar, moslashuvchan va aqlli savdo qilish imkoniyatiga ega bo'lishi kerak, bu esa bozor stsenariylarining juda ko'p qismiga bardosh bera oladigan darajada egiluvchanlikni o'z ichiga oladi. Natijada, firmalardan olinadigan sof daromadlarning sezilarli qismi ushbu avtonom savdo tizimlarining ilmiy-tadqiqot ishlari uchun sarflanadi.[26]

Strategiyani amalga oshirish

Algoritmik strategiyalarning aksariyati zamonaviy dasturlash tillari yordamida amalga oshiriladi, biroq ba'zilari elektron jadvallarda ishlab chiqilgan strategiyalarni amalga oshiradilar. Borgan sari yirik brokerlik sub'ektlari va aktivlar menejerlari tomonidan qo'llaniladigan algoritmlar FIX Protokolning Algoritmik Savdo ta'rifi tiliga yoziladi (FIXatdl ), bu buyurtmalarni qabul qiluvchi firmalarga elektron buyurtmalarini qanday ifodalash kerakligini aniq belgilashga imkon beradi. FIXatdl yordamida tuzilgan buyurtmalar keyinchalik FIX Protocol orqali treyderlar tizimidan uzatilishi mumkin.[71] Asosiy modellar chiziqli regressiya kabi ozgina tayanishi mumkin, murakkabroq o'yin-nazariy va naqshni aniqlash[72] yoki bashorat qiluvchi modellar ham savdoni boshlash uchun ishlatilishi mumkin. Kabi yanada murakkab usullar Monte Karlo Markov zanjiri ushbu modellarni yaratish uchun ishlatilgan.[iqtibos kerak ]

Muammolar va ishlanmalar

Algoritmik savdo sezilarli darajada yaxshilanganligi ko'rsatilgan bozor likvidligi[73] boshqa afzalliklar qatorida. Biroq, algoritmik savdo natijasida hosilning yaxshilanishi kompyuterlarning qattiq raqobatiga duch keladigan odam brokerlari va savdogarlar tomonidan qarshi chiqilgan.

Cyborg moliyasi

Moliya sohasidagi texnologik yutuqlar, xususan algoritmik savdo bilan bog'liq bo'lganlar, moliyaviy tezlikni, ulanish imkoniyatlarini va murakkabligini oshirdi, shu bilan birga insoniyligini pasaytirdi. Murakkab algoritmlarga asoslangan dasturiy ta'minot bilan ishlaydigan kompyuterlar moliya sanoatida ko'plab funktsiyalarda odamlarni almashtirdilar. Moliya mohiyatan mashinalar va odamlar ustun rol o'ynaydigan sohaga aylanib bormoqda - zamonaviy moliya bir olimning "kiborg moliya" deb ataganiga aylantirilmoqda.[74]

Xavotirlar

Ko'pgina mutaxassislar kompyuterlashtirilgan algoritmik savdo-sotiqda innovatsiyalarning afzalliklarini maqtashsa, boshqa tahlilchilar kompyuterlashtirilgan savdo-sotiqning o'ziga xos jihatlaridan xavotirda edilar.

"Ushbu tizimlarning salbiy tomoni ularnikidir qora quti - zo'rlik, - dedi janob Uilyams. - Savdogarlar dunyoning qanday ishlashini intuitiv his qilishadi. Ammo bu tizimlar yordamida siz bir qator raqamlarni to'kib tashlaysiz, va boshqa tomondan biron bir narsa chiqadi va har doim ham "qora quti" ba'zi ma'lumotlar yoki munosabatlarga yopishtirilganligi intuitiv yoki aniq emas. "[56]

" Moliyaviy xizmatlar vakolatxonasi qora quti savdosining rivojlanishini diqqat bilan kuzatib kelgan. O'zining yillik hisobotida regulyator yangi texnologiyalar bozorga chiqaradigan samaradorlikning katta afzalliklari haqida ta'kidladi. Ammo, shuningdek, "zamonaviy texnologiyalarga va modellashtirishga ko'proq ishonish, tizimning ishlamay qolishi natijasida biznesning to'xtab qolishiga olib kelishi mumkin bo'lgan katta xavf tug'dirishi" ta'kidlandi. "[75]

Buyuk Britaniya moliya vaziri Lord Myners avtomatik chastotali savdo tufayli kompaniyalar chayqovchilarning "o'yini" ga aylanishi mumkinligi haqida ogohlantirdi. Lord Mynersning aytishicha, bu jarayon investor va kompaniya o'rtasidagi munosabatlarni buzish xavfini tug'dirgan.[76]

Boshqa masalalarga texnik muammo kiradi kechikish yoki treyderlarga kotirovkalarni olishning kechikishi,[77] xavfsizlik va tizimning to'liq buzilish ehtimoli bozor qulashi.[78]

"Goldman bu narsaga o'n millionlab dollar sarflaydi. Ularda o'zlarining texnologik sohasida ishlaydigan odamlar savdo stolidagi odamlarga qaraganda ko'proq ... Bozorlarning tabiati keskin o'zgardi."[79]

2012 yil 1 avgustda Knight Capital Group avtomatlashtirilgan savdo tizimida texnologiya muammosiga duch keldi,[80] 440 million dollar zararga olib keldi.

Ushbu masala Knight-ning savdo dasturlarini o'rnatishi bilan bog'liq edi va natijada Knight ko'plab odamlarni yubordi xato bozorga NYSE ro'yxatiga kiritilgan qimmatli qog'ozlardagi buyurtmalar. Ushbu dastur kompaniya tizimlaridan o'chirildi. ... mijozlarga salbiy ta'sir ko'rsatmadi xato buyurtmalar va dasturiy ta'minot muammosi ma'lum birja qilingan aktsiyalarni NYSEga yo'naltirish bilan cheklangan. Ritsar butunlay savdo-sotiq qildi noto'g'ri savdo position, which has resulted in a realized pre-tax loss of approximately $440 million.

Algorithmic and high-frequency trading were shown to have contributed to volatility during the May 6, 2010 Flash Crash,[32][34] when the Dow Jones Industrial Average plunged about 600 points only to recover those losses within minutes. At the time, it was the second largest point swing, 1,010.14 points, and the biggest one-day point decline, 998.5 points, on an intraday basis in Dow Jones Industrial Average history.[81]

So'nggi o'zgarishlar

Financial market news is now being formatted by firms such as Need To Know News, Tomson Reuters, Dou Jons va Bloomberg, to be read and traded on via algorithms.

"Computers are now being used to generate news stories about company earnings results or economic statistics as they are released. And this almost instantaneous information forms a direct feed into other computers which trade on the news."[82]

The algorithms do not simply trade on simple news stories but also interpret more difficult to understand news. Some firms are also attempting to automatically assign tuyg'u (deciding if the news is good or bad) to news stories so that automated trading can work directly on the news story.[83]

"Increasingly, people are looking at all forms of news and building their own indicators around it in a semi-structured way," as they constantly seek out new trading advantages said Rob Passarella, global director of strategy at Dow Jones Enterprise Media Group. His firm provides both a low latency news feed and news analytics for traders. Passarella also pointed to new academic research being conducted on the degree to which frequent Google searches on various stocks can serve as trading indicators, the potential impact of various phrases and words that may appear in Securities and Exchange Commission statements and the latest wave of online communities devoted to stock trading topics.[83]

"Markets are by their very nature conversations, having grown out of coffee houses and taverns," he said. So the way conversations get created in a digital society will be used to convert news into trades, as well, Passarella said.[83]

"There is a real interest in moving the process of interpreting news from the humans to the machines" says Kirsti Suutari, global business manager of algorithmic trading at Reuters. "More of our customers are finding ways to use news content to make money."[82]

An example of the importance of news reporting speed to algorithmic traders was an reklama aksiya Dou Jons (appearances included page W15 of The Wall Street Journal, on March 1, 2008) claiming that their service had beaten other news services by two seconds in reporting an interest rate cut by the Bank of England.

2007 yil iyul oyida, Citigroup, which had already developed its own trading algorithms, paid $680 million for Automated Trading Desk, a 19-year-old firm that trades about 200 million shares a day.[84] Citigroup had previously bought Lava Trading and OnTrade Inc.

In late 2010, The UK Government Office for Science initiated a Oldindan ko'rish project investigating the future of computer trading in the financial markets,[85] boshchiligidagi Dame Clara Furse, ex-CEO of the London fond birjasi and in September 2011 the project published its initial findings in the form of a three-chapter working paper available in three languages, along with 16 additional papers that provide supporting evidence.[85] All of these findings are authored or co-authored by leading academics and practitioners, and were subjected to anonymous peer-review. Released in 2012, the Foresight study acknowledged issues related to periodic illiquidity, new forms of manipulation and potential threats to market stability due to errant algorithms or excessive message traffic. However, the report was also criticized for adopting "standard pro-HFT arguments" and advisory panel members being linked to the HFT industry.[86]

Tizim arxitekturasi

A traditional trading system consists primarily of two blocks – one that receives the market data while the other that sends the order request to the exchange. However, an algorithmic trading system can be broken down into three parts:

  1. Birja
  2. The server
  3. Ilova

Exchange(s) provide data to the system, which typically consists of the latest order book, traded volumes, and last traded price (LTP) of scrip. The server in turn receives the data simultaneously acting as a store for historical database. The data is analyzed at the application side, where trading strategies are fed from the user and can be viewed on the GUI. Once the order is generated, it is sent to the order management system (OMS), which in turn transmits it to the exchange.

Gradually, old-school, high latency architecture of algorithmic systems is being replaced by newer, state-of-the-art, high infrastructure, low-latency networks. The complex event processing engine (CEP), which is the heart of decision making in algo-based trading systems, is used for order routing and risk management.

Ning paydo bo'lishi bilan FIX (Financial Information Exchange) protocol, the connection to different destinations has become easier and the go-to market time has reduced, when it comes to connecting with a new destination. With the standard protocol in place, integration of third-party vendors for data feeds is not cumbersome anymore.

Effektlar

Though its development may have been prompted by decreasing trade sizes caused by decimalization, algorithmic trading has reduced trade sizes further. Jobs once done by human traders are being switched to computers. The speeds of computer connections, measured in millisekundlar va hatto mikrosaniyalar, have become very important.[87][88]

More fully automated markets such as NASDAQ, Direct Edge and BATS (formerly an acronym for Better Alternative Trading System) in the US, have gained market share from less automated markets such as the NYSE. Economies of scale in electronic trading have contributed to lowering commissions and trade processing fees, and contributed to international mergers and consolidation of financial exchanges.

Competition is developing among exchanges for the fastest processing times for completing trades. For example, in June 2007, the London fond birjasi launched a new system called TradElect that promises an average 10 millisecond turnaround time from placing an order to final confirmation and can process 3,000 orders per second.[89] Since then, competitive exchanges have continued to reduce latency with turnaround times of 3 milliseconds available. This is of great importance to high-frequency traders, because they have to attempt to pinpoint the consistent and probable performance ranges of given financial instruments. These professionals are often dealing in versions of stock index funds like the E-mini S&Ps, because they seek consistency and risk-mitigation along with top performance. They must filter market data to work into their software programming so that there is the lowest latency and highest liquidity at the time for placing stop-losses and/or taking profits. With high volatility in these markets, this becomes a complex and potentially nerve-wracking endeavor, where a small mistake can lead to a large loss. Absolute frequency data play into the development of the trader's pre-programmed instructions.[90]

In the U.S., spending on computers and software in the financial industry increased to $26.4 billion in 2005.[2][91]

Algorithmic trading has caused a shift in the types of employees working in the financial industry. For example, many physicists have entered the financial industry as quantitative analysts. Some physicists have even begun to do research in economics as part of doctoral research. This interdisciplinary movement is sometimes called ekonofizika.[92] Some researchers also cite a "cultural divide" between employees of firms primarily engaged in algorithmic trading and traditional investment managers. Algorithmic trading has encouraged an increased focus on data and had decreased emphasis on sell-side research.[93]

Communication standards

Algorithmic trades require communicating considerably more parameters than traditional market and limit orders. A trader on one end (the "yon tomonni sotib olish ") must enable their trading system (often called an "order management system "yoki"execution management system ") to understand a constantly proliferating flow of new algorithmic order types. The R&D and other costs to construct complex new algorithmic orders types, along with the execution infrastructure, and marketing costs to distribute them, are fairly substantial. What was needed was a way that marketers (the "yon tomonni sotish ") could express algo orders electronically such that buy-side traders could just drop the new order types into their system and be ready to trade them without constant coding custom new order entry screens each time.

FIX Protocol is a trade association that publishes free, open standards in the securities trading area. The FIX language was originally created by Fidelity Investments, and the association Members include virtually all large and many midsized and smaller broker dealers, money center banks, institutional investors, mutual funds, etc. This institution dominates standard setting in the pretrade and trade areas of security transactions. In 2006–2007 several members got together and published a draft XML standard for expressing algorithmic order types. The standard is called FIX Algorithmic Trading Definition Language (FIXatdl ).[94]

Shuningdek qarang

Izohlar

  1. ^ As an arbitrage consists of at least two trades, the metaphor is of putting on a pair of pants, one leg (trade) at a time. The risk that one trade (leg) fails to execute is thus 'leg risk'.

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Tashqi havolalar

Tashqi video
video belgisi How algorithms shape our world, TED (konferentsiya)