In addition to the popularity of high-speed computers, high-frequency trading has become possible, and several regulatory changes have also promoted the evolution of high-frequency trading. 1998, the regulatory alternative trading system promulgated by the US Securities and Exchange Commission opened the door for electronic trading platforms to compete with large exchanges. Two years later, the exchanges began to quote in the unit closest to 1 cent instead of 16 dollars, thus further narrowing the difference between the bid price and the bid price, forcing traders who make money from these differences to seek other trading methods.
Despite the rapid development of high-frequency trading, the attention of professionals and the research of regulatory agencies have gradually put forward regulatory opinions on high-frequency trading. The National Market System Regulation promulgated by the US Securities and Exchange Commission in 2005 requires that trading orders must be publicized nationwide, not just at various exchanges. And require each exchange to sign a written regulation prohibiting its members from making profits through automatic quotation across exchanges.
Chinese name: high frequency trading
Mbth: high frequency trading
Relevant rules: national market system management rules
Regulator: US Securities and Exchange Commission
share
trait
1, high-frequency trading is a programmed transaction automatically completed by a computer;
2. The volume of high-frequency transactions is huge;
3. The holding time of high-frequency trading is very short, and there are many transactions in the day;
4. The yield of each high-frequency transaction is very low, but the overall income is stable.
Trading strategy
High-frequency trading in the United States, high-frequency trading companies represent about 2% of the 20,000 operating companies today, but the trading volume accounts for about 73% of the shares. High-frequency trading is a quantitative trading, that is, the short holding period of portfolio. There are four kinds of high-frequency trading strategies: market decision based on order flow, market decision based on tick points, event arbitrage and statistical arbitrage.
All portfolio allocation decisions are made by computer quantitative models. The success of high-frequency trading strategy is largely due to their ability to process a large amount of information at the same time, which some ordinary people can't do.
Market maker is a high-frequency trading strategy, which involves selling or buying limit orders at a price (or discount) higher than the current market price, thus profiting from the bid-ask spread. Automatic trading desk was acquired by Citigroup in July 2007. It has been an active market manufacturer, and its foreign exchange trading volume accounts for about 6% of the total trading volume of new york stock market.
Statistical arbitrage
Another strategy is to set up high-frequency trading, which is the possible scope of classical arbitrage strategy, and so on. The interest rate parity relationship of several securities in the foreign exchange market gives foreign currency the price of domestic bonds, first of all, the price of spot price currency and forward contract currency. If there are enough market prices different from those implied in the model to pay the transaction costs, then four transactions can guarantee risk-free profits. High-frequency similar arbitrage trading allows more complex use, involving many securities models over 4. According to TAB Group's estimation, the low profit of the current annual total deferred arbitrage strategy exceeds 2 1 100 million dollars.
The strategy of statistical arbitrage makes a series of decisions, which makes the transaction based on deviation from statistical relationship. Like the market maker strategy, statistical arbitrage can be applied to all asset classes.
Low delay transaction
High-frequency trading is a jargon, which is often confused with low-latency trading, which is executed in a few milliseconds by using a computer, or the "industry delay is extremely low" in this industry. Low latency transactions are the dependence of highly ultra-low latency networks. Their algorithm profits provide information, such as bidding, which is several microseconds faster than competitors.
The speed of the low-latency trading revolution is ahead of schedule, which leads the company to need immediate time and collaborative positioning of trading platforms to benefit from the implementation of high-frequency strategy. The strategy is constantly changing to reflect the subtle changes in the market and to crack down on the reverse engineering competitors that pose a threat.
There is also a very strong pressure to continuously add new functions or improve specific algorithms, such as specific modification of the client and enhancement of various performance changes (regarding benchmark trading performance and reducing the scope cost of trading companies or many other companies). This is due to the evolutionary nature of algorithmic trading strategies-they must be able to adapt and intelligently trade, regardless of market conditions, which involves sufficient flexibility and can withstand a large number of market scenarios. Therefore, the proportion of the main net income from enterprises is spent on independent transactions such as R&D system D.
Click Load More.