Date post: | 21-Jun-2015 |
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Economy & Finance |
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I. Algorithmic trading
II. Develop the model
III. Launch the strategy
IV. Analyze the results
V. Trends
Algorithmic trading
Automated trading
HFT
Automated trading
Buy-side Sell-side
Stat arbitrage
VWAP Market Making / HFT
Trend
following
Arbitrage
Smart order
routing
Pricing
I. Algorithmic trading
II. Develop the model
III. Launch the strategy
IV. Analyze the results
V. Trends
Data Hypothesis Model Testing
Historical Data
Width
Instruments
Venues
Corp. actions
News
Depth
Past period
Resolution
Order book
Counterparties
Correctness
Splits and divs
Gaps
Timestamps
Validation
Data Hypothesis Model Testing
A priori knowledge
Gut feeling
Empirical Fundamental
Visualization
Data volume
Speed
Math
Иллюстрация с panopticon.com
RTS Index and S&P Index, 2010-10-11
16:40 16:50 17:00 17:10 17:20 17:30 17:40
RTSI SPX
Data Hypothesis Model Testing
Model
Alpha Risks Transaction costs
EDGE ?
Model: math
Prototype
Our experience: R
Domain Libraries Open and free
Slow No realtime Open and free
Data Hypothesis Model Testing
Testing
Data
• Historical data
• Modeling market impact and order flow
• Realtime
Prototype
• R / Python/ Java
• Cluster / cloud
• GPU
Results
• Alpha
• Risks
• Transaction costs
I. Algorithmic trading
II. Develop the model
III. Launch the strategy
IV. Analyze the results
V. Trends
Инфраструктура
Speed
Low-latency
Ultra low-latency
Sub millisecond
Depth
L1
L2
Raw
Coverage
Americas
Europe
Asia
Realtime data
Strategy
NYSE MFG
LSE
Data Orders
JP
Strategy sandbox
Robot 4 Robot 3
Robot 2 Robot 1
Language
High-level (C++, Java, C#, etc)
DSL (Slang, etc)
Visual (diagrams)
Infrastructure
Client
Server
Cloud
Control
Manual
Automatic
GUI
Arbitrage example
GAZPRU (MICEX)
On new tick: ogzd_rub = convert(ogzd, usd_rub) spread = normalize(ogzd_rub/gazpru) changedSpread()
OGZD (LSE)
USD/RUB (FOREX)
LIMIT (LSE)
London Server (Telehouse)
Filled (size)
MARKET (MICEX)
Filled (price)
On change spread: if (spread > threshold) place_limit(OGZD, price, size)
On limit fill: If (limit_is_filled) place_market(GAZPRU, size)
Arbitrage strategy
Parameters: threshold
VWAP example
On new tick: vwap = recalculateVwap(trades) execute_vol = recalculate(average_volume, volume) executeOrder(execute_vol)
MARKET (MICEX)
Moscow Server (MacomNet)
Filled (size)
on market fill: our_vwap = update(price, size) vwap_delta = our_vwap - vwap
VWAP strategy
SBER bid/ask (MICEX)
SBER volume (MICEX)
SBER trades (MICEX)
Parameters: average_volume
I. Algorithmic trading
II. Develop the model
III. Launch the strategy
IV. Analyze the results
V. Trends
Gather results data
Market snapshot Orders
Latency Strategy parameters
Data
Export the results data
Excel R, Matlab
Visualization Model
Export
Compare with the model
Optimize the parameters
Model
Testing
Trading
Results
I. Algorithmic trading
II. Develop the model
III. Launch the strategy
IV. Analyze the results
V. Trends
Adoption CME GLOBEX Vol, % Msgs, %
E-mini S&P 500 Futures 51.66 69.93
EuroFX Futures 69.32 83.41
Eurodollar Futures 51.29 64.46
Crude Oil Futures 35.34 71.24
Foreign Exchange Buy-side, % Sell-side, %
Order Routing 25 92
Time-slice 25 15
Liquidity 42 46
Alpha 92 39
FX Hedging 25 39
Streambase 2011 Special Report on FX
Algorithmic Trading and Market Dynamics July 15, 2010
60
90
0
10
20
30
40
50
60
70
80
90
100 FORTS
Vol, % Msg, %
Estimated by FORTS 09.2011
Dodd-Frank
SEC 15c3-5
MiFID II
Swap Execution Facility.
Eliminate naked access to exchange.
Crossing networks, derivatives, HFT.
Algotrader: a new breed
Technology
Mathematics
Finance
Strategies
ULL DMA
5μs / km
< 100μs / algo
106 msg / sec
HFT
Buy-side or sell-side?
Market making
Liquidity search and aggregation
Stat arb
Multi-asset trading
FX, Eqty, Debt, Derivs
Europe, USA, Asia
Feeds and execution
Fast and reliable data
Technologies
Software Overclocking FPGA
Multi-core GPGPU Cloud x32 x200 x30000
Our experience: cloud
Power Diversity Cost control
Engineering Compliance Latency
Service!