高频交易小专题讨论_1.pdf

高频交易（一） tanxiaojun@ 预览  高频交易的时间延迟  算法交易  交易所收费结构与非指定做市商  掠夺交易  闪电崩盘  暗流动性 2% ~ 70% 话题1：高频交易的时间延迟 交易所处理订单的时间延迟 交易所处理订单的时间延迟 June 2007, London Stock Exchange, TradElect, from placing an order to final confirmation, 10 ms, process 3000 orders per second 。 Using a system built by Algo Technologies, it takes 16 microseconds for a share trade to be completed. 接入时间延迟 Direct Market Access ( DMA )  Sponsored Access ( SA ) Direct Electronic Access ( DEA ) 接入时间延迟 接入时间延迟 DEA accounts for 38% of the average daily trading volume in US. Naked access: 250-350 microseconds  Sponsored access: 550-750 microseconds Co-location  CME created a 428,000-square-foot data center, approximately $25,000 a month per rack of computers.  825-mile direct route between the New York and Chicago. Co-location Ralativistic statistical arbitrage, MIT, 2010 话题2：算法交易 算法交易  广义：electronic trading whose parameters are determined by strict adherence to a predetermined set of rules aimed at delivering specific execution outcomes.  Trade execution  Strategy implementation  Stealth / gaming  狭义：指令如何递交？ 四代划分法 First Generation  Participation rate  TWAP  VWAP  Second Generation  Implementation shortfall ( IS ) Third Generation Newsreader Algorithms Smart Order Routing 话题3：交易所收费机构和非指定做市商 Maker-taker定价模型  First introduced by the Island ECN in the US in 1998.  BATS temporarily offerd an inverted pricing model  Direct Edge’s EDGA offers no rebate for makers and charges no fees to takers.  NYSE Euronext offers a classic high-rebate / high-take structure on NYSE Classic and low-take model on NYSE Arca Rebate Driven Market Making Best ask Best ask Best bid Best bid 有毒交易？ Toxic EquityTrading Order Flow on Wall Street, Themis Trading LL