Презентация Сергея Трошина и Антона Антонова из EXANTE об алгоритмической торговле, инфраструктуре брокера и автоматизации торговли через FIX-протокол.
The slides cover the topics of algorithmic trading, broker IT infrastructure and trading via FIX protocol. Prepared by Sergey Troshin and Anton Antonov, EXANTE Ltd.
2. Содержание
• Алгоритмическая торговля. Классы алгоритмов (10 мин)
• Инфраструктура современного брокера (10 мин)
• FIX протокол. Основные концепции (40 мин)
– Тэги и сообщения
– Dictionary файл
– Разница между версиями
– Как читать FIX спецификацию брокера
• FIX протокол. Пример реализации на С# (20 мин)
• Вопросы и ответы (10 мин)
10. Volatility and Option Trading
Implied volatility prediction
1. Delta neutral portfolio
– Buy option / sell stock on volatility going up
– Sell Option / buy stock on volatility going down
2. Various options strategies
– Straddle
– Strangle
– Butterfly
– Etc.
11. Arbitrage Strategy 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
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)
Parameters: threshold
Another example: S&P stocks on NYSE and NASDAQ in NY against Futures on CME in Chicago
12. Pairs Trading and Statistical Arbitrage
Market neutral portfolio
– Short one set of stocks
– Long another set
– Rebalance very often
• Pair Trading
– Coca-Cola (KO) and Pepsi (PEP)
– Renault (RNO) and PSA Peugeot Citroen (UG)
• Statistical Arbitrage
– Up to 1000+ stocks in portfolio
– Huge quantitive calculations
15. Which is better?
Strategy Sharp Ratio Calculations HFT / Delay
Sensitive?
Trend Following
Mean revision
Bad Easy No
Volatility Trading Bad Hard No
Arbitrage / Pair
trading
Good Easy Yes
Statistical
Arbitrage
Good Hard Yes
Market Making Good Easy Yes
16. Technology
Market data
Delays
Market Depth
Best Bid Offer
Trades
Execution
Delays
Client side /
Server side
Pre-trade
risks, Software
Connection
Protocol
Virtual
Machines
Co-location
Control
Trades Export
Interface
Error handling
22. -> Where FIX server is located?
-> What is algorithm?
23. FIX Server Location
One exchange
– Low latency algorithm
• Exchange data center
– No special requirements
• Back up data center or any random data center
Several exchanges
– Arbitrage with low latency algorithm
• Exchange data center (exchange depends on algorithm)
• Dedicate link to other exchanges
– No special requirements
• Any data center (non exchange preferably)
• Common Internet link
24. Creating an Algorithm
• Any programming language
• 3rd party software
• Run algorithm on your server or in
broker’s VM
• Control through the trading terminal
25. Trading Terminal
• Market Analysis
• Manual trading
• FIX orders control
• Account control
-> What about other servers?
26. Trading Data and Client Accounts Processing
+ DEMO environment
+ Development servers
44. • EXANTE’s Demo program overview
• QuickFix lib and Project dependencies
• Configuration files
• Application class
• Methods to override
• Some implement samples:
– Market data subscribe and receive
– Getting symbols list