Now more investors are starting to usequantitative trading,brokerages also provide numerousalgorithmic trading< /span>, before using it, we understand what position we have given ourselves? How to choose the algorithm and how to choose a brokerage firm? One article to understand, recommended collection!
Quantitative trading in securities firms covers a wide range of topics, of course dailyalgorithmic trading Mainly include passive algorithmic tradingactive algorithmic trading, active algorithmic trading and comprehensive algorithmic trading. (GeneralHang Seng, XuntouThese all include these) a>
First:Active algorithmic trading
It is also called opportunistic algorithmic trading. This type of trading algorithm makes real-time decisions based on market conditions to determine whether to trade, the quantity of the trade, the price of the trade, etc.
Second:Comprehensive algorithmic trading
It is based on the market conditions and preset goals, using passive and active trading strategies to conduct transactions.
Third:Passive algorithmic trading
Also calledstructural algorithmic trading or timetable algorithmic trading.
In addition to using historical data to estimate the key parameters of the trading model, this type of trading algorithm will not actively choose the timing and quantity of transactions based on market conditions, but will conduct transactions according to an established trading policy.
The core of this strategy is to reduce slippage (the difference between the target price and the actual average transaction price).
Passive algorithmic trading is the most mature and widely used. For example, the volume-weighted average price (VWAP) and time-weighted average price (TWAP), which are most commonly used in the international market, are all passive. Algorithmic trading.
The specific usage of the TWAP (Time Weighted Average Price) algorithm is as follows:
1. Click Smart Order, select "Price Trigger (TWAP)" in the drop-down box, fill in the parameters, and click "Start".
2. Set the order price and order quantity on the order board and place the order.
3. Click on the modifiable parameters of Smart Order.
4. You can manage and view execution details in the "Algorithm List-Smart Order" window.
In addition,The TWAP algorithm is used in a wide range of scenarios, including securities markets, futures markets, foreign exchange markets, etc. The advantage of the TWAP algorithm is that it can flexibly adjust algorithm parameters to achieve different trading goals, such as increasing transaction volume, reducing transaction costs, etc.
VWAP algorithmSpecific usage:
This is a weighted average used to calculate transaction volume A price-based approach that typically takes the price at which an asset trades across multiple trading environments and weights those price points based on each exchange’s trading volume, often filtering out wash trading and other outliers.
Specifically:
The calculation formula of VWAP is: (V1 × P1 + V2 × P2 + … + Vn × Pn) / Total Volume. Among them, V1 and P1 are the trading volume and price of the traded assets in the first trading environment, and n is the number of trading environments in the current calculation.
In actual trading,VWAP is used to determine a volume-weighted average price, which can help investors determine a fair price when buying or selling stocks. At the same time, VWAP can also be used to compare the trading performance of different stocks or different trading days.
In addition,VWAP algorithm can also be used to formulate trading strategies. For example, investors can determine the best time to buy or sell based on the VWAP price. When the stock price is higher than VWAP, investors may choose to sell; when the stock price is lower than VWAP, investors may choose to buy.
The two most commonly used algorithmic trading models on the market are these two.At present, some brokers support these uses, and some even independently develop their own algorithmic systems to assist in trading. of. You can directly contact the account manager of the brokerage firm who can guide you directly. Follow the consultation to learn more about investment content!