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投资者交易策略—算法交易

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一、SmartX 介绍

SmartX提供插件 SDK ,可开发私有插件、或使用内置插件市场提供的公有插件,以便对客户端进行功能扩展以及执行客户端终端策略。支持客户端 UI 界面扩展、客户端下单 / 订阅行情 投资者交易策略—算法交易 / 委托成交资产持仓变更消息推送、支持简单的客户端策略、支持交易所机房后端复杂 / 低延迟功夫策略。基于功夫量化交易模块,支持以一套 API 进行 XTP 、 CTP 交易,支持行情和交易信号的实时落盘记录,方便盘后对策略进行回放调优。

一、SmartX 介绍

SmartX提供插件 SDK ,可开发私有插件、或使用内置插件市场提供的公有插件,以便对客户端进行功能扩展以及执行客户端终端策略。支持客户端 UI 界面扩展、客户端下单 / 订阅行情 / 委托成交资产持仓变更消息推送、支持简单的客户端策略、支持交易所机房后端复杂 / 低延迟功夫策略。基于功夫量化交易模块,支持以一套 API 进行 XTP 、 CTP 交易,支持行情和交易信号的实时落盘记录,方便盘后对策略进行回放调优。

投资者交易策略—算法交易

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A new algorithmic trading strategy for high-frequency trading

【Abstract】 Over the past decade,financial markets have witnessed an explosion of algorithmic trading strategy which can help investors efficiently reduce transaction cost. In order to reduce the trading cost,investors usually break block orders 投资者交易策略—算法交易 into small pieces in high-frequency trading. However,the behavior of such order splitting may result in inevitable opportunity cost as well as timing risk. This paper establishes a new algorithmic 投资者交易策略—算法交易 trading strategy to minimize implicit trading costs,投资者交易策略—算法交易 including the market impact,opportunity cost,timing risk and the price appreciation. We find the performance of our optimal algorithmic trading strategy 投资者交易策略—算法交易 is better than that of MIOC or VWAP strategies in all the cases of increased,decreased and U-shaped execution probability. The new algorithmic trading strategy established in this paper can effectively reduce the trading cost. 更多还原