TRADING SYSTEMS ROBOTS STOCK MARKET
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In recent years, many previously impossible opportunities and new trading tool broadly apply to the stock market. In particular, it became possible to create and use not only mechanical but AND AUTOMATIC TRADING SYSTEM USING without human intervention. This is not about OTC EXCHANGE OR TRADING SYSTEMS AND ON PRIVATE TRADING SYSTEMS, WITH WHICH IS BUYING AND SELLING SECURITIES individual market participants.
CONCEPT TRADING SYSTEM FOR THE STOCK MARKET
Many trading systems are available in closed form for the consumer – as a black box, the algorithm of which is not available to study. Brokerages and investors are operating today in the securities market, faced with the need to build, test and use such systems. Currently, there are two main interpretations of the term “trading system”. Under the trading system to understand how the stock market infrastructure, ie, exchange or OTC system and the system of rules that apply in the conduct of trade or on the basis of which implement the program, independently engaged in trade. Trading system (such as infrastructure) – a collection of computer hardware, software, databases, telecommunications and other equipment that permit transactions, as well as maintenance, storage, processing and disclosure of information necessary for the commission and execution of securities transactions and financial instruments.
With the development of software for trading in the stock market began pressing other systems, also called trading. Trading System – a set of interrelated rules on entry and exit from the simplest version nego.V trading system is a means of organizing and facilitating trade on the exchange.
With today’s products can also give a different definition: the trading system is a substitute trader in the market, the robot, the leading trade in financial assets. Until recently, most trade was carried out people – traders, were empowered to dispose of money to trade on the open a special account. Traders place orders to buy or sell securities or currencies, and brokers meet their orders. Every successful trader in the process of being formed their own approach to trade and their views, when possible, be reflected in their trading methods. As a result, their trade was acquiring systemic. Once it became possible to programmatically implement trade practices, trade efficiency data traders increased. Doing Business with the complex of such programs already occupies a leading position.
Trading systems can be automatic and mechanical. The classic definition of a mechanical trading system is given Nauzerom J. Balsaroy 2. Mechanical trading system (MTS) – a set of rules that determine entry and exit from the market. It is assumed that the correct mechanical trading system has a distinctive and recurring set of transactions. If we assume that the market situation, manifested in the past, will take place in the future, the mechanical system within their statistical limits will give the expected results. Mechanical trading system only generates signals to buy or sell, maintain trade itself does not provide it.
In Western literature, along with mechanical trading systems meet the definition of systems of black boxes and mani-machine (money machine), but these definitions do not fully characterize the automatic system. The term “black box” refers to the system, the mechanism of which is hidden. Such systems tend to have “input” for input and “output” to display the results. The device is “black boxes” and their work on studying the output data and system response to various inputs. The term “money machine” means any device (mechanism, algorithm) is able to make money in a figurative and literal sense. We define the automated trading system. Automated Trading System (ATS) – a trading system that can independently open and close trading positions in real time. Its main difference from a mechanical trading system is a mechanism that is responsible for delivering trade orders to the exchange, which makes it possible to trade without direct human intervention. In other words, the automatic entry of orders on the stock exchange or trading platform broker.
The main advantage of automated trading system is its integrity and self-sufficiency, ie, it possesses a complete set of software and hardware necessary for independent functioning and doing business.
Often, traders and brokers to refer to ATS use the name “trading robot” or “vending machine”. The functioning of a PBX is already a program trade. MTS does not carry out trade. Trade program (program trading) is trading in the stock market, under which the settlement is vested in the computing and software. The word “program” can be interpreted as pre-prepared sequence of steps, and as a computer program. New York Stock Exchange, until recently defined the term “program trading” otherwise. Under the program is understood trade “portfolio trading strategy involving the purchase or sale of 15 kinds of shares, with a gross market value of $ 1 million and above” 3. On April 17, 2007 the Securities and Exchange Commission U.S. (Securities and Exchange Commission USA) proposed to amend the definition of program trading and eliminate the limitation on the dollar volume of trade to replace the requirements of the simplified audit in accordance with regulation 410V (Reports of Listed Securities Transactions Effected Off the Exchange).
Program trading, for example, is extremely popular in hedge funds and intraday trading (day trading), where professionals automate complex strategies that would be impossible to implement without a computer. Many brokerage companies use vending machines to carry out arbitrage between exchanges and to manage their own assets. For example, on the MICEX trading successfully used a robot that is able to perform for 1 hour to 4 thousand transactions of sale 5. The issue of program trading and the creation of national scientific bases for the development and construction of efficient trading systems is very voluminous and not elaborated at the moment, despite the large number of studies conducted mostly in financial companies, rather than in institutions. Private companies are not interested in disseminating their results and achievements on this topic because of the competition.
In a separate case, a trade can be any number of ATC tools. If you have multiple exchanges become possible to simultaneously trade on different markets, different instruments and at different intervals of time. The principles of profit and risk control for each instrument are determined by the ATS, and general risk management and distribution of the deposit is reduced to the portfolio management of exchange.
The selection of tools for ATC is an important, time-consuming and not sufficiently formalized task. Each potential tool for pre-tested and the test result is entered in the table-list with her weight. Ordering of the list and assign each to the weight, as a general rule, according to the formula adopted by the notional optimality.
Distribution of Investments between the strategies – the following item, which is performed in preparation for trade. Often the trade takes place at different sites using different tools. For example, if one uses the U.S. ATC tools, another – Russia, the redistribution of the deposit may take several days. Beginning of the trading session determined the presence of daytime liquid instruments in the markets and match them with the table given the scale. After the decision on what tools what ATC traded, proceed to the trade itself.
During continuous trading is managed trade, as set by ATS on brokers and exchanges in each separately. Trade management includes risk management, earnings, capital, and attitudes. If the performance of one of the exchanges go beyond the bound of the specified confidence interval, or there is a strong drawdown of capital, it should be the response, such as decreasing the amount of investments for the exchange and increase the size of investment for a successful exchange.
Additional terms and conditions of trade that must be considered include: important dates, overnaytovye closing spread, the gap, reality check prices and limit price movements, reaction to the news, and a lack of communication and so p.Dopolnitelnye conditions designed to smooth out the general negative effect social, political and technological factors and to eliminate redundant information at the initial stage of processing time series data.
Adding filters can enhance the system. Examples of possible filters: the indicators that determine the condition of the market (a trend or not) the seasonality of the market; day of the week, the degree of change in volatility. Periods of low volatility can be defined by a narrowing trading range, low value of ADX or statistical indicators, such, for example, the standard deviation. Not less important is the service alerts promptly transmits signals in case of failures or communication of critical errors (default orders, the division of shares (split), etc.).
Happy stock trading to all traders!