financial information exchange(fix) high frequency trading · part one: fix protocol 8=fix.4.4 9=86...
TRANSCRIPT
![Page 1: Financial Information eXchange(FIX) High Frequency Trading · Part one: Fix Protocol 8=FIX.4.4 9=86 35=S 34=449=EXECUTOR 52=20180112-04:45:45.94156=CLIENT1 117=MFM 132=46.08 133=46.63](https://reader033.vdocuments.mx/reader033/viewer/2022042710/5f5d7eb45870dd649778660e/html5/thumbnails/1.jpg)
Financial Information eXchange (FIX)
High Frequency Trading
Mentor : Chris ProutyTeam member :
Li ZhangZohreh EbadiYin XuQinzheng XuXiangyun ZhangZiqi Dong
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CONTENTS
Financial Information eXchange (FIX)1
Strategies and Implementation
Summary
2
3
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01
FIX Protocol
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Part one: Fix Protocol
FIX EngineBusiness Msg
Processing
Business Msg Processing
FIX System
Order Management System
Trader Trader Trader
Trader in Foreign Office
FIX EngineBusiness Msg
Processing
Business Msg Processing
FIX System
Order Management System
Trader Trader Trader
8=FIX.4.4|132=2.32...|10=077
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Part one: Fix Protocol
8=FIX.4.4 9=86 35=S 34=449=EXECUTOR 52=20180112-04:45:45.941 56=CLIENT1 117=MFM 132=46.08 133=46.63 10=195
Price Quote
8=FIX.4.4 9=113 35=D 34=37 449=CLIENT1 52=20180112-21:11:57.354 56=EXECUTOR 11=1 38=70 40=1 54=2 55=CWP 60=20180113-05:11:57.35410=206
Trade Order
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Part one: Fix Protocol
Trading App(Initiator)
Stock Exchange(Acceptor)
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Part one: Fix System
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Part one: Fix ProtocolExample
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02
HFT Strategies
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Part two: HFT Strategies
lAssumption
lWhy using Pairs Trading?
lHow to implement the Pairs Trading?
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Part two: HFT Strategies
20
30
40
50
60
70
80
90
1 5 9 13 17 21 25 29 33 37 41 45 49 53 57 61 65 69 73 77 81 85 89 93 97 101
105
109
113
117
121
125
129
133
137
141
145
149
153
157
161
165
169
Price Chart
MFM CWP
-1.5
-1
-0.5
0
0.5
1
1.5
1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61 64 67 70 73 76 79 82 85 88 91 94 97 100
103
106
109
112
115
118
121
124
127
130
133
136
139
142
145
148
151
154
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163
166
169
Price Correlation
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Part two: HFT Strategies
-0.1 -0.08 -0.06 -0.04 -0.02
0
0.02
0.04
0.06
0.08
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39
Log Return
MFM CWP
-1 -0.8 -0.6 -0.4 -0.2
0
0.2
0.4
0.6
0.8
1
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39
Log Return Correlation
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Part two: HFT Strategies
-0.1 -0.08 -0.06 -0.04 -0.02
00.020.040.060.08
0.1
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39
Log Return
MFM CWP
-0.4
-0.2
0
0.2
0.4
0.6
0.8
1
1.2
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39
Log Return Correlation
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Scenario Return Profit Volatility Sharpe Ratioρ > 0.5
(100 shares)108.14% 10814 1.60 1.70
ρ>0.3 (10 shares)ρ>0.7 (100 shares)
331.58% 33158 6.11 1.30
ρ>0.5(Qty=10*|ln(MFM)|*ρ)
-39.73% -3973.44 0.21 -2.26
Part two: HFT Strategies
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Part three: Summary
• Pros and Cons
• Compare with Real Market
• Further Optimization
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Q & A