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外汇市场的高频交易

FCM行政部于2011年11月1日刊登

 

高频交易(HFT)包含了运用算法交易买卖下单和速度奇快的交易系统,能在零点零几秒间赚到微小的差价。这种交易技术会以不同形式应用在已经发展且股权交易成熟的市场。

运用这种优越的算法交易,公司能以先进科技为导向的交易策略赚进数十个亿,高频交易已经成为低投资、高获利交易的绝佳策略。现在,美国股权市场中接近百分之七十三的交易量是高频交易,以期确保高流量与价格能见度。

高频交易及外汇市场中高频交易的新时机

事实上,使用高频交易在美国是喜忧参半。不善用科技的投资者对交易所的新时代全自动交易系统感到不安,此外,这些投资者能赚取的利润,也因高频交易无孔不入大小通吃的收益而大幅下跌。

首先来看看甚麽是高频交易

高频交易是一种传统的交易策略,但以先进的伺服器进行复杂的计算,找出国内与国际市场上的趋势,分析后下”闪存订单”,这些动作全在零点零几秒内完成。虽然交易只有几秒钟,却有大批量的交易在进行。交易市场对短时间内的大批量交易所给的回扣,也让这些交易所靠这些微量交易获利。再者,这些交易所有途径,能比离线或是速度慢的投资者更快取得大量的优先级信息,再倒卖这些信息又可以赚到很好的利润。

外汇市场的高频交易

九0年代之前,外汇市场是代理商对盘商的市场,并以电话下单交易。随着互联网的出现,外汇市场也开始处理大批量交易。

外汇市场高流通及低波动的固有特性,提供了一个适合高频交易方式的环境。佔领市场、预测及套利,这些概念则都是从股权市场学来,且经过长时期的考验。

通常,高频交易公司会透过交易商在自定义构建的软件上设定一些低利润率的交易策略。每个公司都因为利用’闪存订单’的些微时间差进出市场而蓬勃发展。

事实上,在墨尔本,一支大型外汇基金已经运用外汇市场高频交易,成功的操作资金超过一个世纪。

洞悉外汇市场的高频交易

一份最近由国际清算银行(BIS)报告反映了高频交易在外汇市场中的角色。报告中指出,在过去几年裡,因为互联网基础设施更强大,使高频交易的使用在外汇市场中有增加的趋势。

据指出,外汇市场中,高频交易活跃在大多数流通货币的市场,在主导货币市场中更是盛行。

高频交易靠着大批量的小额订单,藉着微时间差赚取低利润,这意味着所有的订单进出都在零点零几秒间。分析市场用的所谓特定’演算法’,让交易策略付诸实现。另一个值得关注的走向是,大部分的交易者採取低风险时间的策略,持仓平均低于五秒以达到高效能的目的。

这份报告预测,高频交易将会盛行于较小量交易的以及新兴经济体的货币市场。

在已经有高频交易的外汇市场,这种交易法被认为对市场有很大的冲击。高频交易有效地在每个细分市场中增加及分配交易量。虽然高频交易方式是高效率的,但它也降地了利润率。要能够判断高频交易对外汇市场真正的生态影响将需要一段很长的时间。

在外汇市场中运用高频交易的代理商/公司

货币衍生工具是很大的一块细分市场,高频交易则是利润丰厚的策略,外汇市场中大部分的主要参与者正广泛地採用它。

瑞士瑞信银行(Credit Suisse Group AG), 苏格兰皇家银行集团(Royal Bank of Scotland Group PLC)和一些主要的避险基金很早就採用自动化系统去管理他们的货币持仓量。

全球来看,高频交易目前佔整体外汇市场交易量的百分之三十,尤其在欧元对冲美元的部份业绩佔比更高。

高盛集团,美国银行以及美林集团则是在股权市场知名的高频交易使用者。

美国外汇市场的高频交易

2010年三月后,高频交易引起了市场崩盘,美国证券交易委员会(Securities & Exchange Commission ,SEC)提出紧缩管制去掌控高频交易在证券业的使用,这项管制也很有可能将同时用在外汇市场,因为根据估计,美国的外汇市场约有三分之二的交易量是使用高频交易。此后,交易税、下单时间都是可能被管制的项目。

对所有的投资人来说,外汇市场的高频交易是一个理想的交易平台,因为它的全自动交易方式能降低风险、虽然低利润率但却有可观的营业额利润。

 

High Frequency Trading in The Foreign Exchange (FX) Markets /885

High Frequency Trading (HFT) consists of the predictive buying and selling of contracts using algorithmic trading software and ultra low latency trading infrastructure where fractional increments of money can be earned in sometimes microseconds( millio…

High Frequency Trading in The Foreign Exchange (FX) Markets

High Frequency Trading (HFT) consists of the predictive buying and selling of contracts using algorithmic trading software and ultra low latency trading infrastructure where fractional increments of money can be earned in sometimes microseconds( millionth of a second).  The trading technique as such as been used in various forms as markets evolved and equity trading matured.

With the ascendency of new algorithmic trading firms with their cutting-edge, technology-driven trading strategies with the goal of earning profits in billions of dollars, HFT has become the wonder-strategy for low-investment, high-profit trading opportunities.  Today, nearly seventy-three percent of US equity markets> transactions run on HFT ensuring high-liquidity and price-visibility.

HFT and newer opportunities for High Frequency Trading in the Forex market

In fact, it has been quite a mixed bag for HFT in the U.S. Non-technology traders are disconcerted with unfair advantage gained by new-age-automated trading firms. Besides, they are also affected by the drastic fall in profit earning due to the thin spread of revenues HFT generates.

First a look at High Frequency Trading

High Frequency Trading, is a typical trading strategy, where sophisticated algorithms running on advanced servers identify trends in national and international market places, analyze them and place ‘flash orders’ all within one-millionth of a second. Though they trade only for a few seconds, high volumes are involved. Market places rebate such deals and help these firms make their fraction-of a penny profit. Again, firms now have access to high volumes, priority information much before off-line or slow-traders, and make a cool profit by reselling.

High Frequency Trading in FX

Before 1990s, FX market too, operated on broker-dealer market and involved placing orders over telephone. However, with electronic trading, FX markets too can handle high volume trade.

The Forex market’s intrinsic characteristic of high liquidity and low volatility provide the right ecosystem for deploying the HFT strategies. These are ideas adapted from the equity markets and time-tested: market-capture, predictive and arbitrage.

Typically, a high-frequency trading firm will run several trading strategies with very low-margins, on custom-built software through intermediaries. Each firm thrives on minimum-latency of ‘flash orders’ of the software to move in-and-out of markets.

In fact, in Melbourne, a large FX fund has been using High Frequency Trading in FX, successfully for well over a decade.

Insight into High Frequency Trading in FX

A recent by BIS reflects the role of HFT in FX marketplaces.  The report says that, there is an increasing use of HFT in FX market in the past few years as there is greater infrastructure available for electronic trading.

It was found that, in the FX market, HFT was active in most liquid currency markets and prevalent among dominant currencies.

It relied on operating high volume but very small orders, maintained low-margins along with low latency. This meant that all orders were placed and withdrawn in a matter of a few milliseconds.  Specific ‘algorithms,’ which analyzed the market, were used to perform these strategies. Another noticeable trend was that most traders adopted short risk holding periods of less than five seconds for greater efficiency.

The report predicts that HFT will spread to currencies, which are traded in lesser volumes as well and will likely be used in currency markets of emerging economies.

HFT is found to have a profound impact in the FX market places where it has been deployed. HFT effectively increases and distributes liquidity amongst all market segments. Though it does bring in greater efficiency into the system, it also cuts down on the profit margins. The true understanding of HFT’s impact on the FX market ecosystem will require a longer period.

Agencies/Firms adopting high frequency trading in Fx

Currency derivatives are a very large market segment and high frequency trading is a lucrative strategy, most major players in FX are fast adopting.

One of the early adopters of automating their currency management is Credit Suisse Group AG, Royal Bank of Scotland Group PLC and some of the leading names in hedge funds.

Globally, HFT is responsible for thirty percent of the activity in foreign exchange markets and are high performers in trading with euro and dollar currency pairs.

GoldmanSachs, Bank of America, and Merril Lynch are known adopters of HFT in equity market scope.

High frequency trading in fx in the US

Post May 2010 and the debacle of market debacle triggered by HFT, the SEC in the US will introduce stringent regulations to control its use in the securities industry. It is likely that there would be regulations introduced in the FX market too. An estimated guess, suggests that close to two-thirds of the volume trade in FX uses HFT.  Hence, transaction taxes, limiting the order time are possibly areas of regulation that could well be implemented.

High frequency trading in fx is the ideal trading platform for all stakeholders as the automated process ensures minimal risks, low-margins but excellent turnover profits.

 

 

 

 

 

 

 


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