The main purpose of speculative strategies is to earn income in the short term due to fluctuations in market prices of financial instruments.
In the case of algorithmic systems using the principle of the quotation, the picture is quite different. Firstly, at the interchange of applications, these systems can exhibit several requests per second on one instrument, and secondly, only a small part of these applications results in a transaction (information provided by the MICEX, more than 95% of applications from high-performance robots removed without ). Thus, in the high-quoting, exchange infrastructure is loaded to the maximum extent, and most of the time idle. Since excessive load exchange infrastructure can affect the stability of its operation, exchanges use such protective mechanisms, such as a delay in the broadcast of market information, limiting the number of allowable transactions, the introduction of a minimum time of "life" applications, as well as containment of activity of robots through tariff policy.
Algorithmic strategies
Despite the variety of existing algorithmic strategies, some of them use the general principles of construction or similar algorithms that allows you to combine them in different groups. From the point of view of the ultimate goal can be divided into two broad categories: ekzekyushn strategy (from the English. Execution - execution) and speculative strategies.
The strategy
These strategies solve the problem of buying or selling a large amount of a financial instrument with a maximum deviation of the final weighted average transaction price from the current market price of the instrument. This category strategies actively used investment funds and brokerage firms around the world, and they account for up to half of the trading volume generated by algorithmic systems. There are three of the most common algorithm used in ekzekyushn strategies:
Algorithm Iceberg - means the total amount of the order fulfillment by putting bids with a total volume not exceeding a predetermined "visible" amount. Billing applications continues until the total amount of the order of execution. In some markets, including LSE, Iceberg algorithm implemented at the kernel level of the trading system, which allows, along with the usual request parameters and specify its "visible" volume. This greatly increases the efficiency of the algorithm, because its realization is enough to expose only one application, which will be executed much faster than a few consistently exposed applications.
Algorithm TWAP (English. Time Weighted Average Price - time-weighted average price) - implies a uniform execution of the total volume of orders for a given number of iterations for a certain period of time, by putting market orders at prices better demand or supply, adjusted by a predetermined amount to the percentage difference .
Algorithm Algo trading system (English. Volume Weighted Average Price - weighted by the volume of the average price) - implies a uniform execution of the total volume of orders for a given number of iterations for a certain period of time, by putting market orders at prices better demand or supply, adjusted by a predetermined amount to the percentage difference but not exceeding the weighted average market price of the instrument, calculated from the start of the algorithm.
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Algo trading - what is?
In terms of load on the stock exchange algorithmic trading infrastructure systems using the principle of the market to work with requests.
Binary option
Binary option (digital option, the option of "all or nothing" option or fixed return) - an option that, depending on the implementation of the agreed conditions at the agreed time or provides a fixed amount of income
Trading binary!
Making a profit, which is known before the purchase of the option. This condition occurs in the case of successful prediction of the direction of price movement.
