Urhwebo lwe-Algo: undoqo wayo, amaqhinga okurhweba kunye neengozi

Okwangoku, uninzi lwemisebenzi yotshintshiselwano lwenziwa kusetyenziswa iirobhothi ezikhethekileyo, apho ii-algorithms ezahlukeneyo zifakwe. Eli qhinga libizwa ngokuba yi-algorithmic trading. Lo ngumkhwa wamashumi eminyaka akutshanje otshintshe imarike ngeendlela ezininzi.

Yintoni urhwebo lwe-algorithmic?

Indlela ephambili yorhwebo lwe-algorithmic kukurhweba kwe-HFT. Ingongoma kukugqiba intengiselwano ngoko nangoko. Ngamanye amazwi, olu hlobo lusebenzisa inzuzo yalo ephambili – isantya. Ingqikelelo yorhwebo lwe-algorithmic ineenkcazo ezimbini eziphambili:

• Urhwebo lweAlgo. I-autosystem enokuthengisa ngaphandle komthengisi kwi-algorithm enikwe yona. Inkqubo iyimfuneko ekufumaneni inzuzo ngokuthe ngqo ngenxa yohlalutyo oluzenzekelayo lwemarike kunye nokuvula izikhundla. Le algorithm ikwabizwa ngokuba “yirobhothi yokuthengisa” okanye “umcebisi”.
• Urhwebo lwe-algorithmic. Ukuphunyezwa kwemiyalelo emikhulu kwiimarike, xa zihlulwe ngokuzenzekelayo zibe ngamacandelo kwaye zivule ngokuthe ngcembe ngokuhambelana nemithetho echaziweyo. Inkqubo isetyenziselwa ukuququzelela umsebenzi wezandla wabarhwebi xa beqhuba ukuthengiselana. Ngokomzekelo, ukuba kukho umsebenzi wokuthenga izabelo ezili-100 lamawaka, kwaye kufuneka uvule izikhundla kwizabelo ezi-1-3 ngexesha elifanayo, ngaphandle kokutsala ingqalelo kwi-order feed.

Ukuyibeka ngokulula, ukurhweba kwe-algorithmic kukuzenzekelayo kwemisebenzi yemihla ngemihla eyenziwa ngabahwebi, okunciphisa ixesha elifunekayo ukuhlalutya ulwazi lwesitokhwe, ukubala iimodeli zemathematika, kunye nokwenza ukuthengiselana. Inkqubo iphinda isuse indima yomntu ekusebenzeni kweemarike (iimvakalelo, ukucinga, “i-intuition yomthengisi”), ngamanye amaxesha iyayichasa inzuzo yesicwangciso esithembisayo.

Imbali yokuvela korhwebo lwe-algorithmic

I-1971 ithathwa njengesiqalo sokurhweba kwe-algorithmic (yavela ngaxeshanye nenkqubo yokuqala yorhwebo oluzenzekelayo NASDAQ). Kwi-1998, iKhomishini yezoKhuseleko yase-US (SEC) igunyaze ngokusemthethweni ukusetyenziswa kwamaqonga okurhweba ngekhompyutha. Emva koko kwaqala ukhuphiswano lokwenene lobuchwepheshe obuphezulu. La maxesha alandelayo abalulekileyo kuphuhliso lorhwebo lwe-algorithmic, ekufanelekile ukukhankanywa:

• Ekuqaleni kweminyaka yoo-2000. Utshintshiselwano oluzenzekelayo lwagqitywa kwimizuzwana nje embalwa. Isabelo semarike yeerobhothi besingaphantsi kwe-10%.
• unyaka ka-2009. Isantya sokwenziwa komyalelo sancitshiswa amaxesha amaninzi, safikelela kuma-milliseconds amaninzi. Isabelo sabancedisi borhwebo siye sanyuka saya kutsho kuma-60%.
• 2012 nangaphaya. Ukungaqiniseki kweziganeko kutshintshiselwano kuye kwakhokelela kwinani elikhulu leempazamo kwii-algorithms eziqinileyo zesoftware eninzi. Oku kwakhokelela ekunciphiseni umthamo wokurhweba ngokuzenzekelayo ukuya kwi-50% yetotali. Itekhnoloji yobukrelekrele bokwenziwa iyaphuhliswa kwaye iyaziswa.

Namhlanje, ukurhweba kwi-high-frequency kusasebenza. Uninzi lwemisebenzi yesiqhelo (umzekelo, ukunyuswa kweemarike) zenziwa ngokuzenzekelayo, ezinciphisa kakhulu umthwalo kubathengisi. Nangona kunjalo, umatshini awukakwazi ukutshintsha ngokupheleleyo ingqondo ephilayo kunye nokuphuhlisa intuition yomntu. Oku kuyinyani ngakumbi xa ukuguquguquka kwemarike yemasheya kwanda kakhulu ngenxa yokupapashwa kweendaba ezibalulekileyo zezoqoqosho zamazwe ngamazwe. Ngeli xesha, kucetyiswa kakhulu ukuba ungathembeli kwiirobhothi.

Izinto eziluncedo kunye nezingeloncedo zokurhweba nge-algorithmic

Iingenelo ze-algorithm zizo zonke izinto ezingalunganga zokurhweba ngesandla. Abantu baphenjelelwa lula ziimvakalelo, kodwa iirobhothi azinjalo. Irobhothi iya kurhweba ngokungqongqo ngokwe-algorithm. Ukuba isivumelwano sinokwenza inzuzo kwixesha elizayo, i-robot iya kuzisa kuwe. Kwakhona, umntu akasoloko ekwazi ukugxila ngokupheleleyo kwizenzo zakhe kwaye ngamaxesha athile ufuna ukuphumla. Iirobhothi azinazo ezo ntsilelo. Kodwa banezabo kunye naphakathi kwabo:

• ngenxa yokuthotyelwa ngokungqongqo kwi-algorithms, i-robot ayikwazi ukuziqhelanisa nokutshintsha kweemeko zemarike;
• ubunzima bokurhweba kwe-algorithmic ngokwayo kunye neemfuno eziphezulu zokulungiselela;
• iimpazamo ze-algorithms eziveziweyo ukuba i-robot ngokwayo ayinakukwazi ukuyibona (oku, ngokuqinisekileyo, sele iyinto yomntu, kodwa umntu unokubona kwaye alungise iimpazamo zakhe, ngelixa iirobhothi zingekakwazi ukwenza oku).

Akufanele uthathele ingqalelo iirobhothi zokurhweba njengeyona ndlela inokwenzeka yokwenza imali ekurhwebeni, kuba inzuzo yokurhweba ngokuzenzekelayo kunye norhwebo olwenziwa ngesandla luphantse lwafana kule minyaka ingama-30 idlulileyo.

Undoqo worhwebo lwe-algorithmic

Abathengisi be-Algo (elinye igama – abathengisi be-quantum) basebenzisa kuphela ithiyori yamathuba okuba amaxabiso awela phakathi koluhlu olufunekayo. Ubalo lusekwe kuluhlu lwamaxabiso angaphambili okanye izixhobo ezininzi zemali. Imigaqo iya kutshintsha ngotshintsho kwindlela yokuziphatha kwimarike.
Abarhwebi be-algorithmic bahlala bekhangela ukungasebenzi kakuhle kweemarike, iipatheni zeengcaphuno eziphindaphindiweyo kwimbali, kunye nokukwazi ukubala ukucaphuna okuphindaphindiweyo kwixesha elizayo. Ngoko ke, undoqo worhwebo lwe-algorithmic lulele kwimithetho yokukhetha izikhundla ezivulekileyo kunye namaqela eerobhothi. Ukhetho lunokuba:

• incwadana – ukubulawa kuqhutywa ngumphandi ngesiseko seemodeli zemathematika kunye nezomzimba;
• oluzenzekelayo – luyimfuneko yokubalwa kobuninzi bemithetho kunye neemvavanyo ngaphakathi kweprogram;
• i- genetic – apha imigaqo iphuhliswa yiprogram enezinto zobukrelekrele bokwenziwa.

Ezinye iimbono kunye ne-utopias malunga nokurhweba kwe-algorithmic yintsomi. Nkqu iirobhothi azikwazi “ukuqikelela” ikamva ngesiqinisekiso se-100%. Imarike ayikwazi ukungasebenzi kakuhle kangangokuba kukho isethi yemithetho esebenza kwiirobhothi nanini na, naphi na. Kwiinkampani ezinkulu zotyalo-mali ezisebenzisa i-algorithms (umzekelo, i-Renessaince Technology, i-Citadel, i-Virtu), kukho amakhulu amaqela (iintsapho) zokurhweba iirobhothi ezigubungela amawaka ezixhobo. Yile ndlela, i-diversification of algorithms, ezizisela inzuzo yemihla ngemihla.

Iintlobo ze-Algorithms

I-algorithm yiseti yemiyalelo ecacileyo eyenzelwe ukwenza umsebenzi othile. Kwimarike yezemali, i-algorithms yomsebenzisi iqhutywe kwiikhomputha. Ukudala isethi yemithetho, idatha kwixabiso, umthamo kunye nexesha lokuphunyezwa kweentengiselwano ezizayo ziya kusetyenziswa. Ukurhweba kwe-Algo kwi-stock kunye neemarike zemali yahlulwe yaba ziindidi ezine eziphambili:

• Ubalo. Le ndlela isekelwe kuhlalutyo lwamanani usebenzisa uluhlu lwexesha lembali ukuchonga amathuba okurhweba.
• Ngokuzenzekelayo. Injongo yesi sicwangciso kukudala imithetho evumela abathathi-nxaxheba beemarike ukuba banciphise umngcipheko weentengiselwano.
• Isigqeba. Le ndlela idalwe ukwenza imisebenzi ethile enxulumene nokuvula kunye nokuvala imiyalelo yorhwebo.
• Ngqo. Le teknoloji ijolise ekufumaneni isantya esiphezulu sokufikelela kwiimarike kunye nokunciphisa iindleko zokungena kunye nokudibanisa abahwebi be-algorithmic kwi-terminal yokurhweba.

Urhwebo oluphezulu lwe-algorithmic lunokukhethwa njengendawo eyahlukileyo yokurhweba ngoomatshini. Into ephambili yolu didi yi-frequency ephezulu yokudalwa komyalelo: ukuthengiselana kugqitywe kwii-milliseconds. Le ndlela inokubonelela ngeenzuzo ezinkulu, kodwa iphinda ithwale ingozi ethile.

Ukurhweba okuSebenzayo: iiRobhothi kunye nabacebisi beeNgcali

Kwi-1997, umhlalutyi uTushar Chand kwincwadi yakhe ethi “Beyond Technical Analysis” (eyayibizwa ngokuba yi “Beyond Technical Analysis”) kuqala wachaza inkqubo yokurhweba ngomatshini (MTS). Le nkqubo ibizwa ngokuba yirobhothi yokurhweba okanye umcebisi kwiintengiselwano zemali. Ezi ziimodyuli zesoftware ezibeka iliso kwimarike, zikhuphe imiyalelo yorhwebo kwaye zilawule ukwenziwa kwale miyalelo. Kukho iindidi ezimbini zeenkqubo zokurhweba iirobhothi:

• ngokuzenzekelayo “ukusuka” kunye “ukuya” – bayakwazi ukwenza izigqibo ezizimeleyo ngokurhweba;
• ezinika imiqondiso yomthengisi ukuvula isivumelwano ngesandla, bona ngokwabo abayithumeli imiyalelo.

Kwimeko yorhwebo lwe-algorithmic, kuphela uhlobo lwe-1 lwe-robot okanye umcebisi lucatshangelwa, kwaye “umsebenzi omkhulu” wayo kukuphunyezwa kwezo zicwangciso ezingenakwenzeka xa kuthengiswa ngesandla.

I-Renaissance Institutiona Equlties Fund yeyona ngxowa-mali inkulu yabucala esebenzisa urhwebo lwe-algorithmic. Yavulwa e-USA yiRenaissance Technologies LLC, eyasekwa ngo-1982 nguJames Harris Simons. I-Financial Times kamva yabiza uSimons “ngoyena bhiliyoni ukrelekrele”.

Zenziwa njani iirobhothi zokurhweba?

Iirobhothi ezisetyenziselwa ukurhweba nge-algorithmic kwimarike yemasheya ziinkqubo ezikhethekileyo zekhompyuter. Uphuhliso lwabo luqala, okokuqala, kunye nokubonakala kwesicwangciso esicacileyo kuyo yonke imisebenzi eyenziwa ngamarobhothi, kuquka nezicwangciso. Umsebenzi ojongene nomdayisi-nkqubo kukudala i-algorithm eqwalasela ulwazi lwakhe kunye nezinto azikhethayo. Kakade ke, kuyimfuneko ukuqonda ngokucacileyo kwangaphambili zonke ii-nuances zenkqubo eyenza ukuthengiselana ngokuzenzekelayo. Ke ngoko, abarhwebi be-novice abakhuthazwa ukuba benze i-algorithm ye-TC ngokwabo. Ukuphunyezwa kobugcisa beerobhothi zokurhweba, kufuneka wazi ubuncinane ulwimi olunye lweprogram. Sebenzisa mql4, Python, C#, C++, Java, R, MathLab ukubhala iinkqubo.
Ukukwazi ukwenza inkqubo kunika abarhwebi iingenelo ezininzi:

• ukukwazi ukwenza oovimba beenkcukacha;
• ukuqaliswa kunye nokuvavanya iinkqubo;
• ukuhlalutya amaqhinga aphezulu-frequency;
• lungisa iimpazamo ngokukhawuleza.

Kukho amathala eencwadi omthombo ovulekileyo oluncedo kakhulu kunye neeprojekthi zolwimi ngalunye. Enye yeeprojekthi ezinkulu zokurhweba nge-algorithmic yi-QuantLib, eyakhiwe kwi-C ++. Ukuba ufuna ukudibanisa ngqo kwi-Currenex, LMAX, Integral, okanye abanye ababoneleli be-liquidity ukusebenzisa i-algorithms ye-frequency high-frequency, kufuneka ube nobuchule bokubhala uqhagamshelwano lwe-APIs kwiJava. Ukungabikho kwezakhono zeprogram, kunokwenzeka ukusebenzisa iinkqubo ezikhethekileyo zokurhweba nge-algorithmic ukwenza iinkqubo ezilula zokurhweba ngoomatshini. Imizekelo yamaqonga anje:

• I-TSLab;
• whelthlab;
• I-Metatrader;
• S#.Isitudiyo;
• iitshati ezininzi;
• urhwebo.

Ukurhweba nge-algorithmic kwimarike yemasheya

I-stock kunye neemarike zexesha elizayo zibonelela ngamathuba amaninzi kwiinkqubo ezizenzekelayo, kodwa ukurhweba kwe-algorithmic kuxhaphake kakhulu phakathi kweemali ezinkulu kunaphakathi kwabatyalo-mali babucala. Kukho iintlobo ezininzi zokurhweba nge-algorithmic kwimarike yemasheya:

• Inkqubo esekelwe kuhlalutyo lobugcisa. Yenzelwe ukusebenzisa ukungasebenzi kakuhle kwemarike kunye nezalathi ezininzi zokuchonga iintsingiselo, iintshukumo zentengiso. Ngokuqhelekileyo esi sicwangciso sijolise ekuzuzeni inzuzo kwiindlela zohlalutyo lobugcisa beklasiki.
• Ukurhweba ngababini kunye nebhaskithi. Inkqubo isebenzisa umlinganiselo wezixhobo ezimbini okanye ngaphezulu (enye yazo “yisikhokelo”, oko kukuthi utshintsho lokuqala lwenzeka kuyo, kwaye emva koko i-2 kunye nezixhobo ezilandelayo zitsalwa phezulu) ngepesenti ephezulu, kodwa ayilingani no-1. Ukuba isixhobo siyaphambuka kwindlela ayinikiweyo, mhlawumbi uya kubuyela kwiqela lakhe. Ngokulandelela oku kuphambuka, i-algorithm inokurhweba kwaye yenze inzuzo kumnini.
• Ukuthengisa. Esi sesinye isicwangciso esinomsebenzi kukugcina uqoqosho lwemalike. Ukuze nangaliphi na ixesha umthengisi wabucala okanye i-hedge fund inokuthenga okanye ithengise isixhobo sokurhweba. Abenzi beemarike banokusebenzisa iingeniso zabo ukuhlangabezana nemfuno yezixhobo ezahlukeneyo kunye nenzuzo kutshintshiselwano. Kodwa oku akuthinteli ukusetyenziswa kwezicwangciso ezikhethekileyo ngokusekelwe kwi-traffic esheshayo kunye nedatha yemarike.
• ukubaleka phambili. Njengenxalenye yenkqubo enjalo, izixhobo zisetyenziselwa ukuhlalutya umthamo weentengiselwano kunye nokuchonga imiyalelo emikhulu. I-algorithm ithathela ingqalelo ukuba ii-odolo ezinkulu ziya kubamba ixabiso kwaye zibangele ukurhweba okuchaseneyo kubonakale kwicala elichaseneyo. Ngenxa yesantya sokuhlalutya idatha yemarike ngokulandelelana kweencwadi kunye nokutya, baya kudibana nokuguquguquka, bazame ukugqwesa abanye abathathi-nxaxheba, kwaye bamkele ukuguquguquka okuncinci xa besenza iiodolo ezinkulu kakhulu.
• Ulamlo. Le yintengiselwano usebenzisa izixhobo zemali, ukulungelelaniswa phakathi kwabo kusondele kwenye. Njengomthetho, izixhobo ezinjalo zineempazamo ezincinci. Inkqubo ibeka esweni utshintsho lwexabiso kwizixhobo ezinxulumeneyo kwaye iqhuba imisebenzi ye-arbitrage ukulinganisa amaxabiso. Umzekelo: Iintlobo ze-2 ezahlukeneyo zezabelo zenkampani enye zithathwa, ezitshintsha ngokuhambelana ne-100% yokulungelelanisa. Okanye thatha izabelo ezifanayo, kodwa kwiimarike ezahlukeneyo. Kutshintshiselwano olunye, luya kunyuka / liwe kancinci kancinci kunolunye. Ukuba “ubambe” ngalo mzuzu kwi-1st, unokuvula izivumelwano nge-2.
• Urhwebo oluguquguqukayo. Olu lolona hlobo lunzima kakhulu lokurhweba, olusekelwe ekuthengeni iintlobo ezahlukeneyo zeenketho kunye nokulindela ukwanda kokuguquguquka kwesixhobo esithile. Olu rhwebo lwe-algorithmic lufuna amandla amaninzi ekhompyutheni kunye neqela leengcali. Apha, iingqondo ezingcono zihlalutya izixhobo ezahlukahlukeneyo, ziqikelela ukuba yeyiphi na into enokunyusa ukuguquguquka. Babeka iindlela zabo zokuhlalutya kwiirobhothi, kwaye bathenga ukhetho kwezi zixhobo ngexesha elifanelekileyo.

Iingozi zokurhweba nge-algorithmic

Impembelelo yorhwebo lwe-algorithmic inyuke kakhulu kumaxesha amva nje. Ngokwemvelo, iindlela ezintsha zokurhweba zithwala imingcipheko ethile eyayingalindelekanga ngaphambili. Iintengiselwano zeHFT ngakumbi ziza nemingcipheko ekufuneka ithathelwe ingqalelo.
Eyona nto iyingozi kakhulu xa usebenza nge-algorithms:

• Ukuguqulwa kwexabiso. Ii-algorithms zinokuqwalaselwa ukuba zichaphazele ngokuthe ngqo izixhobo zomntu ngamnye. Iziphumo apha zinokuba yingozi kakhulu. Ngo-2013, ngomhla woku-1 wokurhweba kwimarike ye-BATS yehlabathi, bekukho ukuhla kwexabiso lokhuseleko lwenkampani. Kwimizuzwana nje eli-10, ixabiso lehle ukusuka kwi-15 yeedola ukuya kwiisenti nje ezimbalwa. Isizathu yayingumsebenzi werobhothi, eyayicwangciswe ngabom ukunciphisa amaxabiso ezabelo. Lo mgaqo-nkqubo unokulahlekisa abanye abathathi-nxaxheba kwaye ugqwethe kakhulu imeko ekutshintshisweni.
• Ukuphuma kwemali yokusebenza. Ukuba kukho imeko yoxinzelelo kwimarike, abathathi-nxaxheba abasebenzisa iirobhothi banqumamisa ukurhweba. Ekubeni ininzi yee-odolo zivela kubacebisi be-auto, kukho ukuphuma kwehlabathi jikelele, okuhlisa ngokukhawuleza zonke izicatshulwa. Imiphumo yokutshintshiselana okunjalo “i-swing” ingaba yingozi kakhulu. Ngaphaya koko, ukuphuma kwemali kubangela uloyiko olubanzi oluya kwandisa imeko enzima.
• I-Volatility inyuke ngokukhawuleza. Ngamanye amaxesha kukho ukuguquguquka okungeyomfuneko kwixabiso le-asethi kuzo zonke iimarike zehlabathi. Isenokuba kukunyuka okubukhali kwamaxabiso okanye ukuwa kwentlekele. Le meko ibizwa ngokuba kukungaphumeleli ngequbuliso. Ngokuqhelekileyo unobangela wokuguquguquka kukuziphatha kweerobhothi ezihamba rhoqo, kuba isabelo sabo senani lilonke labathathi-nxaxheba beemarike sikhulu kakhulu.
• Ukunyuka kweendleko. Inani elikhulu labacebisi boomatshini kufuneka lihlale liphucula ubuchule babo bobugcisa. Ngenxa yoko, umgaqo-nkqubo weentlawulo uyatshintsha, onokuthi, ngokuqinisekileyo, awuzukunceda abahwebi.
• umngcipheko wokusebenza. Inani elikhulu lee-odolo ezingenayo ngaxeshanye linokulayisha ngaphezulu iiseva ezinomthamo omkhulu. Ngoko ke, ngamanye amaxesha ngexesha lokurhweba olusebenzayo, inkqubo iyayeka ukusebenza, zonke iimali ezihamba phambili zimisiwe, kwaye abathathi-nxaxheba bafumana ilahleko enkulu.
• Inqanaba lokuqikelelwa kweemarike liyehla. Iirobhothi zinempembelelo enkulu kumaxabiso entengiselwano. Ngenxa yoko, ukuchaneka kwesibikezelo kuyancitshiswa kwaye iziseko zohlalutyo olusisiseko zijongelwa phantsi. Kwakhona abancedisi beemoto bahlutha abarhwebi bemveli amaxabiso amahle.

Iirobhothi ngokuthe ngcembe zibajongela phantsi abathathi-nxaxheba bemarike abaqhelekileyo kwaye oku kukhokelela ekukhatyweni ngokupheleleyo kwemisebenzi yezandla kwixesha elizayo. Imeko iya kuqinisa isikhundla senkqubo ye-algorithms, eya kubangela ukwanda kweengozi ezinxulumene nabo.

I-algorithmic Forex Trading

Ukukhula kwe-algorithmic yorhwebo lotshintshiselwano lwangaphandle ubukhulu becala kubangelwa kukuzenzekela kweenkqubo kunye nokuncipha kwexesha lokuqhuba utshintshiselwano lwangaphandle usebenzisa i-software algorithms. Oku kunciphisa iindleko zokusebenza. I-Forex ikakhulu isebenzisa iirobhothi ezisekelwe kwiindlela zokuhlalutya zobugcisa. Kwaye ekubeni i-terminal eqhelekileyo yi-platform ye-MetaTrader, ulwimi lweprogram ye-MQL olunikezelwa ngabaphuhlisi beqonga lube yindlela eqhelekileyo yokubhala iirobhothi.

Ukurhweba ngobungakanani

Ukurhweba ngobungakanani yindlela yokuthengisa, injongo yokwenza imodeli echaza ukuguquguquka kwezinto ezahlukeneyo zemali kwaye ikuvumela ukuba wenze izibikezelo ezichanekileyo. Abathengisi bobungakanani, abakwabizwa ngokuba ngabathengisi be-quantum, bahlala befundiswe kakhulu kwintsimi yabo: i-economists, i-mathematicians, abadwelisi beprogram. Ukuze ube ngumrhwebi we-quantum, kufuneka ubuncinci wazi iziseko zezibalo zemathematika kunye ne-econometrics.

Urhwebo oluphezulu lwe-algorithmic / ukurhweba kwe-HFT

Le yeyona ndlela iqhelekileyo yorhwebo oluzenzekelayo. Isici sale ndlela kukuba ukuthengiselana kunokwenziwa ngesantya esiphezulu kwizixhobo ezahlukeneyo, apho umjikelo wokudala / wokuvala izikhundla ugqitywe ngaphakathi kwesibini esinye.

Iintengiselwano zeHFT zisebenzisa eyona nto iphambili yeekhompyuter ngaphezu kwabantu – isantya esiphezulu semega.

Kukholelwa ukuba umbhali wengcamango nguStephen Sonson, owathi, kunye no-D. Whitcomb kunye no-D. Hawks, wadala isixhobo sokuqala sokurhweba ngokuzenzekelayo kwi-1989 (i-Automatic Trading Desk). Nangona uphuhliso olusesikweni lwetheknoloji lwaqala kuphela kwi-1998, xa ukusetyenziswa kwamaqonga e-elektroniki kwi-American exchanges yamkelwe.

Imigaqo esisiseko yorhwebo lweHFT

Olu rhwebo lusekwe kule minenga ilandelayo:

• ukusetyenziswa kweenkqubo zobugcisa obuphezulu kugcina ixesha lokuphunyezwa kwezikhundla kwinqanaba le-1-3 milliseconds;
• inzuzo kwiinguqu ezincinci kumaxabiso nakwimida;
• ukuphunyezwa kweentengiselwano ezinkulu zesantya esiphezulu kunye nenzuzo kwinqanaba lokwenene eliphantsi, ngamanye amaxesha lingaphantsi kweesenti (ikhono le-HFT liphindwe kaninzi kunezicwangciso zendabuko);
• ukusetyenziswa kwazo zonke iintlobo zentengiselwano ye-arbitrage;
• ukuthengiselana kwenziwa ngokungqongqo ngosuku lokurhweba, umthamo wokuthengiselana kwiseshoni nganye unokufikelela kumashumi amawaka.

Ubuchule bokuRhweba okuPhakamileyo

Apha ungasebenzisa nasiphi na isicwangciso sokurhweba nge-algorithmic, kodwa kwangaxeshanye urhwebo ngesantya esingafikelelekiyo ebantwini. Nantsi eminye imizekelo yezicwangciso zeHFT:

• Ukuchongwa kwamadama anexabiso eliphezulu lokuhlawula amatyala. Le teknoloji ijolise ekuboneni efihliweyo (“emnyama”) okanye ii-odolo ezininzi ngokuvula ii-transactions zovavanyo ezincinci. Injongo kukulwa nokunyakaza okuqinileyo okwenziwa ngamachibi omthamo.
• Ukudalwa kweemarike ze-elektroniki. Kwinkqubo yokwandisa ukuthengiswa kwemali kwimarike, inzuzo ifunyanwa ngokurhweba ngaphakathi kokusasazwa. Ngokuqhelekileyo, xa kuthengiswa kwi-stock exchange, ukusasazeka kuya kwanda. Ukuba umenzi wemarike akanabo abathengi abanokugcina ibhalansi, ngoko abathengisi be-high-frequency kufuneka basebenzise imali yabo ukuze bahlawule ukubonelela kunye nokufunwa kwesixhobo. Utshintshiselwano kunye nee-ECN ziya kubonelela ngezaphulelo kwiindleko zokusebenza njengomvuzo.
• Ukuqhubela phambili. Igama liguqulelwa ngokuthi “baleka phambili.” Esi sicwangciso sisekelwe kuhlalutyo lwee-odolo zokuthenga nokuthengisa zangoku, ukungabikho kwemali kwe-asethi kunye nenzala evulelekileyo. Undoqo wale ndlela kukubona ii-odolo ezinkulu kwaye ubeke ezakho ezincinci ngexabiso eliphezulu. Emva kokuba umyalelo uphunyeziwe, i-algorithm isebenzisa amathuba aphezulu okuguquguquka kwexabiso malunga nolunye umyalelo omkhulu ukuseta enye ephezulu.
• Ulamlo olulibazisekileyo. Esi sicwangciso sithatha ithuba lokufikelela okusebenzayo kwidatha yokutshintshiselana ngenxa yokusondela kwejografi kumaseva okanye ukufumana uqhagamshelo oluthe ngqo olubiza kakhulu kwiindawo ezinkulu. Ihlala isetyenziswa ngabahwebi abaxhomekeke kubalawuli bemali.
• I-Arbitrage yamanani. Le ndlela yokuthengisa i-high-frequency trading isekelwe ekuchongeni ukulungelelaniswa kwezixhobo ezahlukeneyo phakathi kwamaqonga okanye iindlela ezihambelanayo ze-asethi (i-currency pair futures kunye ne-spot counterparties, i-derivatives kunye ne-stocks). Utshintshiselwano olunjalo ludla ngokuqhutywa ziibhanki zabucala, iimali zotyalo-mali kunye nabanye abathengisi abanelayisenisi.

Imisebenzi ye-high-frequency yenziwa kwimiqulu emincinci, ehlawulwa ngenani elikhulu leentengiselwano. Kule meko, inzuzo kunye nelahleko zilungiswa ngokukhawuleza.

Isishwankathelo seenkqubo zabarhwebi be-algorithmic

Kukho inxalenye encinci yesoftware esetyenziselwa urhwebo lwe-algorithmic kunye nenkqubo yerobhothi:

• TSlab. Isoftware yeC# eyenziwe ngesiRashiya. Iyahambelana nabaninzi be-forex kunye nabathengisi bempahla. Ngombulelo kumzobo okhethekileyo webhloko, unojongano olulula nolufundeka lula. Ungasebenzisa inkqubo simahla ukuvavanya kunye nokwandisa inkqubo, kodwa kwintengiselwano yokwenyani kuya kufuneka uthenge umrhumo.
• WealthLab. Inkqubo esetyenziselwa ukuphuhlisa algorithms kwi C#. Ngayo, ungasebenzisa ithala leencwadi leSibhalo soButyebi ukubhala isoftware ye-algorithmic yokurhweba, eyenza lula inkqubo yekhowudi. Unako kwakhona ukuqhagamshela izicaphulo ezivela kwimithombo eyahlukeneyo kwinkqubo. Ukongeza kwi-backtesting, ukuthengiselana kwangempela kunokuthi kwenzeke kwimarike yezemali.
• r studio. Inkqubo ephucukileyo yobungakanani (ayilungelanga abaqalayo). I-software idibanisa iilwimi ezininzi, enye yazo isebenzisa ulwimi olukhethekileyo lwe-R kwidatha kunye nexesha lokucubungula uchungechunge. Ii-algorithms kunye ne-interfaces zenziwe apha, iimvavanyo kunye nokulungiswa kuqhutywe, izibalo kunye nezinye iinkcukacha zinokufumaneka. I-R Studio isimahla, kodwa inzulu kakhulu. Inkqubo isebenzisa iilayibrari ezahlukeneyo ezakhelwe ngaphakathi, abavavanyi, iimodeli, njl.

Amaqhinga okurhweba nge-algorithmic

Urhwebo lweAlgo lunezi zicwangciso zilandelayo:

• I-TWAP. Le algorithm ivula rhoqo iiodolo ngeyona nto ingcono kakhulu okanye ixabiso lonikezelo.
• isicwangciso sokwenza.  I-algorithm idinga ukuthengwa okukhulu kwee-asethi kumaxabiso aphakathi, ngokuqhelekileyo asetyenziswa ngabathathi-nxaxheba abakhulu (i-hedge funds kunye nabathengisi).
• VWAP. I-algorithm isetyenziselwa ukuvula izikhundla kwindawo elinganayo yomthamo onikeziweyo ngaphakathi kwexesha elithile, kwaye ixabiso akufanele libe phezulu kunexabiso elilinganiselweyo ekuqalisweni.
• Imayini yedatha. Kukukhangela iipateni ezintsha zee-algorithms ezintsha. Ngaphambi kokuqala kovavanyo, ngaphezu kwe-75% yemihla yokuvelisa yayiqokelelwe idatha. Iziphumo zokukhangela zixhomekeke kuphela kwiindlela zobuchwephesha kunye nezineenkcukacha. Uphendlo ngokwalo luqwalaselwe ngesandla kusetyenziswa iialgorithms ezahlukeneyo.
• iceberg. Isetyenziselwa ukubeka ii-odolo, inani elipheleleyo elingagqithisi inani elichazwe kwiiparameters. Kwiindawo ezininzi zokutshintshiselana, le algorithm yakhiwe kumbindi wenkqubo, kwaye ikuvumela ukuba uchaze umthamo kwiiparamitha zomyalelo.
• isicwangciso esiqikelelwayo. Lo ngumzekelo oqhelekileyo wabathengisi babucala abafuna ukufumana elona xabiso lifanelekileyo lokurhweba ngenjongo yokwenza inzuzo elandelayo.

Uqeqesho kunye neencwadi kurhwebo lwe-algorithmic

Awuyi kufumana olo hlobo lolwazi kwizangqa zesikolo. Le yindawo emxinwa kakhulu kwaye ethile. Kunzima ukukhetha izifundo ezithembekileyo ngokwenene apha, kodwa ukuba siwenza ngokubanzi, ulwazi olulandelayo luyimfuneko ukuzibandakanya kurhwebo lwe-algorithmic:

• imodeli yezibalo kunye nezoqoqosho;
• iilwimi zeprogram — Python, С++, MQL4 (ye Forex);
• ulwazi malunga nezivumelwano zokutshintshiselana kunye neempawu zezixhobo (ukhetho, ikusasa, njl.).

Olu lathiso kuya kufuneka ukuba ululawule ngokwakho. Ukufunda iincwadi ezifundisayo kwesi sihloko, unokuqwalasela iincwadi:

• “I-Quantum Trading” kunye “ne-Algorithmic Trading” – u-Ernest Chen;
• “Urhwebo lwe-algorithmic kunye nokufikelela ngokuthe ngqo kutshintshiselwano” – uBarry Johnsen;
• “Iindlela kunye ne-algorithms yezibalo zemali” – uLyu Yu-Dau;
• “Ngaphakathi kwebhokisi emnyama” – uRishi K. Narang;
• “Urhwebo kunye notshintshiselwano: i-microstructure yemarike yabasebenzi” – uLarry Harris.

Eyona ndlela ivelisa kakhulu ukuqalisa inkqubo yokufunda kukufunda iziseko zokurhweba kunye nohlalutyo lobugcisa, kwaye emva koko uthenge iincwadi kwi-algorithmic trading. Kufuneka kuqatshelwe ukuba uninzi lweempapasho zobuchwephesha zifumaneka ngesiNgesi kuphela.

Ukongeza kwiincwadi ezinomkhethe, kuya kuba luncedo ukufunda naluphi na uncwadi lotshintshiselwano.

Iintsomi ezidumileyo malunga norhwebo lwe-algorithmic

Abaninzi bakholelwa ukuba ukusebenzisa i-robot yorhwebo kunokuba yinzuzo kwaye abarhwebi akufuneki benze nantoni na. Akunjalongo noko. Kuhlala kuyimfuneko ukubeka iliso kwi-robot, ukuyilungisa kwaye uyilawule ukuze kungenzeki iimpazamo kunye nokungaphumeleli. Abanye abantu bacinga ukuba iirobhothi azikwazi ukwenza imali. Aba ngabantu, ekunokwenzeka ukuba, ngaphambili baye badibana neerobhothi ezikumgangatho ophantsi ezithengiswa ngabarhwebi ngentengiselwano yotshintshiselwano lwangaphandle. Kukho iirobhothi ezisemgangathweni kwintengiso yemali enokwenza imali. Kodwa akukho mntu uya kuzithengisa, kuba sele zizisa imali enhle. Ukurhweba kwi-stock exchange kunamathuba amakhulu okufumana. Urhwebo lwe-algorithmic luyimpumelelo yokwenene kwintsimi yokutyalomali. Iirobhothi zithatha phantse yonke imisebenzi yemihla ngemihla ebikade ithatha ixesha elininzi.