Ukuhweba kwe-Algo: ingqikithi yayo, amasu okuhweba kanye nezingozi

Njengamanje, imisebenzi eminingi ekuhwebeni yenziwa kusetshenziswa amarobhothi akhethekile, lapho kushumekwa khona ama-algorithms ahlukahlukene. Leli qhinga libizwa nge-algorithmic trading. Lona umkhuba wamashumi eminyaka amuva nje oshintshe imakethe ngezindlela eziningi.

Kuyini ukuhweba nge-algorithmic?

Uhlobo oluyinhloko lokuhweba kwe-algorithmic ukuhweba kwe-HFT. Iphuzu liwukuqedela umsebenzi ngokushesha. Ngamanye amazwi, lolu hlobo lusebenzisa inzuzo yalo eyinhloko – isivinini. Umqondo wokuhweba nge-algorithmic unezincazelo ezimbili eziyinhloko:

• Ukuhweba kwe-Algo. I-autosystem engahweba ngaphandle komthengisi ku-algorithm enikezwe yona. Uhlelo luyadingeka ukuze uthole inzuzo eqondile ngenxa yokuhlaziywa okuzenzakalelayo kwemakethe nokuvula izikhundla. Le algorithm ibizwa nangokuthi “irobhothi lokuhweba” noma “umeluleki”.
• Ukuhweba nge-algorithmic. Ukwenziwa kwama-oda amakhulu emakethe, lapho ehlukaniswa ngokuzenzakalelayo abe izingxenye futhi avule kancane kancane ngokuhambisana nemithetho ebekiwe. Uhlelo lusetshenziselwa ukwenza lula umsebenzi wezandla wabahwebi lapho benza ukuthengiselana. Isibonelo, uma kunomsebenzi wokuthenga amasheya ayizinkulungwane eziyi-100, futhi udinga ukuvula izikhundla kumasheya angu-1-3 ngesikhathi esifanayo, ngaphandle kokuheha ukunakwa kokuphakelayo kwe-oda.

Ukukubeka kalula, ukuhweba kwe-algorithmic kuwukuzenzakalela kwemisebenzi yansuku zonke eyenziwa abadayisi, okunciphisa isikhathi esidingekayo sokuhlaziya ulwazi lwesitoko, ukubala amamodeli ezibalo, nokuqedela ukuthengiselana. Uhlelo luphinde lususe indima yesici somuntu ekusebenzeni kwemakethe (imizwa, ukuqagela, “i-intuition yomthengisi”), ngezinye izikhathi elahla ngisho nenzuzo yesu elithembisa kakhulu.

Umlando wokuvela kokuhweba kwe-algorithmic

I-1971 ibhekwa njengesiqalo sokuhweba kwe-algorithmic (yavela kanyekanye nohlelo lokuqala lokuhweba oluzenzakalelayo lwe-NASDAQ). Ngo-1998, i-US Securities Commission (SEC) igunyaze ngokusemthethweni ukusetshenziswa kwamapulatifomu okuhweba nge-elekthronikhi. Khona-ke ukuncintisana kwangempela kobuchwepheshe obuphezulu kwaqala. Izikhathi ezilandelayo ezibalulekile ekuthuthukisweni kokuhweba nge-algorithmic, okufanele zishiwo:

• Ekuqaleni kwawo-2000. Ukuthengiselana okuzenzakalelayo kwaqedwa emizuzwaneni embalwa nje. Isabelo semakethe samarobhothi besingaphansi kuka-10%.
• ngonyaka ka-2009. Isivinini sokwenziwa kwe-oda sancishiswa izikhathi ezimbalwa, safinyelela kuma-millisecond ambalwa. Isabelo sabasizi bokuhweba senyuke safinyelela ku-60%.
• 2012 nangale kwalokho. Ukungaqiniseki kwezehlakalo ekuhwebeni kuholele enanini elikhulu lamaphutha kuma-algorithms aqinile wesoftware eminingi. Lokhu kuholele ekwehleni kwevolumu yokuhweba okuzenzakalelayo kuya ku-50% wesamba. Ubuchwepheshe bobuhlakani bokwenziwa buyathuthukiswa futhi buyethulwa.

Namuhla, ukuhweba kwe-high-frequency kusabalulekile. Imisebenzi eminingi evamile (isibonelo, ukukala kwemakethe) yenziwa ngokuzenzakalelayo, okunciphisa kakhulu umthwalo kubahwebi. Kodwa-ke, umshini awukakwazi ukushintsha ngokuphelele ingqondo ephilayo futhi uthuthukise intuition yomuntu. Lokhu kuyiqiniso ikakhulukazi lapho ukuntengantenga kwemakethe yamasheya kukhuphuka kakhulu ngenxa yokushicilelwa kwezindaba ezibalulekile zezomnotho zamazwe ngamazwe. Ngalesi sikhathi, kunconywa kakhulu ukuthi ungathembeli kumarobhothi.

Izinzuzo kanye nokubi kokuhweba nge-algorithmic

Izinzuzo ze-algorithm yizo zonke ezimbi zokuhweba ngezandla. Abantu bathonywa kalula imizwelo, kodwa amarobhothi awathonywa. Irobhothi lizohweba ngokuqinile ngokuya nge-algorithm. Uma isivumelwano singenza inzuzo esikhathini esizayo, irobhothi lizokulethela yona. Futhi, umuntu akakwazi njalo ukugxila ngokugcwele ezenzweni zakhe futhi ngezikhathi ezithile udinga ukuphumula. Amarobhothi awanawo amaphutha anjalo. Kodwa banezabo futhi phakathi kwabo:

• ngenxa yokunamathela ngokuqinile kuma-algorithms, irobhothi alikwazi ukuzivumelanisa nezimo ezishintshayo zemakethe;
• inkimbinkimbi yokuhweba kwe-algorithmic ngokwayo kanye nezidingo eziphezulu zokulungiselela;
• amaphutha we-algorithms eyethulwe i-robot ngokwayo ayikwazi ukuyibona (lokhu, yiqiniso, sekuvele kuyisici somuntu, kodwa umuntu angakwazi ukubona futhi alungise amaphutha akhe, kuyilapho amarobhothi engakakwazi ukwenza lokhu).

Akufanele ucabangele ukuhweba amarobhothi njengendlela kuphela engenzeka yokwenza imali ekuhwebeni, ngoba inzuzo yokuhweba okuzenzakalelayo nokuhweba ngesandla sekucishe kufane phakathi neminyaka engama-30 edlule.

Ingqikithi yokuhweba kwe-algorithmic

Abathengisi be-Algo (elinye igama – abathengisi be-quantum) basebenzisa kuphela ithiyori yamathuba okuthi izintengo ziwela phakathi kwebanga elidingekayo. Isibalo sisekelwe ochungechungeni lwamanani adlule noma amathuluzi ezezimali ambalwa. Imithetho izoshintsha nezinguquko ekuziphatheni kwemakethe.
Abadayisi be-algorithmic bahlale befuna ukungasebenzi kahle kwemakethe, amaphethini wezingcaphuno eziphindaphindayo emlandweni, kanye nekhono lokubala izingcaphuno eziphindelelayo zesikhathi esizayo. Ngakho-ke, ingqikithi yokuhweba kwe-algorithmic ilele emithethweni yokukhetha izikhundla ezivulekile namaqembu amarobhothi. Ukukhetha kungaba:

• imanuwali – ukubulawa kwenziwa umcwaningi ngesisekelo samamodeli ezibalo nezomzimba;
• okuzenzakalelayo – kudingekile ekubalweni kwenqwaba yemithetho nokuhlolwa ngaphakathi kohlelo;
• izakhi zofuzo – lapha imithetho ithuthukiswa uhlelo olunezici zobuhlakani bokwenziwa.

Eminye imibono nama-utopias mayelana nokuhweba kwe-algorithmic iyinganekwane. Ngisho namarobhothi awakwazi “ukubikezela” ikusasa ngesiqinisekiso esingu-100%. Imakethe ayikwazi ukungasebenzi ngendlela yokuthi kunesethi yemithetho esebenza kumarobhothi noma kunini, noma kuphi. Ezinkampanini ezinkulu zokutshala izimali ezisebenzisa ama-algorithms (isibonelo, i-Renessaince Technology, i-Citadel, i-Virtu), kunamakhulu amaqembu (imindeni) yamarobhothi okuhweba amboza izinkulungwane zamathuluzi. Yile ndlela, okuwukuhlukahluka kwama-algorithms, okubalethela inzuzo yansuku zonke.

Izinhlobo zama-algorithms

I-algorithm iyisethi yemiyalelo ecacile eklanyelwe ukwenza umsebenzi othile. Emakethe yezezimali, ama-algorithms omsebenzisi enziwa ngamakhompyutha. Ukuze udale isethi yemithetho, idatha enanini, ivolumu nesikhathi sokwenziwa semisebenzi ezayo izosetshenziswa. Ukuhweba kwe-Algo ezimakethe zesitoko kanye nezinhlobo zemali kuhlukaniswe ngezinhlobo ezine eziyinhloko:

• Ngokwezibalo. Le ndlela isekelwe ekuhlaziyweni kwezibalo kusetshenziswa uchungechunge lwesikhathi somlando ukuhlonza amathuba okuhweba.
• Okuzenzakalelayo. Inhloso yaleli su ukwakha imithetho evumela ababambiqhaza bemakethe ukuthi banciphise ubungozi bokwenziwe.
• Isikhulu. Le ndlela idalwe ukwenza imisebenzi ethile ehlobene nokuvula nokuvala imiyalo yokuhweba.
• Qondile. Lobu buchwepheshe buhloselwe ukuthola isivinini esiphezulu sokufinyelela emakethe kanye nokunciphisa izindleko zokungena kanye nokuxhumeka kwabadayisi be-algorithmic endaweni yokuhweba.

Ukuhweba kwe-algorithmic ye-high-frequency kungaqokwa njengendawo ehlukile yokuhweba ngemishini. Isici esiyinhloko salesi sigaba imvamisa ephezulu yokudalwa kwe-oda: ukuthengiselana kuqedwa ngama-millisecond. Le ndlela inganikeza izinzuzo ezinkulu, kodwa futhi ithwala izingozi ezithile.

Ukuhweba Okuzenzakalelayo: Amarobhothi Nabeluleki Abangochwepheshe

Ngo-1997, umhlaziyi uTushar Chand encwadini yakhe ethi “Beyond Technical Analysis” (ekuqaleni ebizwa ngokuthi “Beyond Technical Analysis”) waqala wachaza uhlelo lokuhweba ngomshini (MTS). Lolu hlelo lubizwa ngokuthi irobhothi lokuhweba noma umeluleki mayelana nokuthengiselana ngemali. Lawa amamojula esofthiwe aqapha imakethe, akhiphe ama-oda okuhweba futhi alawule ukwenziwa kwale miyalo. Kunezinhlobo ezimbili zezinhlelo zokuhweba ngamarobhothi:

• okuzenzakalelayo “kusuka” futhi “kuya” – bayakwazi ukwenza izinqumo ezizimele ngokuhweba;
• ezinikeza amasiginali omthengisi ukuvula isivumelwano ngesandla, bona ngokwabo abathumeli ama-oda.

Endabeni yokuhweba kwe-algorithmic, uhlobo lwe-1 kuphela lwe-robot noma umeluleki lucatshangelwa, futhi “umsebenzi omkhulu” walo ukuqaliswa kwalawo masu angenakwenzeka lapho uhweba ngesandla.

I-Renaissance Institutiona Equlties Fund isikhwama esizimele esikhulu kunazo zonke esisebenzisa ukuhweba nge-algorithmic. Yavulwa e-USA yiRenaissance Technologies LLC, eyasungulwa ngo-1982 nguJames Harris Simons. I-Financial Times ngokuhamba kwesikhathi yabiza uSimons ngokuthi “usozigidi ohlakaniphe kunabo bonke”.

Akhiwe kanjani amarobhothi okuhweba?

Amarobhothi asetshenziselwa ukuhweba nge-algorithmic emakethe yamasheya ayizinhlelo zekhompyutha ezikhethekile. Ukuthuthukiswa kwabo kuqala, okokuqala, ngokubonakala kwecebo elicacile layo yonke imisebenzi amarobhothi azoyenza, kuhlanganise namasu. Umsebenzi obhekene nomdayisi wezinhlelo ukudala i-algorithm ecabangela ulwazi lwakhe kanye nezinto azithandayo. Yiqiniso, kuyadingeka ukuqonda ngokucacile kusengaphambili wonke ama-nuances wesistimu eyenza ukuthengiselana ngokuzenzakalelayo. Ngakho-ke, abathengisi be-novice abanconywa ukuthi benze i-algorithm ye-TC bebodwa. Ukuze kusetshenziswe ubuchwepheshe bokuhweba amarobhothi, udinga ukwazi okungenani ulimi olulodwa lokuhlela. Sebenzisa i-mql4, Python, C#, C++, Java, R, MathLab ukuze ubhale izinhlelo.
Ikhono lokuhlela linikeza abathengisi izinzuzo eziningi:

• ikhono lokudala imininingwane yolwazi;
• ukwethula nokuhlola izinhlelo;
• hlaziya amasu e-high-frequency;
• lungisa amaphutha ngokushesha.

Kunemitapo yolwazi yemithombo evulekile eminingi ewusizo kakhulu namaphrojekthi olimi ngalunye. Omunye wamaphrojekthi amakhulu wokuhweba we-algorithmic yi-QuantLib, eyakhelwe ku-C++. Uma udinga ukuxhuma ngqo ku-Currenex, LMAX, Integral, noma abanye abahlinzeki be-liquidity ukuze usebenzise ama-algorithms wemvamisa ephezulu, kufanele ube nekhono ekubhaleni ama-API oxhumano ku-Java. Uma kungabikho amakhono okuhlela, kungenzeka ukusebenzisa izinhlelo ezikhethekile zokuhweba ze-algorithmic ukudala izinhlelo ezilula zokuhweba zemishini. Izibonelo zamapulatifomu anjalo:

• I-TSLab;
• i-whelthlab;
• I-Metatrader;
• I-S#.Studio;
• ama-multicharts;
• ukuhwebelana.

Ukuhweba nge-algorithmic emakethe yamasheya

Izimakethe zesitoko nezesikhathi esizayo zinikeza amathuba amaningi ezinhlelo ezizenzakalelayo, kodwa ukuhweba nge-algorithmic kuvame kakhulu phakathi kwezimali ezinkulu kunaphakathi kwabatshalizimali abazimele. Kunezinhlobo ezimbalwa zokuhweba kwe-algorithmic emakethe yamasheya:

• Uhlelo olususelwe ekuhlaziyweni kobuchwepheshe. Idalwe ukuze kusetshenziswe ukungasebenzi kahle kwemakethe kanye nezinkomba ezimbalwa zokuhlonza izitayela, ukunyakaza kwemakethe. Ngokuvamile leli su lihloselwe ukuzuza ezindleleni zokuhlaziywa kobuchwepheshe be-classical.
• Ukuhweba ngamabhangqa nobhasikidi. Uhlelo lusebenzisa isilinganiso sezinsimbi ezimbili noma ngaphezulu (enye yazo “iwumhlahlandlela”, okungukuthi izinguquko zokuqala ezenzeka kuyo, bese kuthi eyesi-2 kanye nezinsimbi ezilandelayo zidonswe phezulu) ngephesenti eliphezulu kakhulu, kodwa elingalingani no-1. Uma ithuluzi lichezuka emzileni othile, cishe uzobuyela eqenjini lakhe. Ngokulandela lokhu kuchezuka, i-algorithm ingahweba futhi yenzele umnikazi inzuzo.
• Ukumaketha. Leli elinye isu elimsebenzi walo uwukugcina imali emakethe. Ukuze nganoma isiphi isikhathi umthengisi wangasese noma i-hedge fund akwazi ukuthenga noma ukuthengisa ithuluzi lokuhweba. Abenzi bezimakethe bangasebenzisa ngisho inzuzo yabo ukuhlangabezana nesidingo samathuluzi ahlukahlukene futhi benze inzuzo ngokuhwebelana. Kodwa lokhu akuvimbeli ukusetshenziswa kwamasu akhethekile asekelwe kuthrafikhi esheshayo nedatha yemakethe.
• ukugijima phambili. Njengengxenye yohlelo olunjalo, amathuluzi asetshenziselwa ukuhlaziya umthamo wokwenziwayo nokuhlonza ama-oda amakhulu. I-algorithm icabangela ukuthi ama-oda amakhulu azobamba intengo futhi abangele ukuhweba okuphambene ukuthi kuvele ngakolunye uhlangothi. Ngenxa yesivinini sokuhlaziya idatha yemakethe ngokuhleleka kwezincwadi nokuphakelayo, bazohlangabezana nokuntengantenga, bazame ukwenza kangcono kunabanye ababambiqhaza, futhi bamukele ukuguquguquka okuncane lapho beqhuba ama-oda amakhulu kakhulu.
• Ukulamula. Lokhu umsebenzi usebenzisa amathuluzi ezezimali, ukuhlobana phakathi kwawo kusondele kokukodwa. Njengomthetho, izinsimbi ezinjalo zinokuphambuka okuncane kakhulu. Uhlelo luqapha izinguquko zentengo kumathuluzi ahlobene futhi lwenza imisebenzi ye-arbitrage ukulinganisa izintengo. Isibonelo: Izinhlobo ezi-2 ezihlukene zamasheya enkampani efanayo zithathwa, ezishintsha ngokuhambisanayo nokuxhumana okungu-100%. Noma thatha amasheya afanayo, kodwa ezimakethe ezahlukene. Ekushintshisaneni okukodwa, izovuka / liwe ngaphambidlana kokunye. Ngemuva kokuthi “ubambe” lesi sikhathi ngomhlaka-1, ungavula amadili ngomhlaka-2.
• Ukuhweba okuguquguqukayo. Lolu uhlobo oluyinkimbinkimbi kakhulu lokuhweba, olusekelwe ekuthengeni izinhlobo ezihlukahlukene zezinketho nokulindela ukwanda kokushintshashintsha kwethuluzi elithile. Lokhu kuhweba kwe-algorithmic kudinga amandla amaningi ekhompiyutha kanye nethimba lochwepheshe. Lapha, izingqondo ezingcono kakhulu zihlaziya amathuluzi ahlukahlukene, zenze izibikezelo mayelana nokuthi iyiphi yazo engakhuphula ukuguquguquka. Bafaka izindlela zabo zokuhlaziya kumarobhothi, futhi bathenga izinketho kulezi zinsimbi ngesikhathi esifanele.

Izingozi zokuhweba nge-algorithmic

Ithonya lokuhweba kwe-algorithmic liye landa kakhulu ezikhathini zamuva. Ngokwemvelo, izindlela ezintsha zokuhweba zithwala izingozi ezithile ebezingalindelekile ngaphambili. Ukuthengiselana kwe-HFT ikakhulukazi kuza nezingozi okudingeka zicatshangelwe.
Okuyingozi kakhulu uma usebenza ngama-algorithms:

• Ukukhwabanisa kwentengo. Ama-algorithms angalungiselelwa ukuthi athinte ngokuqondile amathuluzi angawodwana. Imiphumela lapha ingaba yingozi kakhulu. Ngo-2013, ngosuku loku-1 lokuhweba emakethe ye-BATS yomhlaba wonke, kwaba khona ukwehla kwangempela kwenani lezibambiso zenkampani. Ngemizuzwana eyi-10 nje, intengo yehle isuka ku-$15 yaya kumasenti ambalwa nje. Isizathu kwakuwumsebenzi werobhothi, elahlelwa ngamabomu ukunciphisa amanani amasheya. Le nqubomgomo ingadukisa abanye ababambiqhaza futhi ihlanekezele kakhulu isimo ekuhwebeni.
• Ukuphuma kwemali yokusebenza. Uma kunesimo esicindezelayo emakethe, abahlanganyeli abasebenzisa amarobhothi bamisa ukuhweba. Njengoba iningi lama-oda livela kubaluleki abazenzakalelayo, kukhona ukuphuma komhlaba wonke, okwehlisa ngokushesha zonke izingcaphuno. Imiphumela yokushintshana okunjalo “i-swing” ingaba yingozi kakhulu. Ngaphezu kwalokho, ukuphuma kwemali kubangela ukwethuka okusabalele okuzobhebhethekisa isimo esinzima.
• I-Volatility ikhuphuke kakhulu. Kwesinye isikhathi kuba nokuguquguquka okungadingekile enanini lempahla kuzo zonke izimakethe zomhlaba. Kungaba ukwenyuka okubukhali kwamanani noma ukuwa okuyinhlekelele. Lesi simo sibizwa ngokuthi ukwehluleka okungazelelwe. Ngokuvamile imbangela yokuguquguquka ukuziphatha kwamarobhothi aphezulu-frequency, ngoba isabelo sabo senani eliphelele labahlanganyeli bemakethe likhulu kakhulu.
• Ukwenyuka kwezindleko. Inani elikhulu lochwepheshe bemishini badinga ukuthuthukisa njalo amakhono abo obuchwepheshe. Ngenxa yalokho, inqubomgomo ye-tariff iyashintsha, okuyinto, eqinisweni, engabazuzisi abadayisi.
• ubungozi bokusebenza. Inani elikhulu lama-oda angenayo ngesikhathi esisodwa lingalayisha ngokweqile amaseva anomthamo omkhulu. Ngakho-ke, ngezinye izikhathi phakathi nesikhathi esiphezulu sokuhweba okusebenzayo, uhlelo luyayeka ukusebenza, konke ukugeleza kwezimali kuyamiswa, futhi abahlanganyeli bathola ukulahlekelwa okukhulu.
• Izinga lokubikezelwa kwemakethe liyehla. Amarobhothi anomthelela omkhulu ezintengweni zokwenziwayo. Ngenxa yalokhu, ukunemba kwesibikezelo kuyancishiswa futhi izisekelo zokuhlaziya okuyisisekelo zibukelwa phansi. Futhi abasizi bezimoto bancisha abadayisi bendabuko amanani amahle.

Amarobhothi kancane kancane ahlambalaza abahlanganyeli bemakethe evamile futhi lokhu kuholela ekwenqatshweni okuphelele kokusebenza kwezandla esikhathini esizayo. Isimo sizoqinisa isikhundla sesistimu ye-algorithms, okuzoholela ekwandeni kwezingozi ezihlobene nabo.

I-algorithmic Forex Ukuhweba

Ukukhula kohwebo lokushintshaniswa kwamanye amazwe kwe-algorithmic kubangelwa kakhulu ukuzenzela kwezinqubo kanye nokuncipha kwesikhathi sokwenza imisebenzi yokushintshisana ngemali yangaphandle kusetshenziswa ama-software algorithms. Lokhu futhi kunciphisa izindleko zokusebenza. I-Forex ikakhulukazi isebenzisa amarobhothi asekelwe ezindleleni zokuhlaziya ezobuchwepheshe. Futhi njengoba i-terminal evame kakhulu i-platform ye-MetaTrader, ulimi lohlelo lwe-MQL olunikezwa abathuthukisi bepulatifomu selube indlela evamile yokubhala amarobhothi.

Quantitative Trading

Ukuhweba okulinganiselwe kuyisiqondiso sokuhweba, inhloso yakho okuwukwenza imodeli echaza ukuguquguquka kwempahla yezezimali ehlukahlukene futhi ikuvumela ukuthi wenze izibikezelo ezinembile. Abathengisi benani, ababizwa nangokuthi abathengisi be-quantum, bavame ukufundiswa kakhulu emkhakheni wabo: osomnotho, ochwepheshe bezibalo, abahleli bezinhlelo. Ukuze ube umthengisi we-quantum, kufanele okungenani wazi izisekelo zezibalo zezibalo kanye ne-econometrics.

Ukuhweba kwe-algorithmic okuvama kakhulu/HFT ukuhweba

Lolu uhlobo oluvame kakhulu lokuhweba okuzenzakalelayo. Isici sale ndlela ukuthi ukuthengiselana kungenziwa ngesivinini esikhulu kumathuluzi ahlukahlukene, lapho umjikelezo wokudala/ukuvalwa kwezikhundla uqedwa phakathi nomzuzwana owodwa.

Ukuthengiselana kwe-HFT kusebenzisa inzuzo enkulu yamakhompuyutha ngaphezu kwabantu – isivinini esikhulu se-mega.

Kukholakala ukuthi umbhali walo mbono nguStephen Sonson, okwathi, kanye no-D. Whitcomb kanye no-D. Hawks, bakha idivayisi yokuqala yokuhweba okuzenzakalelayo emhlabeni ngo-1989 (i-Automatic Trading Desk). Nakuba ukuthuthukiswa okusemthethweni kobuchwepheshe kwaqala kuphela ku-1998, lapho ukusetshenziswa kwamapulatifomu e-electronic ekuhwebeni kwaseMelika kuvunyiwe.

Izimiso eziyisisekelo zokuhweba kwe-HFT

Lokhu kuhweba kusekelwe kulawa ma-whale alandelayo:

• ukusetshenziswa kwezinhlelo zobuchwepheshe obuphezulu kugcina isikhathi sokwenziwa kwezikhundla ezingeni lama-millisecond angu-1-3;
• inzuzo ngoshintsho oluncane lwamanani nezilinganiso;
• ukwenziwa kokuthengiselana ngesivinini esikhulu kanye nenzuzo ezingeni langempela eliphansi kakhulu, ngezinye izikhathi elingaphansi kwesenti (amandla e-HFT makhulu ngokuphindwe kaningi kunamasu endabuko);
• ukusetshenziswa kwazo zonke izinhlobo ze-arbitrage transactions;
• ukuthengiselana kwenziwa ngokuqinile phakathi nosuku lokuhweba, umthamo wokuthengiselana weseshini ngayinye ungafinyelela amashumi ezinkulungwane.

High Frequency Trading Strategies

Lapha ungasebenzisa noma yiliphi isu lokuhweba le-algorithmic, kodwa ngesikhathi esifanayo uhweba ngesivinini esingafinyeleleki kubantu. Nazi ezinye izibonelo zamasu e-HFT:

• Ukuhlonzwa kwamachibi anemali ephezulu. Lobu buchwepheshe buhloselwe ukuthola ama-oda ayinqwaba afihliwe (“amnyama”) ngokuvula imisebenzi yokuhlola emincane. Umgomo uwukulwa nokunyakaza okuqinile okukhiqizwa amachibi omthamo.
• Ukudalwa kwemakethe ye-elekthronikhi. Enqubweni yokukhulisa imali emakethe, inzuzo itholwa ngokuhweba ngaphakathi kokusabalala. Ngokuvamile, lapho uhweba ku-stock exchange, ukusabalala kuzokhula. Uma umenzi wemakethe engenawo amakhasimende akwazi ukugcina ibhalansi, lapho abahwebi bemvamisa ephezulu kufanele basebenzise izimali zabo ukumboza ukunikezwa nokufunwa kwethuluzi. Ukuhwebelana nama-ECN kuzonikeza izaphulelo ezindlekweni zokusebenza njengomvuzo.
• Ukugijima phambili. Igama lihunyushwa ngokuthi “gijimela phambili.” Leli su lisekelwe ekuhlaziyweni kwama-oda amanje okuthenga nokudayiswa, ukuthengwa kwempahla nenzuzo evulekile emaphakathi. Ingqikithi yale ndlela ukuthola ama-oda amakhulu futhi ubeke awakho amancane ngentengo ephakeme kancane. Ngemva kokukhishwa kwe-oda, i-algorithm isebenzisa amathuba aphezulu okuguquguquka kwentengo eduze kwelinye i-oda elikhulu ukuze kusethwe elinye i-oda eliphezulu.
• Ukulamula Okubambezelekile. Leli su lisebenzisa ithuba lokufinyelela okusebenzayo kudatha yokushintshisana ngenxa yezindawo eziseduze namaseva noma ukutholwa koxhumano oluqondile olubizayo kumasayithi amakhulu. Ivame ukusetshenziswa ngabahwebi abathembele kubalawuli bemali.
• I-arbitrage yezibalo. Le ndlela yokuhweba okuvama kakhulu isekelwe ekuhlonzeni ukuhlotshaniswa kwamathuluzi ahlukahlukene phakathi kwezingxenyekazi noma izinhlobo ezihambisanayo zezimpahla (ikusasa lokubhangqa lwemali kanye namanye akhona, okuphuma kokunye nezitoko). Ukuthengiselana okunjalo kuvame ukwenziwa amabhange azimele, izimali zokutshalwa kwezimali kanye nabanye abathengisi abanamalayisense.

Imisebenzi ye-high-frequency yenziwa ngamavolumu amancane, anxeshezelwa ngenani elikhulu lokuthengiselana. Kulokhu, inzuzo nokulahlekelwa kulungiswa ngokushesha.

Uhlolojikelele lwezinhlelo zabadayisi be-algorithmic

Kunengxenye encane yesofthiwe esetshenziselwa ukuhweba kwe-algorithmic nohlelo lwamarobhothi:

• I-TSlab. Isoftware ye-C# eyenziwe ngesiRashiya. Iyahambisana nabaningi be-forex kanye nabathengisi besitoko. Ngenxa yomdwebo webhulokhi okhethekile, unokuxhumana okulula futhi okulula ukukufunda. Ungasebenzisa uhlelo mahhala ukuze uhlole futhi ulungiselele isistimu, kodwa ngokwenza imisebenzi yangempela uzodinga ukuthenga ukubhalisa.
• I-WealthLab. Uhlelo olusetshenziswa ukwenza ama-algorithms ku-C#. Ngayo, ungasebenzisa umtapo wezincwadi we-Wealth Script ukuze ubhale isofthiwe yokuhweba ye-algorithmic, eyenza ibe lula kakhulu inqubo yokufaka amakhodi. Ungakwazi futhi ukuxhuma izingcaphuno ezivela emithonjeni ehlukahlukene ohlelweni. Ngokungeziwe ekubuyiseleni emuva, ukuthengiselana kwangempela kungenzeka futhi emakethe yezezimali.
• r studio. Uhlelo oluthuthuke kakhulu lwamanani (alufanele abaqalayo). Isofthiwe ihlanganisa izilimi ezimbalwa, enye yazo esebenzisa ulimi olukhethekile lwe-R ukuze kucutshungulwe idatha nochungechunge lwesikhathi. Ama-algorithms nezindawo zokusebenzelana kwakhiwa lapha, izivivinyo kanye nokwenza kahle kuyenziwa, izibalo nenye idatha ingatholwa. I-R Studio imahhala, kodwa ibucayi kakhulu. Uhlelo lusebenzisa imitapo yolwazi eyakhelwe ngaphakathi eyahlukene, abahloli, amamodeli, njll.

Amasu okuhweba nge-algorithmic

Ukuhweba kwe-Algo kunala masu alandelayo:

• I-TWAP. Le algorithm ivula njalo ama-oda ngebhidi engcono kakhulu noma intengo yomnikelo.
• isu lokubulawa.  I-algorithm idinga ukuthengwa okukhulu kwezimpahla ngamanani alinganisiwe anesisindo, ngokuvamile asetshenziswa ababambiqhaza abakhulu (i-hedge funds kanye nabathengi).
• VWAP. I-algorithm isetshenziselwa ukuvula izikhundla engxenyeni elinganayo yevolumu enikeziwe phakathi nenkathi ethile yesikhathi, futhi intengo akufanele ibe ngaphezu kwesilinganiso senani elilinganiselwe ekuqalisweni.
• ukumbiwa kwedatha. Iwusesho lwamaphethini amasha ama-algorithms amasha. Ngaphambi kokuqala kokuhlolwa, ngaphezu kuka-75% wezinsuku zokukhiqiza bekuqoqwa idatha. Imiphumela yosesho incike kuphela ezindleleni zobungcweti nezinemininingwane. Ukusesha ngokwako kucushwa ngesandla kusetshenziswa ama-algorithms ahlukahlukene.
• Iqhwa. Isetshenziselwa ukubeka ama-oda, inani eliphelele elingadluli inombolo eshiwo kumapharamitha. Ekushintshanisweni okuningi, le algorithm yakhelwe emnyombweni wesistimu, futhi ikuvumela ukuthi ucacise ivolumu kumapharamitha we-oda.
• isu lokuqagela. Lena imodeli ejwayelekile yabadayisi abazimele abafuna ukuthola intengo engcono kakhulu yokuhweba ngenhloso yokwenza inzuzo elandelayo.

Ukuqeqeshwa nezincwadi zokuhweba nge-algorithmic

Ngeke uthole lolo hlobo lolwazi emibuthanweni yesikole. Lena indawo encane kakhulu futhi ethize. Kunzima ukukhetha izifundo ezithembekile ngempela lapha, kodwa uma sihlanganisa, ulwazi olulandelayo oluyisihluthulelo luyadingeka ukuze uhlanganyele ekuhwebeni kwe-algorithmic:

• izibonelo zezibalo kanye nezomnotho;
• izilimi zokuhlela — Python, С++, MQL4 (ye-Forex);
• ulwazi mayelana nezinkontileka zokuhwebelana kanye nezici zamathuluzi (izinketho, ikusasa, njll.).

Lesi sikhombisi-ndlela kuzofanele siphathwe kahle kakhulu uwedwa. Ukufunda izincwadi zokufundisa ngalesi sihloko, ungacabangela izincwadi:

• “I-Quantum Trading” kanye “ne-Algorithmic Trading” – u-Ernest Chen;
• “Ukuhweba nge-algorithmic kanye nokufinyelela okuqondile ekuhwebeni” – uBarry Johnsen;
• “Izindlela kanye ne-algorithms yezibalo zezezimali” – uLyu Yu-Dau;
• “Ngaphakathi kwebhokisi elimnyama” – uRishi K. Narang;
• “Ukuhweba nokuhwebelana: i-microstructure yemakethe yabasebenzi” – Larry Harris.

Indlela ekhiqiza kakhulu yokuqala inqubo yokufunda iwukufunda izisekelo zokuhweba ngamasheya kanye nokuhlaziywa kobuchwepheshe, bese uthenga izincwadi zokuhweba nge-algorithmic. Kufanele futhi kuqashelwe ukuthi izincwadi eziningi zochwepheshe zingatholakala kuphela ngesiNgisi.

Ngaphezu kwezincwadi ezinokuchema, kuzoba usizo futhi ukufunda noma yiziphi izincwadi zokushintshisana.

Izinganekwane ezidumile mayelana nokuhweba kwe-algorithmic

Abaningi bakholelwa ukuthi ukusebenzisa amarobhothi ukuhweba kungaba inzuzo kuphela futhi abadayisi akudingeki benze lutho nhlobo. Vele akunjalo. Kuhlale kudingekile ukuqapha irobhothi, ukulikhulisa nokulawula ukuze kungenzeki amaphutha nokwehluleka. Abanye abantu bacabanga ukuthi amarobhothi awakwazi ukwenza imali. Laba ngabantu okungenzeka ukuthi, bake bahlangabezana namarobhothi ekhwalithi ephansi athengiswa abakhwabanisi ukuze bahwebe ngemali yangaphandle. Kukhona amarobhothi ekhwalithi ekuhwebeni kwemali angenza imali. Kodwa akekho ozowathengisa, ngoba kakade aletha imali enhle. Ukuhweba esitokisini kunethuba elikhulu lokuzuza. Ukuhweba nge-algorithmic kuyimpumelelo yangempela emkhakheni wokutshala imali. Amarobhothi athatha cishe yonke imisebenzi yansuku zonke eyayithatha isikhathi esiningi.