Презентация Сергея Трошина и Антона Антонова из EXANTE об алгоритмической торговле, инфраструктуре брокера и автоматизации торговли через FIX-протокол. The slides cover the topics of algorithmic trading, broker IT infrastructure and trading via FIX protocol. Prepared by Sergey Troshin and Anton Antonov, EXANTE Ltd.

1. Algorithmic Trading
and
FIX Protocol
Sergey Troshin, Ph.D.
Director
st@exante.eu
Moscow, March 2016
Anton Antonov
Head of OPS
aan@exante.eu
www.exante.eu

2. Содержание
• Алгоритмическая торговля. Классы алгоритмов (10 мин)
• Инфраструктура современного брокера (10 мин)
• FIX протокол. Основные концепции (40 мин)
– Тэги и сообщения
– Dictionary файл
– Разница между версиями
– Как читать FIX спецификацию брокера
• FIX протокол. Пример реализации на С# (20 мин)
• Вопросы и ответы (10 мин)

3. Algorithmic Trading

4. Algorithmic trading
Automatic trading
HFT – high frequency
trading
Algorithmic Trading

5. How does Execution Works?
Order driven market model
– Market Order
– Limit Order

6. Automatic trading
Buy-side Sell-side
Statistical arbitrage
VWAPMarket Making / HFT
Trend
following
Arbitrage
Smart order
routing
Well Known Strategies.

7. Automatic trading
Market Making and Scalping

8. Trend Following
Technical Analysis
• SMA / EMA
• Moving Average
Convergence/Divergence
• Bollinger bands
• Stochastic oscillator
• Parabolic SAR
• Rate of Change (ROC)
• Relative Strength Index (RSI)
• etc
• …

9. Volume Weighted Average Price

10. Volatility and Option Trading
Implied volatility prediction
1. Delta neutral portfolio
– Buy option / sell stock on volatility going up
– Sell Option / buy stock on volatility going down
2. Various options strategies
– Straddle
– Strangle
– Butterfly
– Etc.

11. Arbitrage Strategy Example
GAZPRU
(MICEX)
On new tick:
ogzd_rub = convert(ogzd, usd_rub)
spread = normalize(ogzd_rub/gazpru)
changedSpread()
OGZD
(LSE)
USD/RUB
(FOREX)
LIMIT (LSE)
London Server
Filled (size)
MARKET (MICEX)
Filled (price)
On change spread:
if (spread > threshold) place_limit(OGZD, price, size)
On limit fill:
If (limit_is_filled) place_market(GAZPRU, size)
Parameters: threshold
Another example: S&P stocks on NYSE and NASDAQ in NY against Futures on CME in Chicago

12. Pairs Trading and Statistical Arbitrage
Market neutral portfolio
– Short one set of stocks
– Long another set
– Rebalance very often
• Pair Trading
– Coca-Cola (KO) and Pepsi (PEP)
– Renault (RNO) and PSA Peugeot Citroen (UG)
• Statistical Arbitrage
– Up to 1000+ stocks in portfolio
– Huge quantitive calculations

13. How to Compare Strategies?

14. Sharp Ratio

15. Which is better?
Strategy Sharp Ratio Calculations HFT / Delay
Sensitive?
Trend Following
Mean revision
Bad Easy No
Volatility Trading Bad Hard No
Arbitrage / Pair
trading
Good Easy Yes
Statistical
Arbitrage
Good Hard Yes
Market Making Good Easy Yes

16. Technology
Market data
Delays
Market Depth
Best Bid Offer
Trades
Execution
Delays
Client side /
Server side
Pre-trade
risks, Software
Connection
Protocol
Virtual
Machines
Co-location
Control
Trades Export
Interface
Error handling

17. Technical Broker Infrastructure

18. EXANTE
Platform
inin
ATP
out
Customized
backoffice
reporting
API
(FIX)
Platform

19. 300 +
Servers

20. ->What is located on servers?

21. -> Where are other exchanges?

22. -> Where FIX server is located?
-> What is algorithm?

23. FIX Server Location
One exchange
– Low latency algorithm
• Exchange data center
– No special requirements
• Back up data center or any random data center
Several exchanges
– Arbitrage with low latency algorithm
• Exchange data center (exchange depends on algorithm)
• Dedicate link to other exchanges
– No special requirements
• Any data center (non exchange preferably)
• Common Internet link

24. Creating an Algorithm
• Any programming language
• 3rd party software
• Run algorithm on your server or in
broker’s VM
• Control through the trading terminal

25. Trading Terminal
• Market Analysis
• Manual trading
• FIX orders control
• Account control
-> What about other servers?

26. Trading Data and Client Accounts Processing
+ DEMO environment
+ Development servers

27. FIX Protocol. Main Concepts

28. Origins

29. Versions
• 4.2
• 4.4
• 5.0
• FIXML
• FIX FAST

30. The two parts of FIX

31. Communication partners
• Initiator
• Acceptor

32. Why FIX?

33. Structure: Tags
TAG=VALUE[SOH]
35=A
[SOH]35=A[SOH]34=1[SOH]
|35=A|34=1|

34. Structure: Message
8=FIX.4.4|9=125|35=A|34=1|49=EXAMPLE_TRADE_UAT|52=20160318-
14:28:55.885|56=EXANTE_TRADE_UAT|98=0|108=30|141=Y|553=User|554=PA55W0RD|
10=217|

35. Structure: Message 2
8=FIX.4.4|9=192|35=D|34=241|49=EXAMPLE_TRADE_UAT|
52=20160318-16:53:18.655|56=EXANTE_TRADE_UAT|1=TST1111.001|
11=20160315152146019575|22=111|38=37|40=1|48=AAPL.NASDAQ|
54=2|55=blank|59=3|60=20160318-16:53:18.653|10=225|

36. Structure: Component blocks
146=3
55=SHAREA
207=EXCHANGE
55=SHAREB
207=EXCHANGE
55=SHAREC
207=EXCHANGE

37. Message types
Admin:
35=0 Heartbeat
35=5 Logout
35=A Logon
Application:
35=D New Order -
Single
35=8 Execution
Report
35=3 Reject

38. Fix engines
• FIX Antenna C++:
• QuickFIX
• QuickFIX/J
• VersaFix
• UL FIX

39. Certification

40. Dictionary files

41. FIX Specification

42. Logging and debugging

43. FIX Protocol. C# Example

44. • EXANTE’s Demo program overview
• QuickFix lib and Project dependencies
• Configuration files
• Application class
• Methods to override
• Some implement samples:
– Market data subscribe and receive
– Getting symbols list

45. https://bitbucket.org/SergeyTroshin/exante-fix-sample

46. Project Dependencies
Classes to Implement
QuickFIX minimum

47. QuickFIX. Configuration Files

48. Feeder Application

49. Feeder Application Class. From Server.

50. Feeder Application. Receive Market Data.

52. Feeder Application Class. Subscribe for Market Data.

53. Broker Application

54. Broker Application. From Server.

55. Broker Application. Symbol List Request.

56. FIX Specification. Symbol List Response.

57. Broker Application. Symbol List Response.

58. Using EXANTE FIX Wrapper

59. Links
• www.exante.eu
• support@exante.eu
• http://elato.se/minifix/
• http://www.quickfixengine.org/
• http://btobits.com/fixopaedia/fixdic44/index.html
• https://bitbucket.org/SergeyTroshin/exante-fix-sample

60. NEXT GENERATION
PRIME BROKER
Questions?
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info@exante.eu | st@exante.eu | www.exante.eu