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Algorithmic Trading and FIX Protocol

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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.

Published in: Economy & Finance
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Algorithmic Trading and FIX Protocol

  1. 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. 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. 3. Algorithmic Trading
  4. 4. Algorithmic trading Automatic trading HFT – high frequency trading Algorithmic Trading
  5. 5. How does Execution Works? Order driven market model – Market Order – Limit Order
  6. 6. Automatic trading Buy-side Sell-side Statistical arbitrage VWAPMarket Making / HFT Trend following Arbitrage Smart order routing Well Known Strategies.
  7. 7. Automatic trading Market Making and Scalping
  8. 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. 9. Volume Weighted Average Price
  10. 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. 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. 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. 13. How to Compare Strategies?
  14. 14. Sharp Ratio
  15. 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. 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. 17. Technical Broker Infrastructure
  18. 18. EXANTE Platform inin ATP out Customized backoffice reporting API (FIX) Platform
  19. 19. 300 + Servers
  20. 20. ->What is located on servers?
  21. 21. -> Where are other exchanges?
  22. 22. -> Where FIX server is located? -> What is algorithm?
  23. 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. 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. 25. Trading Terminal • Market Analysis • Manual trading • FIX orders control • Account control -> What about other servers?
  26. 26. Trading Data and Client Accounts Processing + DEMO environment + Development servers
  27. 27. FIX Protocol. Main Concepts
  28. 28. Origins
  29. 29. Versions • 4.2 • 4.4 • 5.0 • FIXML • FIX FAST
  30. 30. The two parts of FIX
  31. 31. Communication partners • Initiator • Acceptor
  32. 32. Why FIX?
  33. 33. Structure: Tags TAG=VALUE[SOH] 35=A [SOH]35=A[SOH]34=1[SOH] |35=A|34=1|
  34. 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. 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. 36. Structure: Component blocks 146=3 55=SHAREA 207=EXCHANGE 55=SHAREB 207=EXCHANGE 55=SHAREC 207=EXCHANGE
  37. 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. 38. Fix engines • FIX Antenna C++: • QuickFIX • QuickFIX/J • VersaFix • UL FIX
  39. 39. Certification
  40. 40. Dictionary files
  41. 41. FIX Specification
  42. 42. Logging and debugging
  43. 43. FIX Protocol. C# Example
  44. 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. 45. https://bitbucket.org/SergeyTroshin/exante-fix-sample
  46. 46. Project Dependencies Classes to Implement QuickFIX minimum
  47. 47. QuickFIX. Configuration Files
  48. 48. Feeder Application
  49. 49. Feeder Application Class. From Server.
  50. 50. Feeder Application. Receive Market Data.
  51. 51. Feeder Application Class. Subscribe for Market Data.
  52. 52. Broker Application
  53. 53. Broker Application. From Server.
  54. 54. Broker Application. Symbol List Request.
  55. 55. FIX Specification. Symbol List Response.
  56. 56. Broker Application. Symbol List Response.
  57. 57. Using EXANTE FIX Wrapper
  58. 58. 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
  59. 59. NEXT GENERATION PRIME BROKER Questions? Portomaso Business Tower, Level 7, ST. Julians, Malta info@exante.eu | st@exante.eu | www.exante.eu

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