High frequency algorithmic trading strategies

The BBO strategy

BBO - the best bid strategy is one of the most common strategies in high-frequency algorithmic trading. Foreign institutions such as Goldman Sachs and Merrill Lynch have adopted this strategy for high-frequency algorithmic trading. We have designed a fully automated high-frequency algorithmic trading process based on the successful experience of foreign countries to optimize for the Chinese market.

  当盘口因流动性缺失而出现缺口并且两侧有大单时，我们分别在上图红色位置挂小单，利用盘中买卖的人不断获利，如果价格发生突破因为背后有大单依托我们可以立即转身止损，最多只亏损一跳。我们借助自动化交易对实盘状况进行了很多优化，这里涉及商业机密，不便说的太细

High-frequency statistical arbitrage strategy ((This strategy is currently suspended due to the number of withdrawals restricted by the Chinese currency.))

The high-frequency statistical arbitrage strategy is also one of the most widely used high-frequency algorithmic trading strategies in Europe and the United States, which uses statistical tools to calculate the price difference of high-relevant varieties and then draw a leverage channel for high-polluting and low-polluting of the difference. This requires the use of algorithmic trading strategies such as iceberg, one-legged BBO to reduce the shock cost, which involves trade secrets, without giving too much explanation.

The following graph shows the capital curve for both strategies when small funds are in play.

Translated by:http://dwz.cn/1lbujw