Financial Information eXchange(FIX) High Frequency Trading · Part one: Fix Protocol 8=FIX.4.4 9=86 35=S 34=449=EXECUTOR 52=20180112-04:45:45.94156=CLIENT1 117=MFM 132=46.08 133=46.63

Financial Information eXchange (FIX)

High Frequency Trading

Mentor : Chris ProutyTeam member :

Li ZhangZohreh EbadiYin XuQinzheng XuXiangyun ZhangZiqi Dong

CONTENTS

Financial Information eXchange (FIX)1

Strategies and Implementation

Summary

2

3

01

FIX Protocol

Part one: Fix Protocol

FIX EngineBusiness Msg

Processing

Business Msg Processing

FIX System

Order Management System

Trader Trader Trader

Trader in Foreign Office

FIX EngineBusiness Msg

Processing

Business Msg Processing

FIX System

Order Management System

Trader Trader Trader

8=FIX.4.4|132=2.32...|10=077

Part one: Fix Protocol

8=FIX.4.4 9=86 35=S 34=449=EXECUTOR 52=20180112-04:45:45.941 56=CLIENT1 117=MFM 132=46.08 133=46.63 10=195

Price Quote

8=FIX.4.4 9=113 35=D 34=37 449=CLIENT1 52=20180112-21:11:57.354 56=EXECUTOR 11=1 38=70 40=1 54=2 55=CWP 60=20180113-05:11:57.35410=206

Trade Order

Part one: Fix Protocol

Trading App(Initiator)

Stock Exchange(Acceptor)

Part one: Fix System

Part one: Fix ProtocolExample

02

HFT Strategies

Part two: HFT Strategies

lAssumption

lWhy using Pairs Trading?

lHow to implement the Pairs Trading?

Part two: HFT Strategies

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Price Chart

MFM CWP

-1.5

-1

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Price Correlation

Part two: HFT Strategies

-0.1 -0.08 -0.06 -0.04 -0.02

0

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0.08

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Log Return

MFM CWP

-1 -0.8 -0.6 -0.4 -0.2

0

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Log Return Correlation

Part two: HFT Strategies

-0.1 -0.08 -0.06 -0.04 -0.02

00.020.040.060.08

0.1

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39

Log Return

MFM CWP

-0.4

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Log Return Correlation

Scenario Return Profit Volatility Sharpe Ratioρ > 0.5

(100 shares)108.14% 10814 1.60 1.70

ρ>0.3 (10 shares)ρ>0.7 (100 shares)

331.58% 33158 6.11 1.30

ρ>0.5(Qty=10*|ln(MFM)|*ρ)

-39.73% -3973.44 0.21 -2.26

Part two: HFT Strategies

Part three: Summary

• Pros and Cons

• Compare with Real Market

• Further Optimization

Q & A