Quantify “sinking”? T0 transactions have entered the retail camp, and there are also these risk points behind cost reduction and revenue increase.

(Photo source: Visual China)

Blue Whale News, February 28 (Reporter Wang Wanying)Quantitative transactions may be gradually sinking from institutional investors to retail investors.

The reporter noticed that at present, many securities firms are launching T0 algorithm services in their APP. This intra-day trading tool based on quantitative models captures stock price fluctuations at a high frequency, which not only opens up space for investors to maintain unchanged positions and dilute costs, but also earns bottom position income + intraday trading income, which also opens up a second curve of commission growth for securities firms. Some industry insiders even bluntly said that every purchase and sale is adding to the revenue of securities firms. rdquo;

However, there are many disputes about this tool in the market. Judging from the comprehensive interviews conducted by reporters, it mainly focuses on the following aspects: First, the effectiveness of the algorithm is highly dependent on market liquidity. The stock market is extremely fast and the stock market is up and down or there are strategic problems. It may lead to damage to customers ‘revenue. If the automatic trading strategy is invalid, it will increase the customer’s transaction costs and also bring about price spreads losses; Secondly, the effectiveness of the current algorithm model may be too idealistic; Secondly, it is whether the T0 algorithm services provided to general investors meet compliance requirements.

T0 idealized goal: reduce costs and increase profits

The reporter noticed that currently, more than 20 securities firms including Tianfeng Securities, China Merchants Securities, Guolian Securities, Guorong Securities, and Shanxi Securities have launched T0 algorithm services in their APP.

Some industry insiders pointed out to reporters that the introduction of programmatic trading allows ordinary investors to share the immediate benefits brought by stock price fluctuations, providing liquidity to the market to a certain extent. rdquo;

Broker T0 trading is full of intraday trading algorithm. It is an automated trading tool based on quantitative models and is mainly active in the stock market. The core logic is to accurately capture the spread caused by intraday fluctuations of stocks in a very short period of time by analyzing market data such as price, trading volume, and market information in real time, and decisively implement buy low and sell high operations to help investors spread low costs and maintain intraday positions. unchanged.

In an interview with Blue Whale News, a senior technical manager in the securities industry pointed out that T0 trading, with its advantages of automated operations, does not require manual intervention, effectively avoids emotional operations and impulsive wrong decisions, and can quickly process massive market data., responding to market changes, improving the accuracy and efficiency of transactions. In addition, the high-frequency trading model allows T0 trading to complete multiple transactions in a short period of time, effectively spreading investment risks. At the same time, T0 trading reduces costs through order splitting, and uses algorithms to capture short-term market fluctuations to obtain spread benefits, effectively reducing the cost of long-term positions. In volatile markets or wide-ranging markets, T0 trading can also obtain excess returns through intra-day fluctuations, bringing additional income opportunities to investors.

“In theory, for investors who hold stock positions with high net worth for a long time, T0 trading provides them with an additional way to increase their returns. By obtaining intraday spread gains through automatic trading, they can obtain bottom position gains + intraday trading gains. rdquo; The management of a brokerage firm in North China pointed out to reporters.

Frequent transactions add to brokerage revenue”

The reporter sorted out and found that there are differences in the threshold for opening T0 trading services for different securities firms. Most of them are for professional investors and are targeted at medium and high net worth customers.

For example, Tianfeng Securities requires that the total assets of the fund accounts and securities accounts opened by customers should not be less than 1 million yuan. At the same time, customers need to have a risk tolerance of C3 robustness or above and sign the “Appropriation Matching Opinion and Investor Confirmation Form” or be assessed as professional investors. China Merchants Securities requires customers to have a risk tolerance of C4 and above (or professional investors), and an average daily asset of 500,000 yuan or above for nearly 20 trading days after the authority has been opened. Another industry insider revealed to reporters that the Galaxy Securities Business Department requires customers to be professional investors and meet the requirements of an account amount of 3 million yuan and a minimum investment amount of 500,000 yuan.

In response to the compliance dispute over T0 services for general investors, some people in the securities industry said that on the premise of appropriate management and risk warnings, T0 is provided to customers as an algorithmic tool, which is in line with the regulatory appropriateness of complex financial instruments. Requirements for sex.

The account manager of a brokerage firm in Beijing further told reporters that the investors who actually consult him for T0 transactions offline are all more professional and old investors, and they prefer to use more efficient and convenient T0 transactions than traditional grid transactions.

From the specific operation point of view, it means that the brokerage T0 trading strategy model is for customers to refer to, and the customers themselves choose and set trading points. In addition, when a customer chooses to enable the T0 algorithm for a certain stock, only the trading rights of the underlying asset are opened, rather than full account entrustment.

However, it should be noted that using this service will increase investor transaction costs. The account manager revealed to reporters that his sales department will increase the normal trading commission of 10,000 yuan to 1.90 yuan. The strategy has a cost, and the cost of fees for managers and others will also be added, so the commission will be on the high side. rdquo;

However, from the perspective of brokers, T0 algorithm services are not only a reflection of technical capabilities, but also an additional magic weapon to increase trading commission income and retain stock customers.

“Since the T0 algorithm can achieve intraday high-frequency trading, the frequency of customer operations has been greatly increased. Every buy and sell adds to the brokerage’s revenue.& rdquo; Some industry insiders pointed out.

Extreme market conditions, strategic problems may lead to trading failure”

Although T0 trading has many benefits, there are also certain risks in its use. The effectiveness of the algorithm is highly dependent on market liquidity. The rapid rise and fall of the stock market and strategic problems may lead to damage to user profits.

“In extreme markets, such as when individual stocks are rapidly rising and falling, the system may trigger a circuit breaker due to the inability to close their positions, resulting in an amplification of single-day losses. In addition, there may also be situations where there may be a problem with the strategy of the day, resulting in a suspension of trading.& rdquo; The above-mentioned bond industry technical managers pointed out to reporters.

It added that the T0 strategy requires suitable stocks and stock properties. In current applications, the company generally performs matching and rule calculations between the algorithm and stock properties to select stocks suitable for algorithmic trading. Among the company’s existing customers, users who hold this part of the suitable stocks and have not traded for a long time may communicate and adopt a model, which can pull back part of the income, and the yield is relatively stable when the timeline is extended. ldquo; In actual operation, this model is generally suitable for users who make value investments or are trapped in long-term losses.” rdquo;

In terms of yield, it pointed out that although many institutions promote yields of around 6%-15%, in fact, yields are unstable. The difference mainly comes from differences between stocks. Generally speaking, stocks with relatively active trading The yield is high, but for most retail investors, the yield is relatively limited.

When talking about the selection of brokerage models, the level of models adopted by each family is also uneven. The above-mentioned person told reporters that most securities firms currently rely on models produced by third-party technology companies. Although some securities firms try to independently develop, in terms of actual results, there is a certain gap between the independently developed models and third parties, and it is still difficult to meet the high standards and requirements of the market in terms of key indicators such as stability and accuracy.

“In my personal opinion, the algorithmic model may not continue to be effective. It is a bit too idealistic at the moment and still needs some time to observe.& rdquo; A brokerage manager pointed out to reporters. (Blue Whale News Wang Wanying wangwanying@lanjinger.com)