Challenges faced by futures high-frequency trading
First, reduce the time lag of market data and transaction communication. In millisecond-level high-frequency trading, the time difference between the market and the order will seriously affect the performance of trading strategy, and the biggest influencing factor is the quality of network communication linking all stakeholders. The usual solution is to host the trading system to the computer room near the exchange, so as to reduce the physical distance of network communication and improve the speed of foreign data exchange. Second, the ability to quickly analyze and execute massive data. The data of high-frequency transaction processing is usually based on data below minutes, and its data volume is quite different from the usual hourly data and daily data. For example, the transaction price data of Shanghai and Shenzhen 300 stock index futures on a trading day exceeds 30,000, while the daily closing price data of one year does not exceed 300, with a difference of more than 100 times. Under the dual requirements of large data volume and high speed, higher requirements are put forward for computer hardware and model programs for analyzing and processing data. The hardware solution is to replace the system equipment every few years; To write the model, you should choose a language with high execution speed. Third, the ability of algorithmic trading. The algorithmic trading referred to here mainly focuses on the execution mode of orders and how to complete a specified number of transactions at low cost and quickly. When the number of transactions executed at one time exceeds the depth of the market, it is necessary to split the order and execute it in batches through a specific algorithm, thus reducing the loss of income caused by the impact cost. Fourth, the restrictions of the exchange. The influence of high-frequency trading on the market is still controversial in the international market, with positive views, such as increasing market liquidity and reducing market volatility; There are also negative criticisms, such as disturbing market information and affecting market fairness. Some clauses in the "Guidelines for Monitoring Abnormal Trading" of China Financial Futures Exchange restrict high-frequency trading, for example, the number of orders withdrawn from a single contract is limited to 500 lots, and the daily trading volume of a single contract is limited to 1 1,000 lots. High-frequency traders need to optimize the trading system and control the scale of funds they participate in under the conditions of meeting the restrictions of the exchange. High-frequency trading is a highly quantified and computerized trading method and a high-end version of programmed trading. High-frequency trading puts forward higher requirements for market microstructure analysis, network communication speed, data processing ability and transaction execution ability. Although there are still some obstacles in the trading environment of high-frequency trading, a number of successful high-frequency traders have emerged in the domestic market. With the continuous development of the whole market, some controls on the domestic trading environment will be liberalized, and the scale of high-frequency trading will grow faster.