The secret of Easton's high-frequency trading of stock index futures before the CICC New Deal, stock index futures trading was active and the transaction cost was extremely low. Investors who participate in the transaction generally close the transaction at the price of buying one and selling one, and the pending orders beyond these two prices rarely wait for entrustment (at the other extreme, the number of pending orders is sometimes more than the daily turnover, waiting to earn a difference of one or two cents). Through the analysis of Level2 data, it is found that most of the time, the pending orders of stock index futures are much larger than those at the second, third and above prices, which creates conditions for high-frequency trading to make profits. The working principle of the strategy is as follows (taking bulls as an example): the strategy monitors the secondary market data of stock index futures in real time. When it is found that the number of pending orders for selling one is much larger than that for selling two or more prices, and the price gap is large, buy and open positions at the price of selling five (or higher). As follows: sell 5 3342.00 3, sell 4 3340.00 7, sell 3 339.208, sell 2 3338.60 4, sell 1 3338.20 300. When this happens, directly buy 325 lots at the price of 3342.00 to open the position. After the transaction, the cost of multiple orders is around 3338.40 (because there are 300 lots). There are few other high-priced transactions), but at this time, the latest futures price has risen above 3342.00, with a floating profit of 4 points, and then it can be profitable to sell and close the position at 3342.00 immediately. Don't worry that no one will close the position, because many programmatic trading strategies of stock index futures are trend strategies, and rising will definitely trigger the chasing strategy. Now, do you understand why CICC has to restrict the lot of 10 and charge a high handling fee for Pingjincang? In this way, this strategy is no longer profitable.

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The secret of Easton's profit from high-frequency trading of stock index futures

The secret of Easton's profit from high-frequency trading of stock index futures

Before the New Deal of CICC stock index futures, stock index futures trading was active and the transaction cost was extremely low. Investors who participate in the transaction usually make a deal at the price of buying one and selling one, and there are very few pending orders beyond these two prices (at the other extreme, the number of pending orders is sometimes more than the daily turnover, waiting to earn a difference of one or two cents).

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Through the analysis of Level2 data, it is found that most of the time, the pending orders of stock index futures are much larger than those at the second, third and above prices, which creates conditions for high-frequency trading to make profits.

The working principle of this strategy is as follows (taking Do More as an example):

The strategy monitors the secondary market data of stock index futures in real time. When it is found that the amount of pending orders for selling one is much larger than that for selling two or more prices, and the price gap is relatively large, buy and open positions at the price of selling five (or higher), as shown below: