HFT와 관련한 두가지 뉴스

1.
Picosecond라고 아시나요? 1조분의 1초라고 합니다.그러면 Nanosecond는 아시나요? 10억분의 1초입니다.
Wallstreet Journal에서 기사하나가 실렸습니다.

Traders Piqued By the Picosecond, But Physics Intervenes

Wall Street’s fastest traders have their eyes set on the newest speed?the picosecond, or one trillionth of a second. But even as trading reaches its fastest levels yet, companies with the need for speed are running into a pesky problem: the speed of light.

“When you look at what you need to do to get a trade from a firm to the exchange and back, there are other things involved?like physics?that make it difficult,” said Mark Palmer, president of StreamBase Systems, which develops trading tools and platforms. “When you get to that level, you are starting to approach speed-of-light problems.”

속도가 월스트리트 트레이더의 관심을 받으면서 Picosecond가 새로운 화두로 떠올랐다고 합니다. 피코초는 결국 물리학적인 한계, 빛의 속도에 도전을 의미합니다. 그럼에도 미국에선 이런 속도를 얻기 위한 도전에 나서고 있다고 합니다.

While no one is actually executing trades in the span of one picosecond yet, the race is on to start clocking parts of a trade in this smallest of measurements. Engineers are now working on getting a single chip inside a computer’s central processing unit, for instance, to run at their fastest speeds yet.

Adam Sussman, director of research at TABB Group, said people aren’t measuring the trading process in picoseconds. But “if you begin to slice your process into ever-more granular steps, you start to see things in picoseconds,” he said.

이런 노력중의 하나가 Co-location이라고 합니다. 5년전에 5 밀리초(秒)는 무척 빠른 속도였지만 지금은 매우 늘린 속도이며 어딘가에 시스템적인 장애가 있다는 점을 보여줍니다.

In order to stay competitive, many are paying to rent space within or near the exchanges, a practice called co-location.

StreamBase, founded by MIT engineers, follows a similar approach. “We hired 40 engineers and have them think really hard,” Palmer said. “Five years ago, five milliseconds was actually fast. Now, five milliseconds is really slow. It means there’s a bug in your system.

자본이 풍부한 헤지펀드나 Prop Trading Desk등이 피코초(秒)에 도전하기 위한 투자를 진행하고 있지만 이와 같은 극단적인 Latency Arbitrage전략이 유효한지에 대해선 의문을 표하고 있습니다.

No we are hiring engineers to figure out how to trade in picoseconds. Why is this speed necessary? Why is our industry spending? billions of dollars? on technology to achieve this speed? Will this spending result in? picking stocks to buy at $10 that will appreciate to $50? Will this result in new public small-cap capital formation? No

This will result in larger brokerage firms and hedge funds getting even larger by beating long term investors to a quote. Legalized stealing. Having fun?

이상의 글에 댓글을 단 사람은 다음과 같이 주장합니다.

If you ask an exchange developer, they’ll likely tell you that the physics (speed of light, materials of components, etc.) make 100 microsecond speeds a theoretical limit. To be talking picoseconds ? a millionth of a micro ? you either can’t do math (ok, ok; I know we’re talking TABB here), or you’re assuming that HFT strategies will be driven by microchips that will sit INSIDE of exchange matching engines.

On the math: the speed of light travels .3 millimeters in a picosecond. So that pretty much takes networks out of the picture.

물리학적으로 거래소시스템이 가질 수 있는 이론적 한계는 100 마이크로초(秒)입니다.만약 피코초(秒)를 구현한다고 하면 도저히 상상하기 힘든 문제입니다.? 만약 코로케이션서비스에 Matching Service를 포함한 Chip을 제공하면 가능한지를 물어봅니다.

?On intra-matching engine co-lo: Today, most exchanges split matching engines across symbols to enhance performance ? in other words, they throw more servers at the problem to gain speed. (Nasdaq is the lone exception that I’m aware of; there’s an ongoing debate as to whether they’ll have to change this architecture in the future.) Can exchanges “beef up” matching engines to accomodate co-lo’ed chips from users ? maybe by further splitting symbols (and thereby increasing operating costs)? Maybe. Would the SEC allow it? Maybe. Does the entire notion scream “decreasing marginal benefits?” Absolutely. (Unless you’re a technology vendor or a consulting firm trying to sell people stuff.)

2.

High Frequency Equities Trading: From the U.S. to Asia?

Celent의 통계에 따르면 주식거래중 42%가 HFT거래로 추정되고 2010년에 54%까지 늘어날 것으로 예측됩니다.또한 HFT의 보급으로 수많은 트레이딩 그룹들이 가치투자전략 혹은 정량적인 전략을 채택한 그룹들도 HFT와 결합된 방식을 취할 것으로 예상하고 있습니다.

However, lacking precise data, our proxy for strategy is strong sensitivity to latency in the trading process. Today, our research? suggests that latency-sensitive trading is highly pervasive and as a result we estimate that 42% of U.S. equities volume (measured in shares) is the result of HFT and will grow to 54% of volume by 2010.

A higher penetration of HFT will be multi-faceted and driven by an increase in the number of proprietary trading firms, an expansion of quantitative hedge fund strategies, and increasingly technology-driven automated market making. In addition, the convergence of fundamental and quantitative strategies by investment firms will mean the coupling of execution and investment strategies, leading to greater HFT adoption among even more traditionally conservative organizations. In other words, a rising HFT tide will lift all boats.

유럽의 경우 미국보다 덜하지만 계속 증가할 것으로 판단하고 있고 2010년이후 몇년동안 아시아에서도 확대될 것으로 예상하고 있습니다. 특히 역내에서 중심적인 역할을 하고 있는 일본,홍콩,싱가포르 및 호주에서는 특히 더욱더 그렇습니다.

Back to the rest of the world. The adoption of HFT in Europe is less as a percentage of order flow than the U.S., but is growing. At the same time, HFT will most certainly expand in Asia over the next several years, with selected Asian marketplaces like Tokyo, Singapore, Hong Kong and Australia with the most potential for evolutionary changes at present. With the major upgrade of the Tokyo Stock Exchange’s new Arrowhead system, the number of HFT firms trading Japanese equities will grow significantly. We also expect that Arrowhead will spur other innovations and compel more U.S. and European firms to locate trading applications closer to the exchange matching engines in Tokyo.

물론 아시아에서 HFT가 확대되면서 지역적으로 가까운 거래소에 영향을 주겠지만 과도한 규제, 문화적인 요인 혹은 주식시장의 구조의 차이때문에 MiFID를 도입한 유럽보다는 아주 천천히 확대가 예상됩니다.

Similarly, these firms may also move to be physically closer to other Asian exchange matching engines. However, as a result of more heavy-handed regulation, culture and vested interests, the equities market structure in Asian markets should be slower to evolve than Europe post-MiFID introduction. Hence, we expect the HFT growth trajectory will not accelerate to the levels seen in U.S. and Western Europe anytime soon.

3.
HFT는 지역적으로, 기술적으로 한계에 도전하고 있습니다. 지역적으로 금융중심에서 부심으로 영역을 넓혀가고 있습니다. Latency에서도 불가능하고 의미가 없을런지 몰라고 피코초(秒)에 도전하고 있습니다. 이런 상황에서 KRX는 고객의 무관심으로 HFT가 한국에 도입되지 못하고 있다는 뉘앙스로 이야기하고 있습니다.

국내 알고리즘 트레이딩 성공 가능성

물론 알고리즘 트레이딩과 HFT를 같은 범주로 생각할 수 없지만 어느 정도 동전의 양면이라고 생각합니다. 어떤 알고리즘보다 가장 확실한 알고리즘은 Latency Arbitrage라고 생각하기 때문입니다. 이 점을 이용한 매매가 고빈도 매매 즉, HFT입니다.

KRX의 생각에 대한 의견을 조만간 정리해볼까 합니다.(^^)