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요즘 알고리즘트레이딩과 관련한 글을 읽다 보면 자주 등장하는 회사가 QuantInsti입니다. 인도에 위치한 알고리즘트레이더를 위한 전문교육기업입니다. DIY 퀀트를 위한 플랫폼이 주요한 비지니스인 미국이나 유럽과 달리 동남아시아의 경우 교육을 매개로 한 비지니스가 많은 듯 합니다. 국내 교육기업들이 금융을 주제로 강좌를 개설하는 것과 비교하면 큰 차이를 보입니다. 금융투자협회가 운영하고 있는 금융투자교육원과 비슷하지만 트레이딩과 관련한 전문기업입니다. 몇 일전 Setting-Up an Algo Trading Desk이라는 글이 올라왔습니다. 많은 분들이 알고 있는 이야기지만 강조하고 싶은 부분이 있어서 소개합니다.
먼저 사전준비입니다. 법인으로 할지, 개인으로 할지, 법인으로 하면 자본시장법에 의한 법인으로 할지 말지를 결정하여야 하고 자본금을 확정하여야 합니다. 금융은 규제이기때문에 등록이든 허가이든 금융회사가 되면 그에 따른 법적 의무가 많습니다. 주로 컴플라이언스와 관련한 부분입니다. 반드시 명심하여야 하는 부분입니다.
1.Registering your company: The first step is to register your firm. You can register your trading firm (for proprietary trading) as a Company, Partnership, LLP or even as an Individual. If, however you want to set up a Hedge Fund with investors, other approvals from regulators (For e.g. SEBI in India and MAS in Singapore) are also required and the compliance rules and regulations are generally much stricter.
2.Capital required for Trading and for Operations: Broadly speaking, trading capital required for High-Frequency Trading is usually relatively less than that required for Low-Frequency Trading. LFT is scalable and can absorb much more trading capital. But the capital required for trading operations is typically far higher in case of HFT as compared to LFT given the infrastructure and technology requirements in HFT.
일반적으로 회사를 설립할 때 회사의 비전과 철학등을 정리합니다. 마찬가지입니다. 트레이딩회사도 비슷합니다. 트레이딩철학이라고 할 수 있고 투자방법론이기도 하고 Traidng Paradigm일 수도 있습니다. 해외 투자회사들의 홈페이지를 방문하면 수준이 높든 낮든 투자철학을 정리해놓고 있습니다. 예를 들어 로보어드바이저
3.Trading Paradigm: You need to decide on the trading philosophy you’ll adopt. The most common trading philosophies include execution based strategies where the focus is to get the best price for execution rather than focusing on Alpha. Then there are High-frequency strategies which are extremely latency sensitive and mainly include market making, scalping, and arbitrage. Then there are market sentiment based, machine learning based and news based trading algorithms which can be relatively less sensitive to latency as compared to HFT.
매매를 위해서는 시장에 접속하여야 합니다. 이를 위한 준비입니다. 아래는 해외를 기준으로 한 목록이므로 한국과 많은 차이를 보입니다. 자본시장법은 어떤 시장의 어떤 상품을 매매하더라도 반드시 자본시장법상의 매매중개회사를 통하도록 규정하고 있습니다. 나라마다 규제가 다르고 거래소별로 회원규정이 다릅니다. 한국거래소의 회원은 매매,청산결제회원을 포함합니다. 역외 회원제도가 없습니다. 반면 해외거래소를 보면 매매회원과 청산결제회원을 나눕니다. 또한 역외도 가능합니다. 해외에 법인을 설립할 때 규제상의 차이점을 잘 검사하여야 합니다. 국내 금융투자회사를 이용할 경우 매매인프라를 위한 고민이 크지 않지만 해외는 다릅니다. 어떤 선택을 하느냐에 따라 비용의 차이가 무척 큽니다.
4.Access to Market: There are different kinds of memberships which exchanges offer- clearing members, trading members, trading cum clearing members, professional clearing members, etc. If you don’t want to go for direct membership with the exchange, you can also go through a broker. This involves lesser compliance rules and regulatory requirements. However, the flip-side is that you have to pay brokerage and most HFT strategies are highly sensitive to transaction cost.
5.Infrastructure Requirements: Main focus areas under this head are Colocation, Hardware and Network Equipment and Network Lines.
a) Colocation: Colocation means that your server is in the same premises and on the same local area network as that of the exchange. Most exchanges provide colocation facility now. In some cases when exchanges do not provide colocation facility, there are vendors who provide co-location or proximity hosting facility. A significant percentage of orders received by exchanges are now generated by algorithms with most of such orders being generated by co-located space.
b) Hardware: Many leading companies produce servers required for Algorithmic Trading setup. Customizable hardware for high-frequency trading is also available which can be modified as per the requirement to improve performance. Given fast changes in technology, the present scenario requires servers to be changed and updated almost every year or at most in two years.
c) Network Equipment: This mainly includes Routers/Modems, Switches and Network Interface Controller (NICs) and FPGAs. For routers and modems, you need to check version compatibility with exchanges. NICs are basically Ethernet cards which help your computer to get connected to a network. FPGA stands for Field-Programmable Gate Array. It is basically an integrated circuit containing an array of programmable logic blocks and that be configured to perform complex operations.
d) Network Lines: Network lines can be broadly categorised into the below four categories-
i.Trading Lease Line– Used for sending out orders to the exchange. Different lines provide different bandwidth for messages to be sent and are priced accordingly.
ii. Market Data Lease Line– This line used to receive market data from the exchanges or your data provider. There are two main formats ways in which exchanges send market data- Tick By Tick or Snapshot Data (example for NSE).
-> Tick By Tick (TBT)- Tick data is a collection of sequential “ticks” which is the latest quote, trade, price, and volume information. You can also subscribe to bucket feed which filters data for specific instruments requested.
-> Snapshot Data– Snapshot Data feed contains data pertaining to Stock Exchange trade quotations and other related information pertaining to the trading of different instruments generated at regular intervals of time.
iii. Lines between Exchanges: These are point to point lines between exchanges which can assist with SOR. Smart Order Routing (SOR) lets you shoot orders to different exchanges, in effect helping you to pick liquidity available on different exchanges at the most effective price.
iv. Between Premises and Exchange: In India, you cannot have the internet in colocation area, so there is a dedicated line between colocation premises and your facility. The cost of this line depends on the distance.
v. Test Connectivity: Exchanges provide test markets where you can test your trading algorithms. For instance, in India, NSE provides two test markets; Normal test market and Dedicated test market. Some Global exchanges like CME also provide internet VPNs for test connectivity.
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이제 알고리즘트레이딩을 위한 플랫폼입니다. 가장 기본적인 플랫폼 기능은 시세, 주문체결 및 전략입니다. 아래처럼 CEP와 같은 기능을 내장한 플랫폼을 구축할 수 있습니다. FIX/FAST를 이용하면 시세와 주문체결을 위한 비용을 줄일 수 있습니다.
6.Algorithmic Trading Platform: An algorithmic trading platform has three main parts-
a) Market Data Adapter– MDA is used to receive data from the exchange and convert it to the format which our trading system understands.
b) Complex Events Processing Engine– CEP is the brain of the system and the main strategy logic lies here.
c) Order Routing System– CEP sends instructions to ORS which converts the order to exchange understandable format. FIX is the most widely used format in most exchanges, some exchanges might have their own native formats as well. When an exchange uses both, a native and FIX format, sometimes native may be preferred due to faster connectivity as the FIX converter might be applied in the next layer but using the exchange’s native format might also involve dedicated efforts in terms of maintenance. The latency of various platforms varies from system to system and so does the price.
Quantopian과 같은 해외 온라인플랫폼이 가지는 강점은 백테스팅기능입니다. 앞서 플랫폼을 도입할 때도 역시 고민해야 하는 부분이 백테스팅입니다.
7.Backtesting: Backtesting is a historical simulation of an algorithmic trading strategy to see its performance on the past data. Most ATPs come with backtesting platforms which can be used to obtain simulated results in terms of profit & loss, risk and performance statistics over the duration of the backtested data which help to quantify the strategy’s return on risk. Next, we test the strategy in the “Test markets” which we’ve already discussed in the previous section briefly. Market tests ensure that there are no technical glitches which might occur while connecting to the market through the strategy.
위험관리는 무척 중요합니다. 그래서 해외의 경우 플랫폼에 PreTrade Risk Control을 중요하게 생각합니다.
8. Risk Management: Risk management generally involves more focus on Market Risk monitoring. But in the case of High-Frequency trading, Operational Risk is much more important. Failure of technology, network, data streams can be disastrous. You need to have multiple level checks for data, starting from the socket level to capture any anomalies and stop the strategy instantly if something is wrong. A matter of seconds can lead to huge losses, which makes it important to react very fast and disconnect within a few milliseconds or lesser time duration if things go wrong.
국내의 경우 전략 자체에 대한 정합성 검증은 없습니다. 알고리즘트레이딩계좌로 등록하는 정도뿐입니다. 물론 초당 주문건수의 제한을 받지만. 해외의 경우 규제정책에 따라 알고리즘 자체에 대한 안정성을 증명하여야 합니다. 소스코드를 제출하는 경우도 있고 다양합니다.
9.Conformance and Empanelment: In India, you need exchange’s approval before you take a strategy live. The process involves participating in a mock to give a demo of your strategy to the exchange. If all required conditions are satisfied then the strategy can be taken live. Some exchanges like CME don’t require each strategy to be tested separately; they just test Trading Systems and grant access.
10.Audit & Compliance: All HFT firms in India have to undergo a half yearly audit. Auditing can only be done by certified auditors listed on the exchange’s website. For the audit, you are required to maintain order logs, trade logs, control parameters etc. for past few years. Other global exchanges like CME require similar data to be saved for the past few years for audit purposes.
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개인적으로 가장 중요한 부분입니다. 앞서 매매철학과 함께 트레이딩회사가 지속성을 판단하는 근거가 아닐까 합니다. 인공지능이든 알고리즘이든 고빈도매매이든 출발은 사람입니다. 혼자서 북치고 장구치고 할 수는 없는 노릇입니다. 그래서 팀 빌딩이 핵심입니다.
11.Team: And last but not the least, you need a team of professionals to come together to run your desk. Broadly speaking Traders/Strategists, IT professionals, Network managers, Risk Managers, HR and Legal teams need to work together. But to start with IT professionals and Traders/Strategists should be sufficient. A small team of 3-5 Traders and IT professionals, along with Support Staff, i.e. a total of about 7-10 people can constitute an algorithmic trading firm. In the case of start-ups, a single person can don multiple hats taking responsibility for several tasks and a team of 4-5 members can start.
이상의 항목을 알고리즘트레이딩회사에만 적용할 필요가 없습니다. 요즘 유행하는 로보어드바이저기업의 경우도 마찬가지입니다. 자본시장과 관련한 핀테크 비지니스를 구상하더라도 비슷합니다.
