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Semi-automatic algorithm transaction method

A trading method, semi-automatic technology, applied in the field of algorithmic trading, can solve problems such as high risk, achieve low delay, overcome high risk, and reduce feedback time

Inactive Publication Date: 2015-02-11
SUZHOU CHENCHUAN COMM TECH
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  • Summary
  • Abstract
  • Description
  • Claims
  • Application Information

AI Technical Summary

Problems solved by technology

[0003] The technical problem to be solved by the present invention is to propose a semi-automatic algorithmic trading method that can overcome the high-risk problems easily brought about by the original algorithmic trading strategy in view of the deficiencies of the existing technology

Method used

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Examples

Experimental program
Comparison scheme
Effect test

Embodiment 1

[0010] Embodiment 1, a semi-automatic algorithmic trading method, including the following steps, (1) Information collection: express market trading information as a feature vector v=[v1,v2,‥,vt,‥,vn in the form of a sliding window ], where vt represents the value of the above-mentioned market transaction information at time t, the market transaction information data collected before time t is used as a training sample, and the transaction information at time t+1 is used as a test sample; (2) Modeling: in After obtaining the training samples, the training samples are trained by the prediction confidence device, and the data parameters of the preliminary model are obtained to obtain the model M. The model M is used to predict the test samples. If the confidence value returned by the prediction confidence device is high, then It shows that the test sample is in a normal state of market fluctuations, without manual intervention. If the confidence value returned by the prediction co...

Embodiment 2

[0011] Embodiment 2, in the semi-automatic algorithmic trading method described in Embodiment 1: the market transaction information includes one or more of stock contract buying and selling prices, latest prices, and short-term trends.

Embodiment 3

[0012] Embodiment 3, in the semi-automatic algorithmic trading method described in Embodiment 1 or 2: the prediction confidence device is a support vector machine or a conditional random field.

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Abstract

The invention discloses a semi-automatic algorithm transaction method which comprises the following steps of (1) information acquisition; (2) modeling; (3) return measurement; (4) feedback and model fixing. According to the semi-automatic algorithm transaction method, an uncertain market fluctuation of an original transaction algorithm is shown to a professional user by active learning according to a visual effect, so that a quick feedback of a professional can be obtained, and the risk caused by forecasting by directly using the algorithm is reduced; meanwhile, the feedback time of the professional is also shortened by using a visual interface; the problem of high risk easily caused by a transaction strategy of the original algorithm is overcome; furthermore, the advantage of low time delay of automatic algorithm transaction is kept, and the optimal semi-automatic transaction performance can be finally achieved.

Description

technical field [0001] The invention relates to an algorithmic trading method, in particular to a semi-automatic algorithmic trading method. Background technique [0002] Algorithmic trading, which uses a computer platform to input trading orders by executing a pre-set trading strategy, has become one of the mainstream trading methods at present. The current algorithmic trading is divided into passive and active. Among them, the passive algorithm will not actively choose the timing and quantity of transactions according to market conditions, and its purpose is to reduce price slippage; while the active transaction will make real-time decisions according to market conditions, and will focus on forecasting on the basis of reducing the price slippage function market trend. Both passive and active algorithmic trading strategies try to minimize human intervention and aim to execute transactions through preset strategies as much as possible. Such technologies increase market liq...

Claims

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Application Information

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Patent Type & Authority Applications(China)
IPC IPC(8): G06Q40/04
Inventor 詹德川周尚晨
Owner SUZHOU CHENCHUAN COMM TECH
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