KR20020063542A - strategy trading system utilizing the varying structure of the tic data and/or the limit order book data - Google Patents

Abstract

The present invention relates to a strategic trading system used in a stock market or a derivatives market (hereinafter referred to as a stock market) that trades futures, options, etc. More specifically, data in which trading orders are concluded every minute in these markets (markets) Strategy trading system that utilizes the variance structure of `` Tick Data '' and limit order book data that shows the distribution of price and quantity of buy and sell orders that are currently pending in the market. It is about.

To this end, the present invention, from the tick chart pattern strategy unit for the trader to construct his own tick chart pattern, from the stock exchange pattern strategy unit, stock exchange, etc. It is characterized by consisting of a signal generator that actually generates a buy or sell signal by applying the data of the execution price, quantity, and the total price of the quotation sheet to each tick chart pattern strategy section and the quotation sheet pattern strategy section.

Description

Strategy trading system utilizing the varying structure of the tic data and / or the limit order book data}

The present invention relates to a strategic trading system used in a stock market or a derivatives market (hereinafter referred to as a stock market) that trades futures and options. Strategy trading system that utilizes the variance structure of `` Tick Data '' and limit order book data that shows the distribution of price and quantity of buy and sell orders that are currently pending in the market. It is about.

A strategy trading system is a system that preprograms logic that can automatically make decisions about buying and selling when buying or selling securities or products. For example, if the market price exceeds the previous week's average price by more than 3%, the program is designed to trigger a buy signal.

Strategic trading systems can be used to keep up with the ever-increasing use of technology, and the technology is becoming more complex because it can generate stable profits by preventing individual whims and momentary mistakes and by making consistent sales.

Early strategic trading systems were developed by individuals as their own trading systems. Then it began to be created as a general purpose system for use by many traders. These systems provide a system environment in which traders can select and enter the indicators and variables used in the strategy, or create their own trading strategies using a simple trading strategy composition language.

These conventional strategic trading systems rely on technical indicators that utilize only the closing price and volume data at a certain point in time or period, or use only the high, low, market and closing price data for a period. In the securities market, however, due to the development of computer and communication system technology, the price and quantity of a tick chart or a buy and sell order in the pending state are displayed visually showing the price at the moment the buy and sell order is concluded every moment. A limit order book showing the overall distribution of is widely used by investors. These tick charts and quotations provide the most detailed information on current supply and demand fluctuations in the market. Therefore, the change structure of these two data can be used to more effectively predict the direction of market fluctuations in the short run.

Therefore, the conventional strategic trading system does not utilize the information of the tick chart and the price book book, and thus has a problem in that it cannot effectively use more useful information for short-term prediction.

The present invention provides a system that allows the traders, such as the stock market, to identify the fluctuation structure of the tick chart and house price book in order to solve the above problems and to easily build a buy and sell strategy by patterning it. Is there.

In order to achieve the above object, the present invention provides a tick chart pattern strategy unit in which a trader constructs his or her own tick chart pattern, a trader book pattern strategy unit in which a trader configures and inputs a unique quote house pattern, a stock exchange, etc. It is characterized in that it consists of a signal generator that actually generates a buy or sell signal by applying every tick price pattern and quantity from the quotation sheet strategy section to the tick chart pattern strategy section.

Referring to the configuration of the present invention in more detail as follows.

The first step is the Tick Chart Pattern Strategy Department, in which the trader observes the price fluctuations (ticks), the price rises (u), declines (d), Selecting and inputting one of three kinds of no change (n). For example, a tick chart variation pattern in which a strong buy signal is generated is viewed as a structure of [u, d, n, u, u]. In other words, if the price rises after the first rise on the tick chart, followed by the unchanged closing price, and then the pattern of two consecutive rises, the trader judges a strong buying trend. To do this, the trader inputs the number of observations of price fluctuation and one of u, d, and n for each tick.

The second step may be used simultaneously or independently of the tick chart pattern strategy unit as the quotation book pattern strategy unit. This may either generate a buy or sell signal depending on whether the ratio between the bid price and the bid price is rising or falling, or ② the change in the difference between the 1st bid or offer price and the price-weighted average bid price. To generate a buy or sell signal, or (3) generate a buy or sell signal in accordance with the change in the ratio of the quantity of the highest preferred price to the total quantity of the quoted price, or (4) to the change in the difference between the closing price and the price-weighted average quotation. Accordingly, it is configured to generate a buy or sell signal, or to generate a buy or sell signal in accordance with a change in the interval between the highest and the lowest quotes in the 5 or 10 bid price table. The trader can make his own strategy by selecting and inputting only the variable values required for each pattern input unit.

The third stage consists of a signal generator that generates the buy or sell signal by applying the data of the execution price, quantity, and price book total from the stock exchange etc to the tick chart pattern strategy section and the quote price pattern strategy section. have.

As described above, the present invention has the following effects.

First, despite the use of vast market forecast information, the use of tick charts and price book data, which have not been properly utilized, may increase, leading to the development of trading strategy techniques and strategy development techniques.

Secondly, since the tick chart data and the price book data are huge amounts of data, it is essential to advance data transmission and processing technology in order for multiple traders to use them in real time at the same time.

Claims (3)

In a strategic trading system that utilizes the variance structure of tic data and quotation book data, A trader inputting a variation pattern of tic data by selecting one of a price variation (tick) number of observations, a price rise (u), a decline (d), and no change (n) for each tick, The trader may generate a buy or sell signal depending on whether the ratio between the bid price and the bid price is rising or falling, or ② the change in the difference between the 1st bid or offer price and the price-weighted average bid price. Generate a buy or sell signal, or (3) generate a buy or sell signal in response to a change in the ratio of the volume of the highest preferred price to the total price of the offer, or (4) the change in the difference between the closing price and the price-weighted average quotation. A buy or sell signal based on the change in the interval between the highest and the lowest quotes in the 5 or 10 bid price table. Inputting the structure change pattern of the data, applying the market transaction data provided from the stock exchange to the above step to generate the buy and sell signals, utilizing the instantaneous fastening data and the quotation book data Strategy trading system. The method of claim 1, A trader inputs a fluctuation pattern of tick data, and generates a buy and sell signal by applying market transaction data provided from the stock exchange to the above steps. Strategy trading system that utilizes. The method of claim 1, The trader inputs a structural variation pattern of the price book data, and applies the market transaction data provided from the stock exchange to the above steps to generate a buy and sell signal. Strategic trading system that utilizes aggregate data.