Continuation of the interview with the algorithmic trader Maxim Zakharov, who have committed 83 000 agreements per month at the morning session of the MICEX.
In the first part, Maxim told about the path to algorithmic trading and about that, how trading with the help of robots is organized.
Maxim ZakharovMaxim Zakharov
Who gets up early
Why did you choose the morning session?
Because it's added time, so that you can turn on the robots. During the afternoon session, I also work. And in the evening - no, because I'm embarrassed for various reasons: want to rest, do something, apart from work. And the morning session comfortably lay down in schedule and did not demand the dead.
— you live from the market?
- Yes. I have no other sources of income.
- And how long have you been entirely on the supply of the market?
- Since then, how seriously I started doing this, with 2010 of the year.
- What is your highest score??
- Looking at what is expressed. In the money?
Let's give percentage. If you wish, possible in absolute.
- I would not like to name certain numbers. The market is constantly moving towards productivity. And over time, these methods start to earn less and less..
- Why does this happen?, if evaluated in the context of a personal financier?
- Human, investing or trading, Buying?? Right away, and sells the next day, - will not see these changes. For him, the market remained something like this, what was in 2013 year. But people see changes, who are mainly engaged in this trade, as frequency Trading (HFT) or something similar.
Frisky guys
— And how do you see these changes as a person?, which the last 7 has been doing this trade for years? What has changed?
- Increasing speed and competitiveness. I already left that niche, in which main - speed. Since there is nothing to do alone. Huge funds came there, huge guys with big budgets and strong software developers.
- These "guys" ousted all private traders from there?
- Yes, virtually all, only a few remained.
- Then what is required? The Subtlety of the Robot Option and the Cunning of the Method?
- Let's analyze, why the market becomes effective. As there are more and more participants and thoughts. Approaches become more frisky and effective, related to machine learning. And any low productivity and sharp bursts, due to which it was previously stormy for months, now recoup in a short time. And the same can be extrapolated to smaller timeframes, for example, Second. If earlier the surge could bargain for an hour, and during this period of time the market bounced back, at the moment everything is rapidly recouping, since there is great competition.
And all your thoughts come to an end, failed to materialize.
- That's right, come to an end, while together with the efficiency.
— Goes out, what are the shareholders gaining, without even competing with high-frequency and algorithmic traders. They basically don't notice anything..
— Financiers, in any case, win against ordinary participants in exchange trading. After all, participants in exchange trading, usually, at some point connect. And the financiers, if they do not become participants in exchange trading, then they continue to be financiers and still earn for a long time.
Putting a plus for Otkritie Broker
— Regulatory organizations somehow influenced the change in the conditions for algorithmic traders, Brokers or Mosbirge? And if so., in which direction?
- I would not say, that something good or bad is happening. It seems to me, everything goes in such an evolutionary way, how it should go.
— Brokers for years 20 specialize in working with traders, which have been on the market for a long time, including supporters of algorithmic trading. Do you feel the difference between them??
— With my approach, almost all brokers are the same. Here the question is only in the initial conditions: at what prices do we host servers or get special rates.
- "Opening Broker" you are satisfied?
- Yes, I am satisfied with the company and have been working with it for a long time precisely because, that everything is good in our cooperation.
Don't think about the seconds
— We were talking about profitability and got a little distracted, and you didn't mention percentages.
- Yield is now much lower, than last decade. There was more inefficiency. The dynamics can be viewed, by opening the archive of the LPI competition, section "the most active trader". And if then people earned thousands of percent, then recently such participants have disappeared altogether.
- What do you base your strategy on?, what tools do you use and what do you track?
— Instruments are all liquid. Plus a number of illiquid. On every instrument, usually, several algorithms work.
"Is such a case real?". Some robot monitors historical data and says: "Robot no 28 can show itself well now on Rosneft shares and on futures”.
- This seems like a reasonable approach.. But technically it is much easier to make a robot for each tool, we don't have that many. Then everyone will watch: is the market right now, to trade, or not. In fact, this is not one choosing robot.
— What do you use to create your robot programs?
- I write already in a somewhat outdated Delphi language (Delphi), but somehow it happened historically. It is used much less now., than before, and it's not good for fast stuff..
- What does the market use??
- If we talk about the fastest participants with a large number of transactions, then algorithms are already in business, sewn directly into the iron: ASIKi, FPGA and others.
- This is something very technical..
- Yes, and very fast. Here are the commands just use such things.
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