Continuation of the interview with the algorithmic trader Maxim Zakharov, Committed 83 000 transactions for a month at the morning session of the Moscow Exchange.
In the first part, Maxim talked about the path to algorithmic trading and about, how trading with the help of robots is arranged.
Maxim ZakharovMaxim Zakharov
Who gets up early
Why did you choose the morning session?
Because it's extra time, so that robots can be turned on. During the afternoon session, I also work. And in the evening - no, because it makes me uncomfortable for various reasons: I want to relax, do something, Besides work. And the morning session conveniently fell into schedule and did not require sacrifice.
— you live from the market?
- Yes. I have no other sources of income.
— And how long have you been fully on the supply of the market?
- Since, how seriously I started doing this, with 2010 of the year.
- What is your maximum score??
- Depending on what is expressed. In the money?
Let's give percentage. If you want, possible in absolute.
- I would not like to name specific numbers. The market is constantly moving towards efficiency. And over time, these algorithms start to earn less and less.
- Why is this happening, if evaluated in the context of a private investor?
- Human, who is investing or trading, who buys today, sells the next day, - will not see these changes. For him, the market remained approximately the same, what was in 2013 year. However, people see changes, mainly engaged in such trade, like high frequency Trading (HFT) or something similar.
Fast guys
— And how do you see these changes as a person?, who has been in this trade for the last seven years? What changed?
- Increased speed and competition. I already left that niche, in which the main thing is speed. Because there's nothing to do alone. Big funds have come there, big guys with big budgets and strong programmers.
- These "guys" ousted all private traders from there?
- Yes, almost all, there are only a few.
- Then what is required? Fine tuning of robots and cunning of the algorithm?
- Let's analyze, why the market becomes efficient. Because there are more and more participants and ideas. Approaches become faster and more efficient, related to machine learning. And any inefficiency and sharp bursts, because of which it used to be stormy for months, today are recouped in a matter of days. And the same can be extrapolated to smaller timeframes, for example, Second. If before a splash could bargain for an hour, and during this time the market bounced back, now everything is moving fast, because there is a lot of competition.
- And all your ideas come to an end, failed to materialize.
- Right, End, and along with income.
- It turns out, what are the shareholders gaining, without even competing with high-frequency and algorithmic traders. They don't notice at all.
— Investors in any case benefit from simple traders. After all, traders, usually, merge sooner or later. And investors, if they don't become traders, then they continue to be investors 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.
next part
