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2 years, 10 months ago
The exchange trades in a resource, shares and muddy promises: an educational program about derivatives

The exchange, simplifying, trades in three basic products: direct resources (currency, gold, oil), events of the companies (ownership share in business) and derivatives. The derivative – all this what cannot be felt here and now, that is, very roughly telling, tools to which the small share of these basic products and many forecasts, promises and opinions is added.

For example, the future is when you speak "in the end of the year I will grow up 2 tons of potato if you purchase from me it on 20 rubles for kilogram". Then the lot of people is signed with you for 100 kilograms of potato, 20 kilograms, ton and so on. At the same time, pay attention, transactions are made, the economy turns, but yet there is neither potato, nor money yet.

In a month someone watches the movie "Martian" and learns that deliveries of a kartokha from Mars are planned. Also decides that it will fall in price. Guess that occurs further.


Correctly – this someone sells the contract for 100 kilograms for 20 rubles/kg to the neighbor for 18 rubles/kg. Because the neighbor evaluated probability of Martian potato as improbable, and counted two rubles of excess profit for kilogram as a sufficient payment for risk.

Or, on the contrary, all see how the new plant on production of the biodiesel from potato opens, and your contracts rise in price in the secondary market. Because demand will grow, and potato will cost, for example, 25 rubles for kilogram, and you promised to put on 20. Respectively, it is possible to resell contracts on 22 already now.

If you still here, then you begin to understand how all this is cunning twirled only on the example of one tool. And there is a lot of such tools. For example, the same options (when you can purchase potato on 20 rubles for kilogram, and you can not purchase in the end of the year) were known in Ancient Greece as an insurance for far driving off dealers.

Trade in the derivative demands very much, very fast reaction. And good communication lines. And still it is very sensitive to any failures.

In our example as soon as someone began to sell or buy orders for potato, all market shakes. From here – the selected optics and fight for each millisecond in auction.

What bad is in a stop of auction for 2 hours

In the next post about IT risks we consider several cases when the exchange stopped on for an hour or two. Now let's review other example, than it threatens you as to the owner of the derivative (that is the "fast" tool).

If you seriously speculate on the Stock Exchange and for you your robot (or, at least, the server executes your conditional requests) trades, the delay even for 3-4 seconds can become the reason of serious losses.

For example, you have a derivativny tool which at decline in the rate from 100 dollars to 99,8 dollars creates to you two thousand dollars of a loss. And at increase from 100 dollars to 100,2 – two thousand arrived. You decide that the tool will grow. Not to risk, you give command to the robot to sell it at a course lower than 99,99 not to lose much, at most 100 dollars (less you do not put not to get on microfluctuation).

The course is exposed to microfluctuations really each millisecond.

At some point the server where your conditional requests lie, cannot process the transaction because of failure. Or all exchange entirely stops auction on for an hour or two.

When everything rises, you find out that a course of this tool now 99,2 dollars. And you "get" already for 8 thousand dollars though expected to spend for experiment of at most 100 dollars.

Why then it is impossible to trade only in "slow" tools?

Too it is simple. As a rule, you select between risk and profit. Higher the risk – is higher the expected profit. Lower the risk – is lower the expected profit. "Slow" tools provide low risks and smaller profit in comparison with fast.

Therefore basic strategy at the exchange two. If you come to the exchange as to bank, to put money and to quietly wait for 3-4 years – it is necessary to gather a portfolio of shares of the companies interesting you. The big list that even bankruptcy of several of them was compensated by progress of the others is required. Besides, it is desirable that "list" automatically adapted not only on the course of day auction, but also monitored changes in the market. It is clear, that events jump too, and they jump quite chaotically. Of course, to each movement ex-post there will be an explanation, but here the movement of the prices if to look at it with eyes of the engineer is a Brownian motion.

The second strategy is a stock market game. It in something a casino: can carry, and can and is not present. But in our history we are concerned only that stock market game demands the mass conclusion of fast transactions robots (high frequency trading, HFT) when during couple of milliseconds all market can change. And different tricks here sea. For example, simplifying, possessing best reaction to the market has an opportunity to begin to sell securities, then when the others see it and will begin to buy them, to redeem them back, and then when "brakes" dootpravit the request for purchases (using data of millisecond prescription), to sell at the increased price.

In general, if you collected a portfolio instead of a contribution in bank – there is no special problem in IT risks.

Ok, will be enough to go to bat, I will go and I will gather a portfolio. Delov!

It is improbable that at you the optimal portfolio will turn out. Retail stock trade demands rather big input capital if you want to provide diversification.

Another matter when at you is from 150 thousand rubles to 2-3 million, and you rather well consider to understand that the bank rate is lower than the actual inflation (an exception – 2009), and money does not want to be lost. In this case the traditional way – to join mutual investment fund (mutual fund) and to consume events from a cluster together with other participants. About what it is bad and why already depart from mutual funds – in the previous post. If it is short – sometimes there is an impression that the mutual fund is created not for interests of investors and to support the specific companies of the owner of mutual fund.

Therefore there was such tool as ETF when instead of the owner of mutual fund the robot which check other robots from the different countries sits. In comparison with the private investor or the managing director at a short distance of ETF can be less profitable attachment, but in the long term (1-3 years and more) show the best results because to beat an index due to the choice of individual events very difficult. While operational risks are minimized, in differences from a bank deposit, naturally, market risks remain (growth and falling of cost).

We provide infrastructure for trade in these ETF in Russia.

There are parts:

I hope, it became slightly more clear to you that occurs at the exchange and what types of tools at it differ in.

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