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中文题目An execution schedule reaches total size 11 using slices of sizes 1, 2, and 5, but the large 5-lot slice may be used at most once. Order of slices does not matter. How many schedules are possible?
打开 →The blow-up term is steeper, but the same convexity logic should still go through. Show that f(q) = 2 q^2 + 4/(1-q) is strictly convex on q<1.
打开 →A test block has 25 trading days. A signal generated on day t is executed on day t+1 and evaluated on the open-to-close return from day t+1 through day t+4. How many signals inside the block can be scored without the label running past the block end?
打开 →A schedule pays a quadratic cost but also faces a blow-up term as it nears a hard capacity cap. Show that f(q) = 1 q^2 + 2/(1-q) is strictly convex on q<1.
打开 →The cost couples size and trading time through a perspective form. Show that P(x,t)=x^2/t + 3 t is convex on the domain t>0.
打开 →Why is an execution problem incomplete if it models market impact but ignores alpha decay or urgency?
打开 →Why can a stock show a narrow quoted spread but still deliver poor execution quality to liquidity takers?
打开 →Why can quoted spread be a poor summary of true execution cost for a real institutional order?
打开 →live-trading · operations · oms · ems · order-lifecycle · execution-management · trading-system-architecture · vendor-vs-in-house
打开 →execution · benchmarks · vwap · twap · implementation-shortfall · tca · pov · schedule
打开 →中信 CITIC 算法交易部一位资深执行交易员，正在与一家中型量化私募的投资经理通电话。私募需要在收盘前 30 分钟清掉 100 万股 600519 贵州茅台。到达价 RMB 1800.00；距离收盘 30 分钟。投资经理要求订单完成。交易员冷静地解释：「直接打盘口市价单，意味着接下来 30 秒 100% 参与率， 250 bp 冲击。30 分钟内做 TWA...
打开 →OMS、EMS 与交易系统架构 某五因子多空股票私募在多策略平台回测夏普 1.8(扣除模型化成本)。周一以 5 亿美元名义本金上线、通过国信证券执行,中信证券 PB 提供融资。三十个交易日后,实盘夏普 0.4。这不是单一 bug —— 它是回测忽略的每一层运营基础设施合并的滑点:目标组合差分延迟到 OMS;OMS 合规闸门拒绝 20% 转入覆盖;EMS 切片...
打开 →交易所连接、FIX 协议与行情数据 09:20 上海,周一早上。一只新的多空股票策略今天 09:30 上线。报盘到 国信证券 主经纪商的 FIX 等价会话处于 LogonSent ,没有 Logon Accepted 回执。算法被堵在外面发不出报单。基金经理在微信群里追问怎么回事。运维工程师正在网关日志里找最近一次成功 Logon —— 生产侧出向序号 4,...
打开 →某周四 早上，上海 某 量化 私募 的 投决会。L1 L3 全部 走 完 的 5 日 动量 策略 摆 在 Confluence 上：事件驱动 引擎、十 项 真实性 清单 全 绿、deflated Sharpe 0.8、PBO 0.35。研究员 问 投资 总监：「什么时候 上 实盘？」投资 总监 不 回答 这 个 问题。她 连 问 四 个 反 问 题。 十 节...
打开 →周五下午一家 RMB 400 亿规模的多策略私募投资委员会。三个团队竞标资金配置。A 团队：US 大盘股动量纸面 Sharpe 1.6，年化换手 200%。B 团队：中证1000 小盘股统计套利纸面 Sharpe 2.4，年化换手 1000%。C 团队：低换手价值策略纸面 Sharpe 1.2，换手 50%。CIO 给每个团队问同一个问题：「拟上线 AUM ...
打开 →某私募在 CFFEX 张江 COLO 机房的交易负责人 09:45 巡视交易室，向策略组长问一个问题："如果我们做沪深300 ETF 510300.SH 的 mean reversion on mid 机器人因为 mid 算错而开始按 0.01 元发买单，它怎么在监管层来电话之前自己停下？"答案不在策略本身，而在策略外面的框架。每张订单到达 FIX 会话之前...
打开 →一家深圳私募的执行主管周一拿到两份报告：上周五的母单台账——A 股 38 张票、Q/ADV 0.5%–6%——和上季度的 TCA 报告。任务很具体：把今天的单子分到券商–算法组合上，周五再用新一周 TCA 揭示的东西更新分配规则。本课把前三课的算法机器变成生产协议——决策网格、参数旋钮、TCA 闭环、broker algo 轮盘。 2×2 算法选型决策网格（...
打开 →A signal is expected to decay within the next 20 minutes, and waiting is more expensive than crossing a bit more spread now. Should the schedule become more or less front-loaded?
打开 →A benchmarked portfolio must minimize tracking error to the official close, and the stock has deep closing-auction liquidity. Which venue or schedule component becomes especially attractive?
打开 →The NBBO is 99.98 bid / 100.02 ask, and a buyer-initiated trade prints at 100.015. What is the effective spread in price terms and in basis points of the prevailing midpoint?
打开 →The NBBO is 49.95 bid / 50.05 ask, and a seller-initiated trade prints at 49.97. What is the effective spread in price terms and in basis points of the prevailing midpoint?
打开 →A buy order benchmarks performance to the arrival price 24. It fills in slices 30000@24.03, 20000@24.06, and exchange/commission fees are 0.004 dollars per share. What is the implementation shortfall in dollars and in basis points versus arrival?
打开 →A sell order benchmarks performance to the arrival price 51.2. It fills in slices 25000@51.16, 15000@51.1, and exchange/commission fees are 0.003 dollars per share. What is the implementation shortfall in dollars and in basis points versus arrival?
打开 →A buy order benchmarks performance to the arrival price 18.5. It fills in slices 40000@18.52, 10000@18.57, and exchange/commission fees are 0.0025 dollars per share. What is the implementation shortfall in dollars and in basis points versus arrival?
打开 →A sell order benchmarks performance to the arrival price 76. It fills in slices 20000@75.95, 30000@75.9, and exchange/commission fees are 0.005 dollars per share. What is the implementation shortfall in dollars and in basis points versus arrival?
打开 →A buy order benchmarks performance to the arrival price 102.4. It fills in slices 10000@102.46, 15000@102.5, 5000@102.57, and exchange/commission fees are 0.004 dollars per share. What is the implementation shortfall in dollars and in basis points versus arrival?
打开 →You need to liquidate a medium-size position over several days with no urgent alpha and strong concern about footprint. Which scheduling style is the better default: high-POV aggression or a lower-participation passive schedule?
打开 →In a thin name, why might a trader impose a strict maximum participation rate even when the order is behind schedule?
打开 →A buy slice arrives when the mid is 50. Crossing the spread costs 0.02 dollars per share, temporary impact is 0.03, and permanent impact is estimated at 0.01. What are the expected average fill price and the post-trade mid immediately after the market digests the permanent impact
打开 →A sell slice arrives when the mid is 32.5. Crossing the spread costs 0.015 dollars per share, temporary impact is 0.025, and permanent impact is estimated at 0.008. What are the expected average fill price and the post-trade mid immediately after the market digests the permanent
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