Investment transaction management

1. The trading mechanism of the stock market

1.1. Quotation drives the market , Command driven market , Broker market

1.1.1. Quotation drives the market

         Market maker , It is usually undertaken by a securities investment legal person with certain strength and reputation . The buyer and the seller deal directly with the market maker . When receiving an offer from an investor to sell a security , Market makers buy with their own funds ; When receiving an offer from an investor to buy a security , Market makers sell their own securities .

         Market makers are divided into ：

        1. Specific market makers

         A stock is a market maker

        2. Diversified market makers

         There are many market makers in one security

1.1.2. Command driven market

         The buyer gives the purchase order , The seller gives a sell order .

         Brokers aggregate transactions into trading systems . The trading system matches trading orders according to trading rules , Until completion .

        1. Price first principle

         Those with high purchase price are preferred , Low selling price is preferred

        2. Time first principle

        When the price is the same, the time is preferred

        In certain circumstances , And the principle of maximum trading volume .

        

        1, Market order

        2. Tag order

                1. Limit order

                Limit order , Limit order .

                Buy with a limit ： When the stock price reaches or falls below the target price , Executive buy .

                Sell at a limited price ： When the company's stock price rises to or above the target price , Execute sell

                2. Stop loss order

                When the stock price reaches or falls below the target price , Sell in time

                Buy at or above a certain price , Close the position when the specified price is reached .

        1.A, Intend to 33.80 purchase 18 hand .

        Seller , The lowest selling price is 33.80, In this regard, the seller , Can be satisfied by the buyer . Immediately 33.80 Clinch a deal . Buy the seller's 18 hand .

        2.B, Intend to 33.81 purchase 18 hand

        Seller , The lowest selling price is 33.80, In this regard, the seller , Can be satisfied by the buyer , Immediately 33.80 Clinch a deal . Buy the seller's 18 hand .

        3.C, Intend to 33.78, sell 20 hand .

        The buyer , Maximum bid price 33.79 Top priority . offer 33.79 The buyer of , Can be satisfied by the seller . Selling price 33.79, sell 12 hand . The remaining 8 hand . At the purchase price 33.78 Clinch a deal .

       

         When you sell , Just look at the buyer . After ranking each buyer , Purchase in turn , Until there is no hand to buy .

        When buying , Just look at the seller . Buy a seller to sort , Sell coarse grains in turn . Until there is no hand to sell . 

        Bid for your role , Just provide a threshold . The actual value is from the other side .

1.1.3. Broker market

        To facilitate a transaction , Get commission .

1.2. Market makers and brokers

1.3. Margin trading

1.3.1. Margin trading Overview

        margin , Let investors borrow money or securities from securities brokers .

        The self owned funds or securities used by investors for investment are called margin , The margin divided by the total value of the securities is the margin rate .

1.3.2. Short selling

        Investors own funds 15000 element . Liquor and Spirits 150 element / stocks .

        1. The margin for margin trading and securities lending stipulated by Shanghai Stock Exchange shall not be less than 50%

        2. Maintain the minimum guarantee ratio 130%, Maintain the guarantee ratio =( cash + Market value of securities in the account )/( When financing, buy + The number of securities sold by short selling * Market price + Interest and expenses )

        3. Maximum time limit 6 Months

        4. Annual interest rate 8.6%

        financing 15000, purchase 200 stocks . If the stock price drops to 120, Maintain the guarantee ratio as ：（120*200）/15000 = 160%. Continue to fall to 97.5, Maintain the guarantee ratio (97.5*200)/15000 = 130%

        If it continues to decline , Securities companies will require investors to provide additional guarantees within two trading days , After addition, the guarantee proportion shall not be less than 150%. Do not add , Securities companies take compulsory closing positions , Sell investors at market prices 200 Stock .

        After half a year , Price of stock 180. Yield ：

        (180*200 - 30000 - 15000 * 4.3%)/15000 = 35.7%

        After half a year , Price of stock 105

        (105*200 - 30000 - 15000 * 4.3%)/15000 = -64.3%

1.3.3. Short selling

        Investors can borrow a certain amount of securities from securities companies to sell . When the price of a security falls , Then buy and return . The proceeds from the sale of securities lending shall be paid in addition to the purchase of securities , Cannot be used for other purposes .

2. Transaction execution

2.1. Best execution

        CFA The Association defines best execution as a company 【 Including the buyer and the seller 】 Within the specified investment objectives and restrictions , The trading process used to maximize the value of the client's portfolio .        

        CFA Put forward the implementation framework of the best execution ： The process , Disclosure , Record .

2.2. Transaction costs

2.2.1. Explicit cost

        Expenses not included in the transaction price . Brokerage commission , Taxation , Exchange fees / Clearing house fees .

        Investors trade on the exchange through securities brokerage companies , Commission is paid to the broker upon completion of the transaction .

        China's stock exchanges collect securities transaction handling fees from investors , supervision fee , Stamp duty . The handling fee is the fee paid by the securities firm to the exchange , The supervision fee is collected on behalf of the regulatory authority , Stamp duty is collected on behalf of the tax authorities .

        Stamp duty is , After the stock transaction , The tax levied on the investors of the buyer and the seller at the prescribed tax rate , Is an important part of transaction costs .A Share stamp duty , Charge only when selling shares , The tax rate is one thousandth .

        After the completion of securities trading, a certain fee shall be paid to the securities registration and settlement institution , It is called transfer fee . Fees charged by trading technology suppliers .

2.2.2. Hidden cost

        Included in the transaction price , Additional expenses resulting from specific transactions .        

        1. Bid ask spread

        Current lowest selling price , The difference between the maximum purchase price

        2. Impact costs

        The difference between the market price formed after the trading order is issued and the possible market price not issued .

        3. Opportunity cost

        Traders bide their time .

        When the transaction execution speed is fast , Small opportunity cost , The impact cost is large . When the transaction execution speed is slow , contrary .

        4. Hedging expenses

        Institutional investors adjust their portfolios on a large scale , It takes a long time . The manager can use derivatives to hedge risks in the conversion . Bring hedging expenses .

2.2.3. Implementation gap