{"id":1899,"date":"2022-08-05T19:03:44","date_gmt":"2022-08-05T11:03:44","guid":{"rendered":"https:\/\/www.quant.bsiot.cn\/?p=1899"},"modified":"2022-08-05T20:59:03","modified_gmt":"2022-08-05T12:59:03","slug":"%e8%bd%ac%e5%8f%91%ef%bc%9a%e9%83%a8%e5%88%86%e6%9c%9f%e8%b4%a7%e5%90%88%e7%ba%a6%e4%ba%a4%e6%98%93%e6%94%b6%e5%8f%96%e7%94%b3%e6%8a%a5%e8%b4%b9%e7%9a%84%e9%80%9a%e7%9f%a5","status":"publish","type":"post","link":"https:\/\/www.quant.bsiot.cn\/?p=1899","title":{"rendered":"\u8f6c\u53d1\uff1a<\u90d1\u4ea4\u6240>\u90e8\u5206\u671f\u8d27\u5408\u7ea6\u4ea4\u6613\u6536\u53d6\u7533\u62a5\u8d39\u7684\u901a\u77e5"},"content":{"rendered":"

\u90d1\u5546\u51fd\u30142022\u3015437\u53f7<\/p>\n

\u5404\u4f1a\u5458\u5355\u4f4d\uff1a<\/p>\n

\u6839\u636e\u300a\u90d1\u5dde\u5546\u54c1\u4ea4\u6613\u6240\u671f\u8d27\u7ed3\u7b97\u7ec6\u5219\u300b\u7b2c\u4e8c\u5341\u4e03\u6761\u89c4\u5b9a\uff0c\u7ecf\u7814\u7a76\u51b3\u5b9a\uff0c\u81ea2022\u5e748\u67084\u65e5\u5f53\u665a\u591c\u76d8\u4ea4\u6613\u65f6\u8d77\uff0c\u5bf9\u7532\u9187\u3001\u767d\u7cd6\u3001\u83dc\u6cb9\u3001\u83dc\u7c95\u3001\u77ed\u7ea4\u3001\u82b1\u751f\u671f\u8d27\u5408\u7ea6\u4ea4\u6613\u6536\u53d6\u7533\u62a5\u8d39\uff0c\u5e76\u5bf9PTA\u671f\u8d27\u5408\u7ea6\u7533\u62a5\u8d39\u6536\u8d39\u6807\u51c6\u8fdb\u884c\u8c03\u6574\uff0c\u5177\u4f53\u5982\u4e0b\uff1a<\/p>\n

\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
\n

\u54c1\u79cd<\/b><\/p>\n<\/td>\n

\n

\u4fe1\u606f\u91cf<\/b><\/p>\n<\/td>\n

\n

OTR<\/b>\u2264<\/b>2<\/b><\/p>\n<\/td>\n

\n

OTR<\/b>\uff1e<\/b>2<\/b><\/p>\n<\/td>\n<\/tr>\n

\n

\u7532\u9187\u671f\u8d27<\/p>\n<\/td>\n

\n

\u4fe1\u606f\u91cf\u22644000\u7b14<\/p>\n<\/td>\n

\n

0\u5143\/\u7b14<\/p>\n<\/td>\n

\n

0\u5143\/\u7b14<\/p>\n<\/td>\n<\/tr>\n

\n

4000\u7b14\uff1c\u4fe1\u606f\u91cf\u22648000\u7b14<\/p>\n<\/td>\n

\n

0\u5143\/\u7b14<\/p>\n<\/td>\n

\n

0.10\u5143\/\u7b14<\/p>\n<\/td>\n<\/tr>\n

\n

\u4fe1\u606f\u91cf\uff1e8000\u7b14<\/p>\n<\/td>\n

\n

1.00\u5143\/\u7b14<\/p>\n<\/td>\n

\n

2.00\u5143\/\u7b14<\/p>\n<\/td>\n<\/tr>\n

\n

\u767d\u7cd6\u671f\u8d27<\/p>\n<\/td>\n

\n

\u4fe1\u606f\u91cf\u22644000\u7b14<\/p>\n<\/td>\n

\n

0\u5143\/\u7b14<\/p>\n<\/td>\n

\n

0\u5143\/\u7b14<\/p>\n<\/td>\n<\/tr>\n

\n

4000\u7b14\uff1c\u4fe1\u606f\u91cf\u22648000\u7b14<\/p>\n<\/td>\n

\n

0\u5143\/\u7b14<\/p>\n<\/td>\n

\n

0.10\u5143\/\u7b14<\/p>\n<\/td>\n<\/tr>\n

\n

\u4fe1\u606f\u91cf\uff1e8000\u7b14<\/p>\n<\/td>\n

\n

1.00\u5143\/\u7b14<\/p>\n<\/td>\n

\n

2.50\u5143\/\u7b14<\/p>\n<\/td>\n<\/tr>\n

\n

\u83dc\u6cb9\u671f\u8d27<\/p>\n<\/td>\n

\n

\u4fe1\u606f\u91cf\u22644000\u7b14<\/p>\n<\/td>\n

\n

0\u5143\/\u7b14<\/p>\n<\/td>\n

\n

0\u5143\/\u7b14<\/p>\n<\/td>\n<\/tr>\n

\n

4000\u7b14\uff1c\u4fe1\u606f\u91cf\u22648000\u7b14<\/p>\n<\/td>\n

\n

0\u5143\/\u7b14<\/p>\n<\/td>\n

\n

0.10\u5143\/\u7b14<\/p>\n<\/td>\n<\/tr>\n

\n

\u4fe1\u606f\u91cf\uff1e8000\u7b14<\/p>\n<\/td>\n

\n

0.25\u5143\/\u7b14<\/p>\n<\/td>\n

\n

0.75\u5143\/\u7b14<\/p>\n<\/td>\n<\/tr>\n

\n

\u83dc\u7c95\u671f\u8d27<\/p>\n<\/td>\n

\n

\u4fe1\u606f\u91cf\u22644000\u7b14<\/p>\n<\/td>\n

\n

0\u5143\/\u7b14<\/p>\n<\/td>\n

\n

0\u5143\/\u7b14<\/p>\n<\/td>\n<\/tr>\n

\n

4000\u7b14\uff1c\u4fe1\u606f\u91cf\u22648000\u7b14<\/p>\n<\/td>\n

\n

0\u5143\/\u7b14<\/p>\n<\/td>\n

\n

0.10\u5143\/\u7b14<\/p>\n<\/td>\n<\/tr>\n

\n

\u4fe1\u606f\u91cf\uff1e8000\u7b14<\/p>\n<\/td>\n

\n

1.00\u5143\/\u7b14<\/p>\n<\/td>\n

\n

3.00\u5143\/\u7b14<\/p>\n<\/td>\n<\/tr>\n

\n

\u77ed\u7ea4\u671f\u8d27<\/p>\n<\/td>\n

\n

\u4fe1\u606f\u91cf\u22644000\u7b14<\/p>\n<\/td>\n

\n

0\u5143\/\u7b14<\/p>\n<\/td>\n

\n

0\u5143\/\u7b14<\/p>\n<\/td>\n<\/tr>\n

\n

4000\u7b14\uff1c\u4fe1\u606f\u91cf\u22648000\u7b14<\/p>\n<\/td>\n

\n

0\u5143\/\u7b14<\/p>\n<\/td>\n

\n

0.10\u5143\/\u7b14<\/p>\n<\/td>\n<\/tr>\n

\n

\u4fe1\u606f\u91cf\uff1e8000\u7b14<\/p>\n<\/td>\n

\n

1.00\u5143\/\u7b14<\/p>\n<\/td>\n

\n

2.00\u5143\/\u7b14<\/p>\n<\/td>\n<\/tr>\n

\n

\u82b1\u751f\u671f\u8d27<\/p>\n<\/td>\n

\n

\u4fe1\u606f\u91cf\u22644000\u7b14<\/p>\n<\/td>\n

\n

0\u5143\/\u7b14<\/p>\n<\/td>\n

\n

0\u5143\/\u7b14<\/p>\n<\/td>\n<\/tr>\n

\n

4000\u7b14\uff1c\u4fe1\u606f\u91cf\u22648000\u7b14<\/p>\n<\/td>\n

\n

0\u5143\/\u7b14<\/p>\n<\/td>\n

\n

0.10\u5143\/\u7b14<\/p>\n<\/td>\n<\/tr>\n

\n

\u4fe1\u606f\u91cf\uff1e8000\u7b14<\/p>\n<\/td>\n

\n

1.00\u5143\/\u7b14<\/p>\n<\/td>\n

\n

4.50\u5143\/\u7b14<\/p>\n<\/td>\n<\/tr>\n

\n

PTA\u671f\u8d27<\/p>\n<\/td>\n

\n

\u4fe1\u606f\u91cf\u22644000\u7b14<\/p>\n<\/td>\n

\n

0\u5143\/\u7b14<\/p>\n<\/td>\n

\n

0\u5143\/\u7b14<\/p>\n<\/td>\n<\/tr>\n

\n

4000\u7b14\uff1c\u4fe1\u606f\u91cf\u22648000\u7b14<\/p>\n<\/td>\n

\n

0\u5143\/\u7b14<\/p>\n<\/td>\n

\n

0.10\u5143\/\u7b14<\/p>\n<\/td>\n<\/tr>\n

\n

8000\u7b14\uff1c\u4fe1\u606f\u91cf\u226420000\u7b14<\/p>\n<\/td>\n

\n

1.00\u5143\/\u7b14<\/p>\n<\/td>\n

\n

4.00\u5143\/\u7b14<\/p>\n<\/td>\n<\/tr>\n

\n

\u4fe1\u606f\u91cf\uff1e20000\u7b14<\/p>\n<\/td>\n

\n

10.00\u5143\/\u7b14<\/p>\n<\/td>\n

\n

40.00\u5143\/\u7b14<\/p>\n<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/div>\n

\u7279\u6b64\u901a\u77e5\u3002<\/p>\n

 <\/p>\n

\u9644\u4ef6\uff1a\u7533\u62a5\u8d39\u8ba1\u8d39\u8bf4\u660e<\/p>\n

\u9644 \u00a0\u4ef6<\/p>\n

\u7533\u62a5\u8d39\u8ba1\u8d39\u8bf4\u660e<\/span><\/p>\n

\u4e00\u3001\u9002\u7528\u5bf9\u8c61<\/p>\n

\u5728\u5b9e\u65bd\u7533\u62a5\u6536\u8d39\u7684\u54c1\u79cd\u4e0a\uff0c\u6bcf\u65e5\u5355\u5408\u7ea6\u4fe1\u606f\u91cf\u8fbe\u5230\u4e00\u5b9a\u6807\u51c6\u7684\u5ba2\u6237\u6216\u975e\u671f\u8d27\u516c\u53f8\u4f1a\u5458<\/strong><\/span>\u3002\u5176\u4e2d\uff0c\u505a\u5e02\u5546\u505a\u5e02\u4ea4\u6613\u514d\u6536\u7533\u62a5\u8d39\u3002<\/p>\n

\u4e8c\u3001\u6536\u8d39\u516c\u5f0f<\/p>\n

\u7533\u62a5\u8d39\u6839\u636e\u5ba2\u6237\u6216\u975e\u671f\u8d27\u516c\u53f8\u4f1a\u5458\u5728\u5408\u7ea6\u4e0a\u7684\u62a5\u5355\u6210\u4ea4\u6bd4\uff08Order to Trade Ratio\uff0cOTR\uff09\u6240\u5728\u533a\u95f4\u4ee5\u53ca\u4fe1\u606f\u91cf\u5206\u68af\u5ea6\u8ba1\u7b97\uff0c\u6309\u65e5\u6536\u53d6\u3002<\/span><\/strong><\/p>\n

\u5ba2\u6237\u6216\u975e\u671f\u8d27\u516c\u53f8\u4f1a\u5458\u5728\u67d0\u4e2a\u5408\u7ea6\u4e0a\u7684\u7533\u62a5\u8d39=\u03a3(\u5ba2\u6237\u6216\u975e\u671f\u8d27\u516c\u53f8\u4f1a\u5458\u5728\u8be5\u5408\u7ea6\u4e0a\u5404\u6863\u4f4d\u7684\u4fe1\u606f\u91cf\u00d7\u76f8\u5e94\u8d39\u7387)<\/p>\n

\u5176\u4e2d\uff0c\u4fe1\u606f\u91cf=\u62a5\u5355\u3001\u64a4\u5355\u7b49\u4ea4\u6613\u6307\u4ee4\u7b14\u6570\u4e4b\u548c<\/strong><\/span>\uff1b<\/p>\n

\u62a5\u5355\u6210\u4ea4\u6bd4\uff08OTR\uff09=\uff08\u4fe1\u606f\u91cf\/\u6709\u6210\u4ea4\u7684\u5b9a\u5355\u7b14\u6570\uff09- 1<\/strong><\/span>\u3002<\/p>\n

\u82e5\u5ba2\u6237\u6216\u975e\u671f\u8d27\u516c\u53f8\u4f1a\u5458\u67d0\u65e5\u5728\u67d0\u5408\u7ea6\u4e0a\u6709\u4fe1\u606f\u91cf\u4f46\u65e0\u6210\u4ea4\uff0c\u5219\u5f53\u65e5\u5728\u8be5\u5408\u7ea6\u4e0a\u5176\u62a5\u5355\u6210\u4ea4\u6bd4\u89c6\u4e3a\u5927\u4e8e2<\/strong><\/span>\u3002<\/p>\n

\u4e09\u3001\u4fe1\u606f\u91cf\u8ba1\u7b97<\/p>\n

\u6709\u6210\u4ea4\u7684\u5b9a\u5355\u7b14\u6570\uff1a<\/strong>\u82e5\u67d0\u7b14\u5b9a\u5355\u90e8\u5206\u6216\u5168\u90e8\u6210\u4ea4\uff0c\u5219\u8be5\u7b14\u5b9a\u5355\u8ba1\u4e3a1\u7b14\u6210\u4ea4\uff0c1\u7b14\u5b9a\u5355\u82e5\u5206\u591a\u6b21\u6210\u4ea4\u4e0d\u91cd\u590d\u7edf\u8ba1\u3002<\/p>\n

FAK\/FOK<\/strong>\u5b9a\u5355\uff1a<\/strong>\u82e5\u5168\u90e8\u6210\u4ea4\u4ec5\u8ba11\u7b14\u62a5\u5355\u7b14\u6570\uff1b\u82e5\u672a\u6210\u4ea4\u6216\u672a\u5168\u90e8\u6210\u4ea4\u800c\u4ea7\u751f\u64a4\u5355\uff0c\u5219\u8ba11\u7b14\u62a5\u5355\u7b14\u6570\u548c1\u7b14\u64a4\u5355\u7b14\u6570\u3002<\/p>\n

\u5e02\u4ef7\u5355\uff1a<\/strong>\u82e5\u5168\u90e8\u6210\u4ea4\u4ec5\u8ba11\u7b14\u62a5\u5355\u7b14\u6570\uff1b\u82e5\u672a\u6210\u4ea4\u6216\u672a\u5168\u90e8\u6210\u4ea4\u800c\u4ea7\u751f\u64a4\u5355\uff0c\u5219\u8ba11\u7b14\u62a5\u5355\u7b14\u6570\u548c1\u7b14\u64a4\u5355\u7b14\u6570\u3002<\/p>\n

\u7ec4\u5408\u5b9a\u5355\uff1a<\/strong>\u7ec4\u5408\u5b9a\u5355\u7684\u5404\u817f\u5408\u7ea6\u4fe1\u606f\u91cf\u5206\u522b\u8ba1\u5165\u5404\u817f\u5408\u7ea6\u4e0a\u3002<\/p>\n

\u5f3a\u884c\u5e73\u4ed3\u5b9a\u5355<\/strong>\uff1a\u5747\u8ba1\u5165\u4fe1\u606f\u91cf\u3002<\/p>\n

\u5f3a\u5236\u51cf\u4ed3\u5b9a\u5355<\/strong>\uff1a\u5747\u4e0d\u8ba1\u5165\u4fe1\u606f\u91cf\u3002<\/p>\n

\u5bf9\u4e8e\u540c\u4e00\u5ba2\u6237\u5728\u4e0d\u540c\u671f\u8d27\u516c\u53f8\u4f1a\u5458\u5904\u5f00\u6709\u591a\u4e2a\u4ea4\u6613\u7f16\u7801\u7684\uff0c\u6216\u8005\u5177\u6709\u5b9e\u9645\u63a7\u5236\u5173\u7cfb\u7684\u5ba2\u6237\u6216\u975e\u671f\u8d27\u516c\u53f8\u4f1a\u5458\uff0c<\/p>\n

\u4ea4\u6613\u6240\u5bf9\u5176\u62a5\u5355\u7b14\u6570\u3001\u64a4\u5355\u7b14\u6570\u3001\u4fe1\u606f\u91cf\u3001\u6709\u6210\u4ea4\u7684\u5b9a\u5355\u7b14\u6570\u3001OTR\u7b49\u6307\u6807\u5408\u5e76\u8ba1\u7b97\u3002<\/strong><\/span><\/p>\n

\u56db\u3001\u6536\u53d6\u65b9\u5f0f<\/p>\n

\u5f53\u65e5\u7ed3\u7b97\u65f6\uff0c\u7533\u62a5\u8d39\u4ece\u4f1a\u5458\u7ed3\u7b97\u51c6\u5907\u91d1\u4e2d\u6263\u5212\u3002<\/p>\n

\u5bf9\u4e8e\u5177\u6709\u5b9e\u9645\u63a7\u5236\u5173\u7cfb\u7684\u5ba2\u6237\u6216\u975e\u671f\u8d27\u516c\u53f8\u4f1a\u5458\uff0c\u6839\u636e\u7533\u62a5\u8d39\u8ba1\u7b97\u65b9\u6cd5\u5408\u5e76\u8ba1\u7b97\u7533\u62a5\u8d39\uff0c\u5e76\u6309\u7167\u5b9e\u9645\u63a7\u5236\u5173\u7cfb\u8d26\u6237\u7ec4\u4e0b\u5404\u5ba2\u6237\u6216\u975e\u671f\u8d27\u516c\u53f8\u4f1a\u5458\u7684\u4fe1\u606f\u91cf\u6309\u6bd4\u4f8b\u786e\u5b9a\u76f8\u5e94\u7684\u7533\u62a5\u8d39\u3002<\/p>\n

\u82e5\u5ba2\u6237\u6216\u975e\u671f\u8d27\u516c\u53f8\u4f1a\u5458\u96b6\u5c5e\u4e8e\u591a\u4e2a\u5b9e\u9645\u63a7\u5236\u5173\u7cfb\u8d26\u6237\u7ec4\uff0c\u5219\u5148\u8ba1\u7b97\u5176\u5728\u5404\u5b9e\u9645\u63a7\u5236\u5173\u7cfb\u8d26\u6237\u7ec4\u4e0b\u5e94\u4ed8\u7684\u7533\u62a5\u8d39\uff0c\u6700\u540e\u6309\u6700\u5927\u503c\u539f\u5219\u786e\u5b9a\u5176\u5e94\u4ed8\u7684\u7533\u62a5\u8d39\u3002<\/p>\n

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