交易手册：机构交易对市场的重要性

https://www.brookstradingcourse.com/how-to-trade-manual/institutional-trading/

机构交易对市场的重要性 Importance of institutional trading

我一直认为，在每个主要市场中，除非至少有一个机构愿意承担买入方，另一个机构愿意承担卖出方，否则这个市场不可能进行交易。我还假设双方都知道如何赚钱。这意味着几乎总有一种方法在任何时刻（买入或卖出）都可以获取利润。

I always assume that in every major market, no trade can take place unless there is at least one institution willing to take the buy side and another institution willing to take the sell side. I also assume that both know how to make money. This means that there is almost always a way to make money by buying or selling at any instant.

机构控制所有市场 Institutions control all markets

机构交易主宰了所有主要市场，个体交易者仅仅没有足够的力量来产生任何影响。尽管交易者可能认为他的订单推动了市场，但这种信念几乎总是错觉的。市场仅仅是因为一个或多个看空的机构和一个或多个看多的机构希望它发生变化而移动的，即使时间和成交量显示您的订单是唯一一个在该价格成交的，但市场的移动仍然是由一家或多家看跌机构和一家或多家看涨机构所主导。

这在股票市场尤其如此，许多机构会在暗池中交易大量的股票。在那里，他们可以在证劵交易所看不到的地方相互交易。然而，如果证劵交易所上的价格与暗池中的价格相比稍有变化，他们会迅速在交易所上进行交易。

时间和销售额上交易量很少并不意味着交易量低。实际上它可能很大，如果你所看到的价格与他们在暗池中交易的价格不同，那么这个交易量会迅速变得可见。

Institutional trading dominates all major markets and individual traders are simply not big enough to have any effect. Although a trader might believe that his order moved the market, that belief is almost always deluded. The market moved only because one or more bearish institutions and one or more bullish institutions wanted it to move, even though time and sales might show that your order was the only one filled at that price.

This is especially true of stocks where many institutions trade huge blocks of stock in dark pools. There, they can trade among themselves out of site of the exchanges. However, they will quickly take trades in an exchange if the price on the exchange moves even a little bit from where it is in the dark pool.

Just because there is very little volume on time and sales does not mean that the volume is low. It still can be huge, and it will quickly become visible if the price that you see deviates from the price that they are trading among themselves in their dark pools.

计算机主宰所有交易 Computers dominate all trading

交易者应该认识到，75％或更多的交易都是由计算机进行的。这种数学运算过于完美，速度通常很快，以至于没有其他可能性。每个tick都很重要，特别是在像Emini这样的大市场中。如果你花费大量时间研究市场，你可以看到每天发生的每个tick都有理由。

事实上，你可以在每个交易日的每个K线上找到一个值得考虑的合理交易。那些Emini中的单手订单或AAPL中的100股订单呢？我相信其中大部分是由进行各种形式的计算机化交易（包括高频交易）的计算机施加的。它们通常需要在交易中进行频繁的加减仓操作并对相关市场的仓位进行风险对冲。

举个例子，一个公司可能会在市场每下跌一个tick或一个点，或每3秒钟买进1个Emini合约。15分钟后，该公司可能已经买进了300份合约。当你观察时间和销售额时，每分钟会看到数百笔交易合约，每笔交易只有1个合约，那不是你我，乃至任何一个人交易的结果，而是机构交易，他们的计算机正在不断地买入或者卖出市场合约以赚取差价（哪怕是极小的利润），通过这种方式，很快机构就会持有数百个合约。

想想看，有些公司每天在多个市场上下达数百万个订单。分批买入交易意味着不止一次地进入，不管是以更好或更差的价格，而分批退出意味着分批卖出。他们采用了一种类似赌场的策略，每天进行大量的小交易，而每个小交易都会拥有小幅优势。这种策略每年可以带来数千万甚至数亿美元的利润。

Traders should also accept that 75% or more of all trading is being done by computers. The math is too perfect and the speed is often too fast for anything else to be true. Every tick is important, especially in huge markets like the Emini. If you spend a lot of time studying the market, you can see a reason for every tick that takes place during the day.

In fact, you can see a reasonable trade to consider on every bar during the day. What about all of those one lot orders in the Emini or the 100 share orders in AAPL? I believe that the majority of them are being placed by computers conducting various forms of computerized trading (including high frequency trading). They often involve scaling in or out of trades and hedging against positions in related markets.

For example, a firm might be buying 1 Emini contract as the market falls every 1 tick or 1 point, or every 3 seconds. After 15 minutes, that firm might have bought 300 contracts. When you watch time and sales and you see hundreds of trades every minute that are only 1 contract, that is not you and me. That is institutional trading where their computers are scaling into and out of positions that can quickly grow to hundreds of contracts.

Just think about it. There are some firms placing millions of orders a day across many markets. Scaling into a trade means to enter more than once, either at a better or worse price, and scaling out means to exit the trade in pieces. They are taking a casino approach, making a big number of small trades, each with a small edge. This can result in tens or even hundreds of millions of dollars in profits each year.

至少有一家机构在做你交易的对手方 An institution is probably taking the other side of your trade

尽管我提到的是“至少一家机构在做你交易的对手方”，但实际上可能有一群机构在你交易的对立面。它们的每一笔交易都进行了算法测试，并根据其风险、回报和概率的组合得出了能够使其高效盈利的最佳交易者方程。

每个交易者或机构都可能在追求交易更高的成功概率或更小的风险/更优秀的回报方面。然而，”鱼和熊掌不可兼得‘’，因为那将是一次完美的交易，没有人会扮演一个完美交易的对手方。那些追求交易更高成功率的机构通常会承担更多的风险和较低的收益，并且其利润比较风险来说相对较小。

举个例子，假设一个机构采用逐步加仓的方法进行交易，他们可能会在一段下跌趋势中不断做空并在价格上涨时卖出更多的股票。当市场证明他们的交易策略正确时，这种交易方式可以不断带来高概率的小额利润。但是，如果交易者在建立头寸时没有适当控制风险，当头寸变大且设置的止损价离当前价格越来越远时，可能会面临较高的风险。

与此同时，其他机构可能会采取相反的交易策略，即在该机构平仓获利退出的价格处买入股票。他们可能采用一种更偏向回报而不是风险和概率的交易策略，以期望获得更高的回报。无论机构的交易策略优先考虑的是风险、回报还是成功概率，都可以通过某种方式构建一个最佳的交易者方程并管理一个优良的交易策略。

Although I talk about “at least one institution,” I think of the opposite side as being made up of a pool of institutions. They all have tested their algorithms and concluded that their combination of risk, reward, and probability has a profitable Trader’s Equation.

Every trader or institution can have either good probability or good risk/reward. It is impossible to have both because that would be a perfect trade and no one would take the opposite side. An institution that likes high probability will have bad risk/reward. That usually means a profit that is small compared to its risk.

For example, they might short and sell more higher (scaling into their trade). When done correctly, this results in a high probability of a small profit. But, the risk can get large if the trader builds a big position and has a stop that is far away.

A different bear might take the opposite side of your trade (it would buy where you are selling out for a profit) by structuring a trade that favors reward at the expense of risk and probability. It does not matter whether an institution prioritizes risk, reward, or probability. There is always a way to structure and manage a winning trade.

机构都会在任何时候买入或者卖出以获取利润 Institutions can buy or sell at any instant and make money

理解机构交易重要的是要相信，在市场上任何时刻都存在着可以同时做多和做空的交易者方程，即使在最强劲的趋势中也是如此，这些方程式都可以带来正向的回报。

接受这一点的重要性在于，它让你不再局限于考虑单一的交易方向。你必须记住，在市场任何时刻，看涨和看跌双方都有机会获利。这意味着你可以在任何时刻进行买入或卖出操作并获得利润，只要你正确地构建交易者方程。

除了构建正确的交易者方程，你还需要进行足够多的交易。即使你输掉了大部分的交易，只要你的获胜的交易的利润足够大，它们就能够抵消你频繁的亏损交易，并带来正向回报。因此，在交易中积极地寻找机会并参与到足够多的交易中，是获得成功的关键。

好的，让我再试一下。这是一个需要一些努力才能理解的重要思路。市场比你想象的更加平衡。想象一下，你冒着10个tick（或20个、1000个tick）的风险去获得10个tick的回报。如果你的回报与风险相等，并且这个回报对你的交易时间框架来说合理，那么你应该始终假设在这95%的时候获胜的概率是在40%到60%之间。

然而，在其余的5%时间里，市场是处于强劲的突破行情中，牛或熊其中一方的胜率超过60%。这种情况通常只在任何图表上的5%的时间内出现。在这短暂的时间里，行情延续的概率通常高达70%左右。

It is very important to be comfortable believing that at every instant, there is a way to structure both a long and a short trade that have positive Trader’s Equations. This is true even in the strongest trends.

It is important to accept this because it frees you from only considering one direction. It forces you to remember that you are trading in a market where both the bulls and bears make money. This means that it is possible to either buy or sell at any instant and make money. That is, if you structure the trade correctly.

You also have to take enough trades. You can even lose on most of your trades if your winners are big enough since they will more than offset your frequent losers.

Here’s a final thought, but it takes some work to understand it. The market is much more balanced that what you might think. Think about risking 10 ticks (or 20, or 1,000) to make 10 ticks. If you are going for a reward that is equal to your risk, and the reward is not too big for the timeframe that you are trading, you should always assume that there is a 95% chance that the probability of winning is between 40 and 60%.

During the other 5% of the time, the probability is more than 60% for either the bulls or bears. That is during a strong breakout. Those are present during about 5% of the bars on any chart. During those brief times, the probability that the trend will continue far is often about 70%.