交易手冊：機構交易對市場的重要性
https://www.brookstradingcourse.com/how-to-trade-manual/institutional-trading/
機構交易對市場的重要性 Importance of institutional trading
我一直認為，在每個主要市場中，除非至少有一個機構願意承擔買入方，另一個機構願意承擔賣出方，否則這個市場不可能進行交易。我還假設雙方都知道如何賺錢。這意味着幾乎總有一種方法在任何時刻（買入或賣出）都可以獲取利潤。
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.
機構控制所有市場 Institutions control all markets
機構交易主宰了所有主要市場，個體交易者[1]僅僅沒有足夠的力量來產生任何影響。儘管交易者可能認為他的訂單推動了市場，但這種信念幾乎總是錯覺的。市場僅僅是因為一個或多個看空的機構和一個或多個看多的機構希望它發生變化而移動的，即使時間和成交量顯示您的訂單是唯一一個在該價格成交的，但市場的移動仍然是由一家或多家看跌機構和一家或多家看漲機構所主導。
這在股票市場尤其如此，許多機構會在暗池中交易大量的股票。在那裏，他們可以在證劵交易所看不到的地方相互交易。然而，如果證劵交易所上的價格與暗池中的價格相比稍有變化，他們會迅速在交易所上進行交易。
時間和銷售額上交易量很少並不意味着交易量低。實際上它可能很大，如果你所看到的價格與他們在暗池中交易的價格不同，那麼這個交易量會迅速變得可見。
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.
計算機主宰所有交易 Computers dominate all trading
交易者應該認識到，75％或更多的交易都是由計算機進行的。這種數學運算過於完美，速度通常很快，以至於沒有其他可能性。每個tick都很重要，特別是在像Emini[2]這樣的大市場中。如果你花費大量時間研究市場，你可以看到每天發生的每個tick都有理由。
事實上，你可以在每個交易日的每個K線上找到一個值得考慮的合理交易。那些Emini中的單手訂單或AAPL中的100股訂單呢？我相信其中大部分是由進行各種形式的計算機化交易（包括高頻交易）的計算機施加的。它們通常需要在交易中進行頻繁的加減倉操作並對相關市場的倉位進行風險對沖。
舉個例子，一個公司可能會在市場每下跌一個tick或一個點，或每3秒鐘買進1個Emini合約。15分鐘後，該公司可能已經買進了300份合約。當你觀察時間和銷售額時，每分鐘會看到數百筆交易合約，每筆交易只有1個合約，那不是你我，乃至任何一個人交易的結果，而是機構交易，他們的計算機正在不斷地買入或者賣出市場合約以賺取差價（哪怕是極小的利潤），通過這種方式，很快機構就會持有數百個合約。
想想看，有些公司每天在多個市場上下達數百萬個訂單。分批買入交易意味着不止一次地進入，不管是以更好或更差的價格，而分批退出意味着分批賣出。他們採用了一種類似賭場的策略，每天進行大量的小交易，而每個小交易都會擁有小幅優勢。這種策略每年可以帶來數千萬甚至數億美元的利潤。
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.
至少有一家機構在做你交易的對手方 An institution is probably taking the other side of your trade
儘管我提到的是「至少一家機構在做你交易的對手方」，但實際上可能有一群機構在你交易的對立面。它們的每一筆交易都進行了算法測試，並根據其風險、回報和概率的組合得出了能夠使其高效盈利的最佳交易者方程。
每個交易者或機構都可能在追求交易更高的成功概率或更小的風險/更優秀的回報方面。然而，」魚和熊掌不可兼得『』，因為那將是一次完美的交易，沒有人會扮演一個完美交易的對手方。那些追求交易更高成功率的機構通常會承擔更多的風險和較低的收益，並且其利潤比較風險來說相對較小。
舉個例子，假設一個機構採用逐步加倉的方法進行交易，他們可能會在一段下跌趨勢中不斷做空並在價格上漲時賣出更多的股票。當市場證明他們的交易策略正確時，這種交易方式可以不斷帶來高概率的小額利潤。但是，如果交易者在建立頭寸時沒有適當控制風險，當頭寸變大且設置的止損價離當前價格越來越遠時，可能會面臨較高的風險。
與此同時，其他機構可能會採取相反的交易策略，即在該機構平倉獲利退出的價格處買入股票。他們可能採用一種更偏向回報而不是風險和概率的交易策略，以期望獲得更高的回報。無論機構的交易策略優先考慮的是風險、回報還是成功概率，都可以通過某種方式構建一個最佳的交易者方程並管理一個優良的交易策略。
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.
機構都會在任何時候買入或者賣出以獲取利潤 Institutions can buy or sell at any instant and make money
理解機構交易重要的是要相信，在市場上任何時刻都存在着可以同時做多和做空的交易者方程，即使在最強勁的趨勢中也是如此，這些方程式都可以帶來正向的回報。
接受這一點的重要性在於，它讓你不再局限於考慮單一的交易方向。你必須記住，在市場任何時刻，看漲和看跌雙方都有機會獲利。這意味着你可以在任何時刻進行買入或賣出操作並獲得利潤，只要你正確地構建交易者方程。
除了構建正確的交易者方程，你還需要進行足夠多的交易。即使你輸掉了大部分的交易，只要你的獲勝的交易的利潤足夠大，它們就能夠抵消你頻繁的虧損交易，並帶來正向回報。因此，在交易中積極地尋找機會並參與到足夠多的交易中，是獲得成功的關鍵。
好的，讓我再試一下。[3]這是一個需要一些努力才能理解的重要思路。市場比你想像的更加平衡。想像一下，你冒着10個tick（或20個、1000個tick）的風險去獲得10個tick的回報。如果你的回報與風險相等，並且這個回報對你的交易時間框架來說合理，那麼你應該始終假設在這95%的時候獲勝的概率是在40%到60%之間。[4]
然而，在其餘的5%時間裏，市場是處於強勁的突破行情中，牛或熊[5]其中一方的勝率超過60%。這種情況通常只在任何圖表上的5%的時間內出現。在這短暫的時間裏，行情延續的概率通常高達70%左右。[6]
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%.