证券研究报告 撤单视角下的算法交易识别与Alpha捕捉 西部证券研发中心 2025年9月12日 分析师 | 冯佳睿 S0800524040008 邮箱地址：fengjiarui@xbmail.com.cn 联系人 | 张逸飞 邮箱地址：zhangyifei@xbmail.com.cn 机密和专有 未经西部证券许可，任何对此资料的使用严格禁止 主要结论 本文聚焦下单-撤单时间差这一特殊的订单薄特征，挖掘算法交易驱动的订单带来的alpha。 【报告亮点】 【主要逻辑】 风险提示：数据来源第三方，或有遗漏、滞后、误差；本报告使用历史数据测算完成，存在历史统计规律失效风险；模型假设或与实际市场情况存在 差异；市场风格变化风险：市场投资风格可能发生变化，影响当前因子的有效性。 资料来源：Wind，西部证券研发中心 请仔细阅读尾部的免责声明 2 • 通过下单-撤单时间差的视角，对算法交易驱动的撤单进行识别与交易逻辑分析。 • 构建的算法交易买单撤单占比（BABR）与算法交易买卖撤单熵（ACE）因子具有较强选股效果。 • 下单-撤单时间差分布呈现脉冲式集中，集中的时间点可能代表了算法交易驱动的撤单行为。统计这类算法交易撤单 ...

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