Group 1: Market Microstructure and Algorithmic Trading - Algorithmic trading is closely linked to market microstructure, which serves as the core logic for trading strategies and is influenced by the proliferation of algorithmic trading[1] - Key dimensions of market microstructure include liquidity, volatility, investor structure, and regulatory frameworks[2][5] Group 2: Liquidity Metrics - Liquidity is a critical factor affecting trading costs and is assessed through metrics such as TwSpread (relative spread), QuoteSize (market depth), and AccTurnover (transaction amount)[2][12] - TwSpread measures the relative price difference, with lower values indicating better liquidity and lower trading costs[14] - QuoteSize reflects the average number of buy and sell orders in the order book, with larger sizes indicating stronger liquidity[23] Group 3: Volatility Metrics - Volatility is an important parameter in algorithmic trading strategy design, assessed through TickPeriod (the average time between price changes) and ValidVolatility (effective price fluctuation)[3][39] - A smaller TickPeriod indicates higher volatility, while ValidVolatility increases with greater trading activity and price fluctuations[43][51] Group 4: Investor Structure - The structure of investors significantly impacts market microstructure, with metrics like AucVolRatioOpen and AucVolRatioClose indicating the proportion of trading volume during opening and closing auctions[4][62] - Higher auction volume ratios suggest greater participation from institutional investors, which can amplify market impacts during significant events[64] Group 5: Regulatory Impact - Regulatory frameworks play a crucial role in shaping market microstructure and must be accurately implemented in algorithmic trading systems[5][68] - Recent regulations have aimed to reduce transaction costs, such as the reduction of trading fees by 30% to 50% in 2023, which positively affects market activity[69]

Investment Rating - The industry is rated as "Positive" for the next 12 months, expecting a relative increase of over 10% compared to the CSI 300 index [22]. Core Insights - In February, excavator sales reached approximately 19,300 units, representing a year-on-year growth of 52.80% [7][10]. - The sales of loaders in February were 8,730 units, with a year-on-year increase of 34.40% [8]. - The average working hours for major construction machinery products in February were 46.4 hours, showing a significant year-on-year growth of 70.3% [8]. - The recovery in excavator sales is attributed to a low base in the same period last year and ongoing equipment renewal policies [10]. - The government work report emphasizes stabilizing the real estate market, which is expected to drive demand for construction machinery through urban renewal and renovation of old residential areas [10]. Summary by Sections Industry Overview - The mechanical equipment industry has shown a strong recovery, with significant increases in sales figures for excavators and loaders [7][10]. - The industry is expected to benefit from improved domestic funding and a rebound in global demand [10]. Company Recommendations - The report maintains "Buy" ratings for Sany Heavy Industry (600031), Zoomlion Heavy Industry (000157), Hengli Hydraulic (601100), and CRRC Corporation (601766) [10]. Financial Performance - Yunnan Aluminum Co., as a "green pioneer" in the aluminum industry, reported a net profit of 3.82 billion yuan for the first three quarters of 2024, marking a year-on-year increase of 52.49% [11]. - The company is expected to benefit from lower raw material costs and a favorable water supply situation in Yunnan, which will enhance its production capacity and profitability [11][12].