Group 1: Company Analysis - Dongfang Tieta (002545.SZ) - The company is expected to achieve net profits of 1.12 billion, 1.31 billion, and 1.60 billion yuan for the years 2025-2027, representing year-on-year growth of +98.43%, +17.16%, and +21.99% respectively [10][12] - The production of potassium chloride and phosphate projects is anticipated to drive significant revenue growth, with a target price of 17.1 yuan based on a 19x PE valuation for 2025 [10][11] - Concerns about potential oversupply in the potassium chloride and phosphate markets are mitigated by projections indicating a supply gap until 2028, suggesting sustained industry high profitability [10][11] Group 2: Company Analysis - Jinkong Coal Industry (601001.SH) - The company is projected to achieve net profits of 2.06 billion, 2.39 billion, and 2.80 billion yuan for 2025-2027, with EPS of 1.23, 1.43, and 1.68 yuan, reflecting a year-on-year growth of -26.58%, +15.81%, and +17.43% respectively [14][15] - The target price is set at 15.23 yuan per share, based on a combination of absolute and relative valuation methods [14][15] - The company is expected to maintain stable coal prices in the range of 700-800 yuan per ton, supported by a balanced supply-demand scenario [14][15] Group 3: Industry Analysis - Financial Data - The financial data for August indicates a decline in loan growth, with new loans amounting to 590 billion yuan, down from 900 billion yuan year-on-year [17][18] - The total social financing (TSF) increased by 2.57 trillion yuan, lower than the previous year's 3 trillion yuan, reflecting weak credit demand [17][18] - M2 growth remained steady at 8.8%, while M1 growth accelerated to 6%, indicating a shift in deposit behavior towards equity markets [17][18] Group 4: Industry Analysis - Public Fund Market - The public fund market saw a significant increase in the total scale of non-monetary funds, reaching 10.2 trillion yuan, up 6.9% from the previous half [20][21] - Equity fund holdings increased by 5.9% to 5.14 trillion yuan, with stock index funds growing by 14.6% to 1.95 trillion yuan [20][21] - The market share of banks, brokers, and third-party institutions in equity funds was 26.2%, 17.2%, and 19.3% respectively, indicating a slight decline in market share for banks and brokers [20][21]

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 ...

Core Viewpoint - The article discusses the potential challenges and risks facing the U.S. stock market as it enters September, historically known for its volatility and downturns, particularly for the S&P 500 index, which has a 56% probability of decline in September based on historical data [2][4][6]. Group 1: Market Trends and Historical Data - The S&P 500 index has experienced declines in September six times over the past ten years, with an average drop of 1.93%, marking it as the worst month historically [5]. - Historical data indicates that the average decline in September is 1.17%, with a higher probability of 58% during the first year of a presidential term [2][5]. Group 2: Current Market Conditions - Recent market behavior shows a rotation where previously strong sectors, particularly those related to artificial intelligence, are now underperforming, with Nvidia's stock dropping 3.4% and Dell Technologies falling approximately 8.9% due to weak profit forecasts [8]. - The S&P 500 index has surged 17% since early May, leading to concerns about overvaluation, with forward P/E ratios nearing levels seen during the dot-com bubble [9]. Group 3: Investor Sentiment and Actions - Hedge funds have increased their stock holdings to the 80th percentile, indicating potential overexposure, which could lead to selling pressure during portfolio rebalancing at the end of September [10]. - Retail investor activity has shown signs of slowing down after a strong performance in June and July, with September typically being a low point for retail participation [10]. Group 4: Economic Indicators and Federal Reserve Actions - Upcoming macroeconomic events, including non-farm payroll reports and inflation data, are expected to significantly influence market direction, alongside anticipated monetary policy decisions from the Federal Reserve [6]. - The yield curve has shown significant changes, with the difference between two-year and 30-year U.S. Treasury yields reaching its highest level since early 2022, which could disrupt the stock market [6]. Group 5: Volatility and Market Risks - September and October are historically associated with increased volatility, with the VIX index typically averaging around 20, while it recently closed at 15.36, indicating a potential underestimation of risk [12]. - There is a growing caution among traders, as evidenced by increased hedging activities for September and October, reflecting concerns about short-term downside risks [17].

Group 1 - Global trade outlook has worsened, with WTO reducing global goods trade growth forecast from 2% to -0.2% and IMF lowering global economic growth prediction from 3.3% to 2.8%, indicating rising stagflation risks [1] - Central bank policies are diverging, with the Federal Reserve maintaining rates while European central banks are cutting rates to combat recession pressures, leading to increased market uncertainty and heightened risk aversion [1] Group 2 - Investors need flexible and secure trading platforms to navigate the complex financial market environment, emphasizing the importance of technology and compliance in building risk management frameworks [3] - AC Capital Markets (ACCM) offers a comprehensive asset coverage and a dual-direction trading mechanism, allowing investors to diversify risks and enhance returns through various products including forex, precious metals, indices, and commodities [4] - ACCM supports a dual-direction profit model, enabling investors to profit from both rising and falling markets, thus providing opportunities regardless of market conditions [4] Group 3 - ACCM leverages cutting-edge financial trading technology to enhance trading experiences, improving decision-making efficiency and investment success rates [6] - The platform features rapid execution and low latency due to its global data center network, ensuring stable order execution in high-frequency trading environments [6] - ACCM incorporates advanced trading tools such as MT5, Autochartist, and Trading Central to assist investors in market predictions and strategy development [6] Group 4 - Despite ongoing global trade challenges, short-term investment opportunities are emerging, with ACCM focusing on product innovation, technological empowerment, and compliance to create a resilient investment platform [8] - The future of wealth management will increasingly rely on forward-looking trading platforms as supply chains become more regionalized and digital currency systems evolve [8]

Core Viewpoint - Jane Street, a US quantitative trading giant, has been banned from the Indian market by the Securities and Exchange Board of India (SEBI) after reportedly making $4.3 billion in profits over two years, with the regulator planning to confiscate its "illegal gains" of ₹48.4 billion (approximately $570 million) [1][2]. Group 1: Regulatory Actions - SEBI issued a 105-page interim order accusing Jane Street of using significant funds to manipulate futures and spot market prices on weekly index options expiry days, misleading and enticing many small retail investors [1][2]. - The interim order immediately prohibits Jane Street from entering the securities market and from directly or indirectly buying or trading securities [3]. - SEBI had previously warned Jane Street in January to avoid such trading practices, but investigations revealed that the firm continued these strategies in May, leading to severe sanctions [3]. Group 2: Market Impact - The ban is expected to have a chilling effect on the global high-frequency trading industry, with Jane Street's local trading partner, Nuvama Wealth Management, seeing a 6.8% drop in stock price following the news [1]. - Other high-frequency trading firms may temporarily reduce trading activities, potentially impacting market trading volumes in the short term [1]. - SEBI's actions reflect growing vigilance towards foreign institutional activities in India's lucrative derivatives market, especially as algorithmic trading has led to significant profits for foreign funds while retail investors have incurred substantial losses [2]. Group 3: Profitability and Market Dynamics - Jane Street reportedly earned approximately ₹365 billion ($4.3 billion) from trading in India's derivatives and spot markets between January 2023 and March 2025, making it one of the most active foreign participants in the largest derivatives market globally [2]. - SEBI's research indicates that foreign funds and local proprietary trading firms using algorithms generated $7 billion in gross profits in the 12 months ending March 2024, while retail investors lost $21 billion over the same period [2]. - SEBI has implemented several restrictions on options trading since November of the previous year to protect retail investors, including raising minimum investment limits and increasing trading volumes, which have effectively reduced trading activity this year [2].

Group 1 - Bitget has launched a limited-time PRO+2 Level Upgrade Promotion to enhance its offerings for institutional clients and high-frequency traders [2][3] - The Bitget PRO plan introduces a dynamic tiered system that simplifies access to lower fees, optimized API limits, exclusive loans, custody services, and higher withdrawal limits for institutional clients [2][4] - The PRO+2 Level Upgrade Promotion will run from July 2, 2025, to August 31, 2025, allowing eligible users to upgrade their trading capabilities based on their June trading volume [3][4] Group 2 - The promotion allows traders to upgrade two levels based on their trading volume, with new users able to submit past trading activity or asset holdings for equivalent upgrade benefits [3][4] - Eligible users can unlock benefits associated with the highest PRO6 level, including top-tier fee discounts, deeper liquidity, and personalized institutional support [3][4] - Bitget PRO plan automatically assigns levels based on a user's 30-day API trading volume, with a requirement that at least 20% of trades be conducted via API for levels PRO1 and above [4] Group 3 - Earlier this year, Bitget introduced institutional loan services with a maximum leverage of 5 times for spot trading, enhancing its institutional offerings [4] - The company aims to support professional traders with flexible and secure solutions, including unified accounts and enhanced OTC services [4] - Bitget, established in 2018, serves over 120 million users across more than 150 countries, focusing on innovative trading solutions and partnerships to promote cryptocurrency adoption [5]

Core Functions: Coverage of Multiple Trading Markets - Velos Markets operates on a "tripod" core functionality, covering foreign exchange, contracts for difference (CFD), and cryptocurrencies, along with specialty products like spot gold [2] - The platform supports major currency pairs such as EUR/USD and GBP/JPY, providing investors with a "global exchange rate fluctuation map" to capture opportunities in different economies [2] - CFD trading allows users to leverage small amounts of capital for larger trades, enhancing profit potential without holding the underlying assets [2] - Cryptocurrency trading includes major digital assets like Bitcoin and Ethereum, with 24/7 trading capabilities to match the market's volatility [2] Operational Guide: Seamless Transition from Simulation to Real Trading - Velos Markets offers a clear operational pathway for users, particularly focusing on lowering entry barriers for beginners [3] - Users must complete identity verification and risk assessment on the official website, with a bilingual interface for global accessibility [3] - The platform provides a "demo account" feature for new users to practice with virtual funds, allowing them to familiarize themselves with market dynamics without risk [3] - The trading interface is modular, displaying real-time market depth, candlestick charts, and order books, with customizable layouts for different trading types [3] - Users can adjust leverage based on trading products, with risk management systems in place to alert users during significant price fluctuations [3] Efficiency Advantages: Experience Driven by Technology - Velos Markets is known for high performance, with advanced hardware and efficient data processing enabling rapid trading experiences [5] - The platform's low-latency system is crucial for capturing fleeting arbitrage opportunities in high-frequency trading [5] - A distributed server architecture ensures smooth trading even during market volatility, unlike some traditional platforms that may experience delays [5] - Built-in algorithmic trading features allow users to set automated strategies, while tech-savvy investors can connect via API for quantitative strategy deployment [5] Differentiation Advantages: Competitive Edge Compared to Similar Platforms - Velos Markets stands out with a diverse product range, unlike platforms that focus solely on forex or crypto assets, catering to varied investment portfolios [7] - The platform lowers entry barriers for beginners through demo accounts and risk alerts while empowering professional investors with API and algorithmic trading capabilities [7] - A global business network connects major financial markets, enabling users to easily participate in target market trading, achieving "one-click global asset allocation" [7] - Velos Markets provides a robust online trading platform for investors of all levels, characterized by strong functionality, user-friendly operations, exceptional trading efficiency, and clear competitive advantages [7]

Group 1: Core Insights - The article introduces the "Family Office 100" interview series by a family office, aiming to explore governance, operations, and asset allocation in the family office sector to promote industry maturity [1] - Jeremy Chan, CIO of AL Capital, shares insights on establishing a family office from scratch, emphasizing the importance of aligning family values and investment goals [1][2] Group 2: Establishing the Family Office - AL Capital has nearly 10 years of history with a team of about 30 people, headquartered in Australia, and offices in Singapore and Hong Kong [2] - The family office was initiated to cover investments in Hong Kong and mainland China, requiring significant effort to educate Australian colleagues on local market conditions [2] Group 3: Investment Strategy - The family office focuses on diverse investments, including VC/PE, mergers and acquisitions, and secondary market stocks, with plans to expand into wealth management [3] - A key difference between domestic and international family offices is the investment product diversity, with domestic offices often relying on GP investments, which can be risky in adverse market conditions [4] Group 4: Direct Investment Focus - The family office prioritizes investments in high-tech, new consumer retail, and financial services, seeking projects that align with the family's existing business [5] - Recent investments include a smart city project in Chongqing, leveraging technology from domestic projects to enhance operations in Australia [7] Group 5: Investment Philosophy - AL Capital has shifted from a single investment category to a diversified portfolio, including global stocks, bonds, private equity, and real estate, to mitigate risks [10] - The investment strategy emphasizes algorithmic trading and data analysis to adapt to market changes, with a focus on not losing money rather than achieving specific return targets [12][13] Group 6: Family Dynamics and Governance - Building trust with family members is crucial for a CIO, requiring time and demonstrated performance to gain confidence [16][17] - Investment decisions involve a family investment committee, which includes both family members and experienced investors, ensuring alignment with family values and business goals [18][20] Group 7: Recommendations for Family Offices - Family offices should consider their scale and the owner's willingness when deciding to establish an in-house investment team, as operational costs can be high [22] - It is advised to hire investment professionals as the first team member to ensure a strong foundation in investment strategies rather than relying solely on relationship-driven roles [23]

Core Viewpoint - Gold exhibits a unique price fluctuation mechanism influenced by multiple factors, including currency pricing systems, macroeconomic risks, market structure evolution, supply-demand elasticity, and technical reinforcement mechanisms. Group 1: Currency Pricing System Linkage - The international gold price is negatively correlated with the US dollar index, where a 1% increase in the dollar index raises gold purchasing costs, suppressing investment demand [1]. - Major central banks' balance sheet expansions directly elevate gold price benchmarks, with each additional $1 trillion in quantitative easing raising gold valuations by 8%-12% [2]. Group 2: Macroeconomic Risk Matrix - The forward price of gold is determined by the nominal interest rate minus inflation expectations, with gold prices reaching a historical peak of $2075 per ounce when the real yield on US Treasuries fell below -1% [3]. - A 10-point increase in the global geopolitical risk index results in a 3.2% increase in average monthly gold holdings, evidenced by events like the Crimea crisis and the Russia-Ukraine conflict [4]. Group 3: Market Structure Evolution - Emerging market central banks have increased gold purchases for 13 consecutive years, with global official reserves rising by 1136 tons in 2022, accounting for 23% of annual supply [5]. - An increase of 100,000 open contracts in COMEX gold futures raises price volatility by 1.8 basis points, with significant spikes in implied volatility during events like the Silicon Valley Bank incident [6]. Group 4: Supply-Demand Elasticity - The average extraction cost of the top ten gold mines has risen to $1250 per ounce, with newly discovered reserves declining by 15% year-on-year [7]. - India and China account for 55% of global physical gold demand, with a 40% surge in imports during festive seasons, despite India's recent increase in import tax to 15% [8]. Group 5: Technical Reinforcement Mechanisms - Algorithmic trading strategies hold over 30 million ounces of gold, with momentum factors contributing over 35% to price volatility, triggering significant buy orders upon breaking key price levels [9]. - A 50% year-on-year increase in Google searches for "gold investment" correlates with a 68% probability of gold price increases in the following 30 days [10].

金十数据4月8日讯，由于流动性不足和头条新闻驱动的算法交易机器人，目前股市特别容易受到剧烈波 动的影响。正是一条关于特朗普关税计划的虚假推文，在周一推动了2.7万亿美元的市场反弹，并在今 天推动了美国股市的再次上涨。在交易员努力跟上市场步伐的同时，做市商开始退缩，这使得交易变得 更加昂贵，也让股市变得极其动荡。这些条件依然存在，标普500指数在最近一个交易日开始时飙升了 3%以上。期权数据提供商Spot Gamma的创始人Brent Kochuba写道："流动性很糟糕，所以只要有一个 相当大的订单，就会影响市场。" 算法交易机器人和流动性紧张加剧股票波动 ...