Chinese Stock Market Knowledge Point

上市首日规则

上海证券交易所新股上市首日交易规则
一、新股上市首日,投资者的申报价格应当符合以下要求,超出有效申报价格范围的申报为无效申报:
(一)集合竞价阶段,有效申报价格不得高于发行价格的120%且不得低于发行价格的80%;
(二)连续竞价阶段,有效申报价格不得高于发行价格的144%且不得低于发行价格的64%。
有效申报价格范围的计算结果按照四舍五入的原则取至0.01元。
集合竞价阶段未产生开盘价的,以当日第一笔成交价格作为开盘价。
二、新股上市首日连续竞价阶段,盘中成交价格较当日开盘价首次上涨或下跌超过10%的,本所对其实施盘中临时停牌;盘中成交价格较当日开盘价上涨或下跌超过20%的,本所不再对其实施盘中临时停牌。
因前款规定停牌的,停牌持续时间为30分钟,如停牌持续时间达到或超过14:55,当日14:55复牌
深圳证券交易所新股上市首日交易规则
一、股票上市首日全日投资者的有效申报价格不得高于发行价的144%且不得低于发行价的64%,超过有效申报价格范围的申报为无效申报。
有效申报价格范围的计算结果按照四舍五入的原则取至0.01元。
二、股票上市首日开盘集合竞价阶段有效竞价范围为发行价的上下20%。
超过开盘有效竞价范围,但未超过有效申报价格范围的申报不能参加开盘集合竞价,暂存于交易主机,当连续竞价成交价波动使其进入有效竞价范围时,交易主机自动取出申报,参加连续竞价。

集合竞价规则

1、9:15—-9:20这五分钟开放式集合竞价可以委托买进和卖出的单子,你看到的匹配成交量可能是虚假的,因这5分钟是可以撤单,很多主力在9:19:30左右撤单,当你买进时,你不撤单,他可撤出,然后他卖给你,因此你一定要把撤单键放在手上。

2、 9:20—9:25这五分钟开放式集合竞价可以输委托买进和卖出的单子,但不能撤单,有的投资者认为他己撤单就完事了,事实上这五分钟撤单是无效的。这五分钟你看到的委托是真实的,因此要抢涨停板的,一定要看准这五分钟,但你不知道这五分钟哪些股票要涨停板,利用按61和63能看到。

3、 9:25—9:30这五分钟不叫集合竞价时间,电脑这五分钟可接收买和卖委托,也可接收撤单,这五分钟电脑不处理,如果你进的委托价格估计能成交,那么你的撤单是排在后面来不及的,对于高手而言,这五分钟换股票一定要利用,比如你集合竞价卖出股票后,资金在9:25就可利用,你可在9:26买进另一只股票。

4、 深圳股票在收盘14:57—15:00是收盘集合竞价时间,这3分钟不能撤单。

  1. 深圳停牌一小时的股票可以提前委托,上海停牌一小时的股票不能提前委托,上海交易在10:30准时开门,早一秒就弹回来了返回“废单”,对于连续涨停的股票,如果你要追进,应该在10:29:53—-10:29:56输入确认键,因网络速度时快时慢,要几秒钟在路上行走,相反出现重大利空时,你也可跑得快。对于深圳停牌一小时的股票。10:30开盘时,一般10:29分30秒,交易系统就已经打开了。所以如果你想抢先买入一只复牌即涨停的股票,最好在10:29分20秒挂涨停价买入,因为委单要进入证券公司系统再进行转换是需要几秒钟的时间,如果你挂早了传到上或深交所还没到10:29分30秒,交易所就把它当作废单处理,所以一定要把握好。

6、9点25分才是集合竞价期间唯一一次真正的成交,所以会显示成交笔数。当然这期间可以挂单,也可以撤单,但9点20到9点25是不能撤单的,集合竞价期间最好不要撤单,成功概率很小,虽然允许撤单,但还有许多其它原因导致撤单不那么容易成功。所以如果你想买入一只股票,你直接挂涨停价买入即可,如果你想卖出一只股票,你直接挂跌停价即可,这样基本都可以买到或抛出,但它的实际成交价格不是你所挂的涨停价或跌停价,而是9点25分成交的那个价格,也就是开盘价。所有的人成交价格都是同一个价格,这个价格是根据最大成交量撮合出来的,当然如果是以涨停板和跌停板开盘的话,你就不一定可以买到,因为,集合竞价期间,价格第一优先,时间第二优先,

7、 9:15~9:20可以挂单也可以撤单!

9:20~9:25只能挂单,不接受撤单

9:25-9:30不能挂单也不能撤单

集合竞价分四步完成:
第一步:确定有效委托在有涨跌幅限制的情况下,有效委托是这样确定的:根据该只证券上一交易日收盘价以及确定的涨跌幅度来计算当日的最高限价、最低限价。有效价格范围就是该只证券最高限价、最低限价之间的所有价位。限价超出此范围的委托为无效委托,系统作自动撤单处理。
第二步:选取成交价位。首先,在有效价格范围内选取使所有委托产生最大成交量的价位。如有两个以上这样的价位,则依以下规则选取成交价位:
(1) 高于选取价格的所有买委托和低于选取价格的所有卖委托能够全部成交。
(2) 与选取价格相同的委托的一方必须全部成交。如满足以上条件的价位仍有多个,则选取离昨市价最近的价位。
第三步:集中撮合处理所有的买委托按照委托限价由高到低的顺序排列,限价相同者按照进入系统的时间先后排列;所有卖委托按委托限价由低到高的顺序排列,限价相同者按照进入系统的时间先后排列。依序逐笔将排在前面的买委托与卖委托配对成交,即按照“价格优先,同等价格下时间优先”的成交顺序依次成交,直至成交条件不满足为止,即不存在限价高于等于成交价的叫买委托、或不存在限价低于等于成交价的叫卖委托。所有成交都以同一成交价成交。
第四步:行情揭示
(1) 如该只证券的成交量为零,则将成交价位揭示为开盘价、最近成交价、最高价、最低价,并揭示出成交量、成交金额。
(2) 剩余有效委托中,实际的最高叫买价揭示为叫买揭示价,若最高叫买价不存在,则叫买揭示价揭示为空;实际的最低叫卖价揭示为叫卖揭示价,若最低叫卖价不存在,则叫卖揭示价揭示为空。集合竞价中未能成交的委托,自动进入连续竞价。
集合竞价中申报手数大小与成交次序:
集合竞价的成交价的产生大体为:所有申报价中能够实现最大成交量的价位定为成交价,所有符合条件的申报委托依此价位成交,并提示出来成为开盘价。
集合竞价过程中同样依照“价格优先、时间优先”的原则来成交,如果申报价格相同,那么谁先申报得早,谁先成交。申报买卖手数的大小不是竞价成交的原则。所以有些投资者认为“庄家申报手数大,他可以先成交,而中小散户申报的手数小,不能成交”的看法是没有根据的。
有的投资者遇到过这种情况:有几次申报价格上符合了开盘价的条件,时间上又符合了集合竞价的条件,但都无法成交。这时,可检查一下,是否存在以下这种可能:在集合竞价中,如果价格相同,但申买委托只有50手,而申卖委托却有100手,那么,按时间优先原则,排在后面的50手申卖委托,在集合竞价时间里也是无法成交的,而只能参加连续竞价。

连续竞价规则

连续竞价,即指对申报的每一笔买卖委托,由电脑交易系统按照以下两种情况产生成交价:最高买进申报与最低卖出申报相同,则该价格即为成交价格; 买入申报高于卖出申报时,申报在先的价格即为成交价格。连续竞价时,成交价格的确定原则为:1、最高买入申报和最低卖出申报价格相同,以该价格成交; 2、买入申报价格高于即时揭示的最低卖出申报价格时,以即时揭示的最低卖出申报价格为成交价格; 3、卖出申报价格低于即时揭示的最高申报买入价格时,以即时揭示的最高申报买入价格为成交价。

Trading Framework

Trading Guidelines

Objective

Identify and Exploit Market Mispricings

Procedures

  1. Preliminary research must be conducted for all trading strategies.
  2. The specific trading strategy (Including holding period, trading signal, close position signal, etc) must be documented before building a position. Trading strategy must incluing risk control measures and emergency actions to be done when serious weakness or mistakes are found in the strategy.
  3. Trading should be conducted strictly according to the pre designed trading strategy.
  4. Trading performance must be documented after position is closed.

Key Points

  1. Trading decisions should not be influenced by short-term market trending or performance even if it is in contrary to the pre-desinged strategy.

  2. Exploit market fluctuation, not misled by market flucutation.

  3. Never trade in short-term adverse market trend, even if it's long-term value investing

  4. If not value investing or ultra-short term oppertunity, never trade in long-term adverse market trend.

  5. Price movement is driven primarily by buyers (demand), as asking price is always as high as possible when a sellers wants to sell. Price move up dramatically when both buyer and seller bidding up the stock, price move down quickly when sellers trading in the BBO bid price.

Loss Regarded as Neutral

10 Dollars or 150 CNY

Risk Return Parity

Match Risk Expection with Return Expection

Trading With Pre-set Gain Goal

Building a position with a pre set gain percentage goal in mind, place close position order together with stop loss order immediately after the position is built.

Trading Limits

RS_T1 Signal Limit - Test Phrase

  1. 500 USD
  2. Holding Period: 1 day to 15 trading days

Margin Limit

  1. 10% of Account Net Liquidation Value

Pre-Market Signal Limit

Trend Following Limit

500 USD
Trend Following只做单边拉升的题材

Trading Strategies

Earnings Release (Pre-Market China Company)

Earnings release.
Condition:
1. Good news or bad news that can be clearly identified
2. Pre-market Movement Faviriteable

Profit Source:
1. Information and time advantage
2. Trading Peers

Stop Loss:
5%

Stop Gain:
5%

(Short term market sentiment cannot be guarranteed to extend into mid term market sentiment.
Thus the profit should be protected by placing profit taking order no higher than a 5% gain.
Also, the potentional loss should be stopped by placing a stop loss order in case the short term market sentiment is not fully realized as market price or performed at all.

The source of gain comes from uptick orders triggered by short term market sentiment.)

Trend Following (Needs verification)

Ultra Short

Condition:
1. Good News
2. Faovriteable Previous Market Movement

Profit Source:
1. Increase or decrease in market interest
2. Valution recignition

Stop Loss:
5%

Stop Gain:
5% - 15%

Hot Stock Pre-market Trend

Condition:
1. Hot Stock
2. Pre-market up-side price pressure
3. Pre-market price rise with sufficient volume

Stop Loss:
5%

Stop Gain:
5%

Long-term

XXX

Oversold Rebound (Needs verification)

Condition:
1. Price (Close price) dropped (Close < Open Price) consecuativly for at least 3 days
2. Price dropped at least 30%
3. Hot stock, has fundental potential (热门题材)
4. Has bounce back for at least 2 days.

Profit Source:
1. Shares oversold by disinterested share holders
2. Shares valuation readjustment
3. Trading Peers

Stop Loss:
5%

Stop Gain:
10% - 15%

Zeal Stock (Needs verification)

Condition:
1. Zeal Stock Potentional

Stop Loss:
10%

Stop Gain:
100% - 300%

RS_T1 Signal (Needs verification)

Condition:
RS_T1 Signal

Profit Source:
1. Share overbought
2. Price spike driven by irrational investors
3. Trading Peers

Stop Loss:
20%

Stop Gain:
20%

A股

新股打涨停板 (Proved to be Failed Strategy)

  1. 新股发行的第一个交易日9:15分之前输入涨停板限价委托,抢筹。
  2. 如无破板且没抢到合适筹码,则第二日继续在9:15分之前输入涨停板限价委托,抢筹
  3. 破板后立刻无条件抛出离场
  4. 抛出后即不再买入该股

Swing Trading (Proved to be Failed Strategy)

  1. 利用热门题材,低吸高抛,追求1个涨停板,低回撤。
  2. 利用基本面分析判断买入的安全边际,即使跌停也可以长期持有等待解套
  3. 明确潜在盈利的来源
  4. 拉长持有时间,减少手续费开销

美股热点的迁移

  1. 有噱头
  2. 有强势上涨记录
  3. 有新鲜度

Commodity Futures

  1. Trading Mechanism

Long position:
Commits to purchasing the commodity on the delivery date

Short Position:
Commits to delivering the commodity on the delivery date

A contract is never really bought or sold like a stock or bond; it is enterred into by mutual aggrement. At the time the contract is enterred into, no money changes hands.

The clearing house functions as the trader counter-party.

The long position holder expects the commodity price rise above the future contract price at the delivering date
The short position holder expects the commodity price drop below the future contract price at the delivering date.

  1. Commission

IB charges 0.8 per contract (? regardless of contract size), plus others, in a total of 2.04 USD

U.S. Security Market Knowledge Point

  1. Tick
    The minimum price change that can be placed in order. (A tick is a measure of the minimum upward or downward movement in the price of a security)

Uptick: A transaction that occurs at a higher price than the previous transaction
Downtick: A transaction that occurs at a lower price than the previous transaction
Uptick Volume: Uptick volume refers to the volume of shares traded while a stock price is rising.

  1. Uptick Rule
    Securities and Exchange Act of 1934, Rule 10a-1. A short sell order should be placed at a higher price than the previous trade in the market.

  2. SEC Alternative Uptick Rule (Rule 201)
    When the price of a security drop more than 10% in a day, short selling is only allowed when the price of the order is higher than the current best bid.

  3. SIC
    Industry Classification Code

  4. Trading Strategy Broad Categories
    A. Day Trading
    B. Swing Trading
    C. Buy and Hold
    D. Value Investing

  5. Moving Average
    a moving average is a calculation to analyze data points by creating a series of averages of different subsets of the full data set.

  6. Nasdaq Opening Process
    On Open orders can be un-priced and entered as Market on Open (“MOO”)
    orders, or priced and entered as Limit on Open (“LOO”) orders. MOO orders can be
    entered, cancelled, and corrected anytime between 7:30 a.m., when the system opens,
    until 9:28:00 a.m. when Nasdaq begins disseminating the opening order imbalance
    indicator. LOO orders can be entered from 7:30:00 until 9:29:59. LOO orders are
    subject to price improvement if the buy (sell) order is greater than (less than) the opening
    price. A LOO order at the opening price will not be filled if there are insufficient shares
    available on the opposite side of the market to fill the LOO order.

  7. Potentional Pattern Day Trader Rule
    INRA and the NYSE define a Pattern Day Trader (PDT) as one who effects 4 or more day trades (same day purchase and sale of a given equity security ("stock") or equity option) within a five-day period, and NYSE and FINRA rules place certain restrictions on those who are deemed to be pattern day traders)

If violated, a 90 day wating period is required to resume trading on this account, or $25000 is required to be deposited into the account.

  1. Earning Announsement
    Quarterly earnings is announsed in the 10-K filings.

  2. Stock Borrow Fee / Stock Loan Fee

  3. NASDAQ minimum bid price requirement
    If a company closes below a $1/share bid price for 30 consecutive days, the Nasdaq sends the company a written notice. The notice states that the company is no longer in compliance with its continued listing requirements and has 180 days to regain compliance. Otherwise, the company will face delisting.

The company will regain compliance when the close bid price is above $1/share for 10 consecutive days.

  1. Terminologies
    (1) year-over-year: 同比
    (2) quarter-over-quarter: 环比

  2. ASC
    GAAP: Accounting Standard Codification

  3. Underwriter's Option to Buy Additional Shares at IPO prices less the underwriting discount

These shares are eligible for sale immediately after the option is exercised.

The additional shares bought will bring a downward sell preasure for the market price of the stock. The exercise of options of this kind means a immediate decline in sales per share and earnings per share ratio.

  1. Interactive Brokers
    The short position will be liquided (closed) when the current account liquidation value is less than the minimum maintaince margin (minimum $2000).

Ray-Dalio-Principles-Life-and-Work读书笔记

Ray Dalio's Investing Philosophy

It seems that Ray Dalio doesnot base his trading decision on the under or overvaluation of financial assets, he instead traded based on the prediction of future price movement. The attribute price movement not unpon the traditional market supply and demand theory, but more practically, transactions. By research deeply into the forces behind market movements based on historical data and the mechanism of economic world, Dalio was able to make bettings that have consistent returns.

Ray Dalio's success demenstrates the difference between stock market and the derivative market. From a value investing's perspective, Ray Dalio is more of a speculator than an investor.

2019年3月随笔

中概股问题

与欧美公司相比,中概股各种行业的上市公司均有严重的公司治理问题,漠视中小股东利益的行为很普遍。
少部分行业垄断性公司股价突出,收到市场追捧,其他公司股价低迷,长期处于股价下行阶段。

另外,由于法律环境和商业文化的不同,中概股低价退市和私有化等有损中小股东利益的行为屡见不鲜,且实质上不受到相关美国规则约束。

与美国本土上市公司相比,中概股股票的收益权属性更为突出,所有权属性几乎无法体现,二级市场投资人的长期投资在最终退出上有极大的不确定性。

以上种种均导致了非优质中概股在投资上的天然折价现象,以及普遍的做空盈利空间。

搜狗的控制权问题

虽然根据协议,搜狐以少于50%的投票权对搜狐董事会拥有控制权,但搜狗赖以营利的核心资产是腾讯赋予其的腾讯系流量入口。从这个意义上讲,腾讯对搜狗的影响力不亚于实际控股。

搜狗的腾讯系入口 (38%流量, 2018财年):
1. 腾讯网(www.qq.com) 搜索栏
2. PC版QQ问问个人中心
3. PC端QQ浏览器默认搜索引擎
4. 手机端QQ浏览器默认搜索引擎
5. 腾讯网址导航daohang.qq.com
6. 腾讯网址导航hao.qq.com

腾讯感冒,搜狗打喷嚏

搜狐的估值折价问题

搜狐市值 < 搜狐持有的(搜狗+畅游)股票市值
(绿色: 搜狐, 蓝色: 搜狗+畅游)
搜狗v.s.搜狗+畅游

搜孤的股价波动系统性的晚于搜狗+畅游股价的简单算术和,有被用来套利的空间

搜狗的流量获取问题

搜狗的主要盈利方式是广告,而在流量获取上,搜狗依赖手机制造商的软件预装业务来支撑其流量的扩展,非自然流量,存在成本上浮侵蚀盈利空间的隐患。

游资热炒题材的问题

游资选择题材股进行炒作,需要结合当前政策热点和新闻热点选择股票。 热点的目的是拉高股价后,热点本身会作为讨论和传播的"题材"在散户和机构之间传播和扩散,使得股价走势产生动能,方便游资后续获利退出。

Where Does the Profit of Speculative Trading Come From ?

The irrationality of market participators provides profits for speculative trading. Just like in Texas Hold'em Poker game.

The majority of market participators are casual individuals, whose trading decisions are largely dominated by personal emotions. They are the amplifier of market trends.

The High Valuation of Marijuana Stocks

At price 70 USD per share, TLRY is being valued at over 100 Price/Sales multiple and seems to be something other than marijuana fan's zeal for pursuing marijuana related subjects. There is a considerable portion of speculative investors involved in holding TLRY at current price level. Their logic behind the current position is vital for the understanding of marijuana stocks.

The valution of marijuana stocks share similarities with Internet stock in its potentional of high speed future growth. Typically at a rate of 300% to 1000% annual growth in key operation metrics for the next 3 to 5 years. The investors valuing TLRY at over 100 Price/Sales ratio must be expecting a future performance like that. As the legal marijuana
market is not exist until a few months ago, everything is in the reasonable imagination.

However, it is a question whether the marijuana industry inherently similar to the Internet industry. Will the marijuana industry be naturally concentrated as the Internet industry, where a few companies owns over 80% of the market. In my opinion, the answer is no. The two industries differ greatly in the marginal production cost. The primary product of marijuana industry is a phsical substance that requires cultivation, production and transporation. While the Industry industry deliver online service that has nearly zero marginal cost per additional user, as compared to other industries.

The possibility of a marijuana business to achieve a annual growth of 300% to 1000% is remote, given the nature of the product as well as the intensive competitions from other market participator. This is especially true as recreational marijuana products from different companis are very similar in nature, which makes competitive advantage very hard to be built.

Chinese Stock Market

Practicing along with the market for the investing of A shares in Chinese stocks is not acceptable. A comprehensive strategy needs to be developped. Available traing styles including herd behavior speculation, market-trend forecast, value investing and news driven speculation. Trading simulation is essential for the verification of strategy.

淘手游的胜利

淘手游赢在差异化竞争和现金流

中国商品房土地供应

中国商品房土地供应市场是单边垄断市场,政府是唯一的供应方,理论上放开土地供应会压低市场房价,但放开土地供应的举措与1. 土地计划经济体制 2. 政府对土地供应的控制 相矛盾,故土地供应在可见的将来不会放松管制。

租金是购房收益的货币收益部分,但其他非货币收益也不容忽视,如与商品房绑定的户口、子女入学、社会福利;同时,随适龄青年结婚组成家庭,继而产生的对稳定居所、以及婚后改善住房条件的客观需求,也是购房收益的一部分。

From Ray Dalio's Economic Framework

Economic Activatity = Direct Product/Service Creation + Product/Service Transportation (Trading)

Ray Dalio oppose using the traditional supply and demand framework to analysis the market. The traditional supply and demand framework focus on the balance of supply and demand of product by the same quantity of exchange, but ignores the motivations, identity and total amount of spending of the purchaser.

Market Price

Market price is determined by the total amount spent by buyers divided by total quantity sold by sellers, in which buyers are the driving force of price movement. Dramatic price movement happens only when there is both purchasing power from buyers and available unit for sell by sellers.

Market Participants

Producers, Traders, Consumers

Sohu, Cyou和Sogou

三家公司均未按时发布2018年年报(与往年相比已晚了20多天),同期股价下跌5%左右

Planning For April

  1. Focus on shorting strategies research
  2. Research historial shorting opportunities, what their signals look loke, what's the best strategies at the time
  3. Find more signals to find shortable stocks
  4. Double U.S. portfolio

Profile of Chinese Stock Market

参与者:
1. 散户 - 追逐热点
2. 游资 - 制造、炒作市场热点
3. 私募 -
4. 公募