We consider issues of time in automated trading strategies in simulated financial markets containing a single exchange with public limit order book and continuous double auction matching. In particular, we explore two effects: (i) reaction speed - the time taken for trading strategies to calculate a response to market events; and (ii) trading urgency - the sensitivity of trading strategies to approaching deadlines. Much of the literature on trading agents focuses on optimising pricing strategies only and ignores the effects of time, while real-world markets continue to experience a race to zero latency, as automated trading systems compete to quickly access information and act in the market ahead of others. We demonstrate that modelling reaction speed can significantly alter previously published results, with simple strategies such as SHVR outperforming more complex adaptive algorithms such as AA. We also show that adding a pace parameter to ZIP traders (ZIP-Pace, or ZIPP) can create a sense of urgency that significantly improves profitability.

中文翻译：

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时间很重要：探索自动交易者的紧迫性和反应速度的影响

我们在模拟金融市场中的自动交易策略中考虑时间问题，其中包括具有公开限价订单簿的单个交易所和连续两次拍卖匹配。特别是，我们探讨了两个影响：（i）反应速度-交易策略计算对市场事件的反应所花费的时间；（ii）交易紧迫性-交易策略对临近期限的敏感性。关于交易代理的许多文献只专注于优化定价策略，而忽略了时间的影响，而现实世界的市场继续经历着零延迟的竞争，因为自动交易系统竞争着快速访问信息并提前在市场中采取行动。其他。我们证明了建模反应速度可以显着改变以前发表的结果，SHVR等简单策略的表现优于AA等更复杂的自适应算法。我们还表明，向ZIP交易者（ZIP-Pace或ZIPP）添加步伐参数可以创建一种紧迫感，从而显着提高获利能力。