《外汇交易实战图表与交易心理 》 作 者：(新加坡)许强 (美国)Gary Weiss

If aU of this sounds a bit circular, it has been presented as sur’i for a reason. Although foreign exchange markets are made up of different participants that can be broadly identified, it should never be construed that these elements act independent of one another. In fact, this differentiated trading activity, in many cases will tend to cause unexpected results. By understanding the makeup of these players however, one can often gain perspective to the possible movement in price that may result from the activity of any one particular group.

名词解释

Fundamental “Real Money” Position Takers:以商业需求型风险规避为目的，采取适当的措施，以规避投资或经营的风险的交易者，通常为大型生产企业。

Chart Based Speculative Traders:通过技术图表分析进 行交易的投机人士。

Concerted Intervention:联合干預。各国中央银行联手 干预市场的行为，具有强大的效果。

The Market Making Mirage

There is a common misconception among the buy side, or trading price takers in the currency markets, that the function of market making is the key to consistently winning in foreign exchange. Although the thought process here is somewhat cloudy, there is a compelling argument to be made that the market maker can mostly capture the risk free bid and offer spread of a trade price and thereby always be able to trade at an advantage to the average customer. However, there is a fundamental flaw in this reasoning. Specifically, this logic assumes that the markets themselves are static when, in fact, they are always moving. A bid offer spread for example, is usually transient. So much so, that often times this same spread capture idea can actually turn into a trade position negative when all is said and done. So the question then as to how profit as a market maker can be fully realized, actually has to be viewed as two distinctly different scenarios. First，there is the obvious idea that the wider the quote, the more likely the spread capture becomes. Secondly, and somewhat more arcane, is the concept that by seeing the customer^ buying and selling at differ ent levels，a degree of uncorrelated market intelligence can be gained through this order flow.

Dealing with the first assumption, it is important to understand that as with any market, spreads generally tend to come in over time. Meaning that while there may have been periods, as long ago as ten years，when it was reasonable to make a 5 or even a 10 pip wide price on dollar yen to a customer, for today's market maker, this is no longer the case. In fact the spreads within the wholesale dealer markets for the major currency pairs can at this point be described as virtually non existent or for the most part no greater than one tick wide. This, of course, deflates any reasonable opportunity for most dealers to profit on the basis of width of spread alone. The idea of market intelligence as the other practical reason for being a market maker in the first place，however is another subject altogether.

For example，historically the role of a dealer was to be just that, a dealer. Meaning that they would always be available to be on the buy or sell side of a particular market at any given time. Which, of course, was one of the central roles for markets in general: to promote enough liquidity for the reasonable flow of transactions. This role, as it evolved into one of being called a market maker, had with it the implicit assumption that information derived from this order flow would (or could) be used to form the basis of that market makers own trading decisions. In today*s marketplace, this role is no less central than it has literally been for hundreds of years. TTie difference though is that now the amounts are larger (this due to the a^regation of order flow onto electronic platforms) , the trading is faster and the origin of much of the trade flow is almost impossible to discern. IronicaDy, it is also interesting to note that as the importance of market intelligence has increased among market mak  ers,this has actually had the unintended consequence of further decreasing theeven miniscule spreads that may have existed in the market at all. This is actually an important dynamicfor the average  trader to understand. In much  the  same waythat  an electronics  manufacturer is desperate to get  marketshare,  even at the riskof collapsing margins, so too has the
  dealer community, in its goal to gain market intelligence fromorder flow, actually collapsed  the spread in the foreign  exchange markets.

  With the advent of single bank electronic trading platforms, and then the further derivation of streaming prices ontomulti bank portals, the idea of capluring market share has taken a significant toll on many of the large market makers bottom line. In fact, recently, many of the larger market makingbanks in foreign exchange have started to recognize the destructive influence of this price coimpression on their profitmargins and have taken the extraordinary step of actually .trying to widen spreads (mostly though these unilateral attempts areshort lived due to market competition).So, of course, it is atthis point that one needs to ask the obvious question  Where is the attractiveness of a market makers role, or is it merely anillusion? The answer here is:1. verylittle, and2.maybe in thatorder. Meaning, that the traditional role of a market maker isactually not a particularly attractive one in today '8 market.And, maybe the whole idea of its allure is in fact just a falsehood in the first place.