List of the most liquid shares of the MICEX. The most undervalued liquid shares on the MICEX
Today I will write a small instruction on which financial instruments
suitable as raw materials for building a mechanical trading system.
Starting to build a mechanical trading system algorithmic traders will certainly face questions - what instruments to trade? The answer is the same - it's better to trade liquid stocks.
Therefore, today my post will be devoted to the following questions:
- How to choose liquid Russian stocks?
- How to add new financial instruments to Wealth Lab?
- What do you need to do to start working with them?
The next step should be to determine which stocks we will work with.
Of course, you can come up with various clever ways, constantly monitor the liquidity of stocks, etc. But we, as always, will follow the path of least resistance.
This work (determination of liquid shares) is already done by the broker for us. After all, the broker is ready to lend and take only liquid shares as collateral. So let's use the fruits of the broker's work.
Let's go to the ALOR + broker's website on the margin lending page.
As you can see, there are two tables with long and seemingly incomprehensible names. But in reality, everything is simple:
The first table shows the shares that the broker accepts as collateral against the issued margin loans and those that can be bought on leverage.
The second table lists the stocks that can be short (ie short short).
Let's add all these tools to the table " Financial instruments"terminal Alor Trade.
The information that you see in front of you already has a certain value. It is these shares that the broker considers the most liquid and we assume that they can be used to build mechanical trading systems on their basis.
However, no one canceled the principle - “Trust but verify”. This is what we are going to do now.
We will make a special analytical table in which we will make some calculations. You can see the results in the following table:
How is this table built? Here I sorted by the number of transactions by instrument from the beginning of the day until 15:00 on April 08. Above were those financial instruments with which a large number of transactions were carried out (i.e. the most liquid shares) and lower in decreasing order - less liquid ...
Please note that all cells in the "Deals" column are colored. Moreover, the warmer the color, the less liquid the stock is. Thus, the first criterion of liquidity is the number of transactions that traders carry out with the instrument during the day.
The second criterion of liquidity is the volume of transactions that has passed today. It is clear that if the value of the instrument is low, then with a large number of transactions, small volumes can take place.
The third criterion of liquidity (for us one of the most important) is the value of the SPREAD between the bid and the offer as a percentage. For us, this indicator is important because the greater this distance between the bid and the offer, the more money we will lose in our mechanical systems due to slippage ...
However, if the Spread between the bid and the offer is large, this does not mean at all that we should throw away such a stock and not use it for mechanical trading. It's just that for such illiquid stocks you need to select such a mechanical trading system, average income from a deal in which several times the spread between the bid and the offer is exceeded ...
As we can see, the ALOR + broker turned out to be very right. It allows you to short only those securities that are really liquid.
So, we have decided on the list. Now let's add these liquid stocks to the wealth lab.
As always, I will describe the whole procedure in steps and with pictures ...
Liquidity is a property of an asset, reflecting how quickly it can be transferred to monetary units at prices close to market prices. At the same time, the asset does not lose its par value. The concept of an asset means: cash, bills, securities, loans, debentures, goods in stock or stocks of raw materials, buildings, equipment and more. Shares are also classified as assets.
How to determine the liquidity of a stock?
The indicators of liquidity include. The higher this indicator, the more transactions are made to sell this asset, and, accordingly, it is easier to convert it into money.
Another important indicator of liquidity is this. It reflects the gap between the buy and sell price. The smaller this gap, the greater the liquidity of the shares. If the owner of the asset sells it and buys the same volume in a short period of time, losses from transactions will be minimal.
Securities are divided into several categories
- First echelon- high liquidity. Many transactions on such shares are carried out every day with a large turnover of money. Such securities are also called. Usually they are produced by well-known large enterprises.
- Second echelon- less popular stocks. It will take more time to sell them, there may be minor losses during the transaction.
- Third echelon- transactions on such shares are made much less frequently. About one trade per day or less. Most often these are small and little-known companies. Investors are not interested in investing money in them. It is much more difficult to sell such assets.
The liquidity of the shares is clearly visible on the charts. The more peaks on them, the more transactions are made on the purchase and sale of these assets. If there are straight lines on the market analysis charts, then no deals were made during this entire time.
The factors that determine whether or not to buy a stock are listed below: market capitalization, share price-earnings ratio, annual dividends, current share price, average daily trading volume. The latter indicator reflects the liquidity of the shares. If it is hundreds of thousands a day, then the securities will be easy to sell.
The liquidity of a stock significantly affects its quality. It reflects the reliability of the stock and the revenue growth prospects of the company that issued it. The advantages of buying are as follows:
- Even the owner small capital can invest in such an asset.
- Using promotions you can increase equity over a long period of time.
- Assets with good liquidity are always easy to exchange for cash. Thus, it is more convenient than opening a deposit in a bank.
- Gaining experience and knowledge about the work of the stock market, everyone can make transactions for the purchase and resale of securities through brokers.
- There are shares investment funds who, disposing of someone else's capital, invest them in stocks. Using their services, even a person with minimal knowledge of finance earns on investments.
- High income from buying shares of large companies during economic downturns and crises. Assets of the first echelon after the end of the crisis grow in value several times.
- Dividends are regular and regular income.
- Trading in stocks is less risky. It is not related to leverage.
- If the company goes bankrupt, the holder of the package of securities receives part of the property after the company has repaid its debts to creditors. Holders of ordinary stakes are at greater risk than those who buy preferred assets. Companies that issue highly liquid securities rarely go broke.
Stock liquidity Is an indicator that helps to assess the risk associated with investing in this type of asset.
Liquidity is one of the main characteristics of the qualitative state of asset markets: material and financial. This concept applies wherever the expression of values through one another is used. The range of application of this concept is extremely wide and can be used both for the processes of buying and selling, and for simple exchange. The purpose of this article is to determine the liquidity of the market and stocks and other assets.
So, what is the liquid-st. This is the ability of any object of sale - goods to be sold quickly and bought just as quickly. And the denser this process of buying and selling an object, the higher its liquidity. There is even a term - "liquid commodity". If difficulties arise in the course of transactions with the sale of an object or product, they say that it has little liquidity or that it is generally illiquid. For this reason, this term appears in the field of finance everywhere and everywhere, and especially this concept is constantly present to determine the liquidity of financial assets or the market as a whole.
Financial market liquidity
The liquidity of shares on the stock exchange is determined in the course of trading by their volume. In the options and futures market, in addition to this indicator, meaning the volume, one of the factors showing liquidity is the so-called open interest.
The liquidity of the foreign exchange or stock market is a characteristic that shows the extent to which the market is saturated with the most demanded financial goods. In other words, it is an indicator of the degree of demand of the market or stock, or an illustration of the degree of financial turnover of financial goods that enter the market.
If they say that the stock market has high liquidity, it means that stocks are traded on it, which have a high demand for both sale and purchase, that is, they are trading the most demanded stocks. It is mainly " blue chips". This is the name of the companies leading in terms of the volume of products manufactured and the volume of their sales. The fortune of such companies is millions of dollars, they have such strong financial potential that they can easily withstand the consequences. financial crises and economic downturns.
The liquidity of stock market shares depends on their level of supply and demand and is determined by the ability to sell quickly. The effectiveness of such stocks lies in the speed of conversion into money, when a potential investor does not have to spend some time waiting for a sale and purchase transaction.
The level of liquidity is influenced by such an indicator as the spread - the difference between the best bid and ask price on the exchange or on the market.
When conducting operations in the futures market, you should be aware that there is no guarantee of market profitability at the time of the expiration of the contract for the supply of goods. Futures trading requires taking into account the fact that some futures contracts with specific delivery dates tend to have higher trading activity and have higher liquidity than others. To determine the level of liquidity futures contracts use indicators of the trading volume and the amount of open positions.
The liquidity of shares is a subjective and relative concept. For example, if you have 1 million rubles in your account, then about 30 shares are liquid for you, the first in terms of turnover on the MICEX. If you have 1 billion rubles, then 5, or a maximum of 7, leading securities on the MICEX in terms of turnover will be profitable. When making deals, their possible slippage determines the profitability of the instrument. The lower the slippage, the higher the liquidity.
On the MICEX, Sberbank and Gazprom have the most liquid shares. Futures on the RTS index is considered one of the most liquid instruments on the Russian market.
The most liquid in the US are those stocks that are included in the Dow Jones index. This list includes thirty of the largest companies, including Boeing Co, Procter & Gamble, Co (PG), Coca-Cola Co, etc.
Liquidity in the real estate market
A narrow market is the exact opposite of a liquid market. They concentrate on it financial resources, supply and demand for which are quite low. The real estate market is a prime example of an illiquid market. In order to return the funds invested in this market, it will take quite a long time, because it is quite difficult to find a buyer for such goods. Sometimes it takes months. As for the liquidity of the real estate market, its importance, in principle, is no different from the stock market, the demand for which is determined by the share of shares and financial goods.
But just like in the financial market, also in the real estate market there are more liquid assets and there are less liquid ones. For instance: one thing room apartments more liquid than three or four room apartments; apartments near the metro are more liquid than apartments far from the metro, and so on.
Market liquidity as a general concept
This indicator characterizes the ability to sell a product - an asset with a minimum reduction in the price of its value. Cash or money is the most productive asset for the reason that it can be used at any time for economic action. Economic actions are buying, paying off debts, selling, and the ability to fulfill immediate needs and desires. However, the currency of any country can very easily lose the level of its liquidity at the time of liquidation events that occur during the period of active dumping of dollar bonds by large countries. Currently, Saudi Arabia, Japan and China hold trillions of dollars in such bonds, and if they are sold, this will have a very negative impact on the US dollar and all assets that are denominated in this country's currency.
The liquidity of financial assets is an indicator of not only the ability of a business to fulfill its payment obligations, but also the reliability of the funds themselves. When assets with low profitability are exchanged for assets with high demand, a process of so-called liquidation takes place. The sale of such assets can take place on the exchange at any time, while the loss of its value is minimal. A liquid market is characterized by the fact that there are always buyers and sellers in it, who have the desire and ability to conclude various transactions. If the next deal was concluded at the price of the previous one, then this process indicates good market liquidity.
A market in which there are a large number of buyers and sellers is considered to be deeply liquid. This is directly related to the depth of the market. It can be measured by the units of assets that will be sold or bought with some impact on the price.
There is a concept of unprofitable instruments. These include assets that are difficult to sell due to uncertainty in their value or due to the fact that there is no market in which they are constantly traded. Such instruments are very clearly expressed in mortgage-related assets. Even though they are guaranteed by real estate, the value of such assets is very difficult to determine. This process has escalated against the background
mortgage crisis.
One more example. An illiquid asset can be a very large block of shares, which can be sold without affecting it market value, very difficult.
Important nuances
Traded volume. It is a measure of the frequency of buying and selling stocks, which can be used to characterize their productivity.
By giving preference to the securities markets and futures markets, which are in greater demand than investments in real estate or other similar assets, investors prefer to use them, since in these markets there is an opportunity to quickly realize their assets.
There are often situations when it is more profitable to own assets from secondary liquid markets than instruments from unclaimed markets, so buyers prefer to buy them at a higher price. After all, insufficient liquidity of financial assets entails a decrease in potential or anticipated profitability.
For example, there is a significant difference between the "old" US Treasury bonds and those just issued, with the same maturity. Since investors do not want to invest in the "old" bonds, the newly issued ones have a higher price, but their yield is lower than the "old" ones.
"Speculators" and their impact on the change in the liquidity of assets
Market makers - one of the largest players on the stock exchange - and also small speculators have an important influence on the level of market profitability. These market participants, along with others, want to profit from the projected increase or decrease in the value of the asset they are trading. To play such a game, they, one way or another, contribute their capital, which is necessary for the growth of income.
Quite frequent and short-term transactions of this kind contribute to an increase in the traded volume for a specific market instrument... At this time, traders who use low-frequency algorithms for trading operations increase the density of the “order book”, due to which the liquidity of assets increases.
Lack of liquidity and its risks
It is believed that only individual investments are at risk. But, market risk investment portfolios are also exposed. Financial and management institutions that maintain such portfolios are equally exposed to "random" or so-called "structural" risk.
Structural risk is the risk of the return on financing. This factor is based on the level of portfolio financing that is produced in the normal course of business. Accidental risk is the risk associated with a change in circumstances that expire. It occurs when there are unfavorable tendencies. market conditions in future.
Assets and the relationship between their value and profitability
The projected cost and profitability of an asset directly depends on its liquidity. History knows examples when investors with assets with low profitability are interested in a high level of its profitability in order to thus be able to compensate for its overestimated value when trading. In other words, with equal characteristics of assets, the growth of their liquidity reduces the expected profitability and increases the price. If investors take risks, they need a high level of expected return on the asset with a significant risk of its market demand.
Simply put, the situation is something like this: assets with low liquidity may (but not necessarily) have a high potential for profitability, and vice versa, highly liquid assets, as a rule, do not have a high potential for profitability compared to low-liquid assets.
Calculation of analytical indicators for stocks, futures, currency pairs in online mode.
The current situation in the financial market encourages even people far from business to understand the basics of the work of various enterprises and institutions. One of the main processes that take place every day is the performance of which is the liquidity of securities.
The ability to quickly sell shares without losing their value is called liquidity. The essence of the concept of liquidity lies directly in the name of the term. The word "liquidity" has Latin roots and initially it sounded like liquidus, which means "fluid, liquid". So it turns out that the liquidity of shares can be compared with their ability to "flow" into money in the shortest possible time. Today, teachers of economics departments, to convey the meaning of the concept of liquidity, from year to year, give students the same example. So, if we compare the process of selling shares in the money supply with the concept of fluidity, then the following should be understood: compote, unlike jelly, has better liquidity. After all, if you are given the task of pouring these two substances from one vessel into another, it will take much less time to transport the compote. Another indicator of liquidity is losses from “transfusions”: the compote can be poured into another vessel with almost no damage, and the remains of the jelly on the walls of the vessel will be significant.
Today liquidity indicators set the pace of work of exchanges and securities buyers: the more positive the quality of liquidity, the greater percentage the probability of making a profit from the sale and purchase of shares. The definition of liquidity depends on the amount of labor that will have to be spent to convert the stock into money. What does the stock liquidity indicator depend on in real life? First, it depends on the quantity and quality of the trades - if the regulars of the financial exchanges are constantly interested in shares, then the rates on them invariably rise. Second, the liquidity of a stock depends on the spread, but to really understand these metrics, it's best to look at real-life examples.
For example, overnight the stock exchange had a burning desire to sell shares in Gazprom, which is a well-known prosperous enterprise on the domestic market. As a result, the demand for the shares of this company is invariably high: the happy owner of the shares will receive several offers to buy several hours after the public announcement of the sale. At the same time, the stability of the shares of the oil refining company ensures not only the massiveness of statements about the desire to purchase these securities, but their quality - the seller will be offered several starting prices, from which he will be able to choose the most profitable. So it turns out that they are highly liquid, since it will take only a few hours to transfer them into real money, and the sale of these securities will certainly not bring a loss.
The high liquidity of the shares of the named oil-processing company also depends on the minimum spread, that is, the miniscule difference between the buy and sell par values. So, if a stock broker we already know acquired Gazprom shares just a few hours before the sale, then he will practically not incur losses from the sale of these shares.
But if the broker decides to get rid of the shares of the little-known bank "Baltinvestbank" in a short time, he will probably have to put up with big losses. Little-known enterprises do not have a high demand for the securities they produce, so it will take a long time to look for a buyer to sell such shares. In addition, the offered prices will be strikingly different from the market ones, that is, the spread will be high. It is these patterns that govern financial flows stocks on the modern market, so they must always be reckoned with.
How to correctly identify liquid shares on the domestic market, if there is an urgent need for this? You don't have to do anything on your own - just pay attention to the indexation of shares carried out by large stock exchanges- , and . As a rule, all securities of this type are divided into the following categories: 2nd tier shares, 3rd tier shares. It is not hard to guess that highly liquid royal blood shares were ranked number one - they are the leaders in terms of the volume of daily buying and selling shares on financial exchanges. Less reliable shares are considered to be the second echelon, and low-liquid offers are defined as the third order.
Fig. 1 An example of liquid and non-liquid stocks:
Above - Gazprom, below - Baltinvestbank
We hasten to present to your attention a graphic illustration of the above example on the chart: above - "Gazprom", below - the little-known bank "Baltinvestbank" (Fig. 1). The absence of purchase and sale deals for specific shares is indicated by long horizontal lines (low liquidity). The multidirectionality of the curve shows high demand indicators for stocks with high liquidity.
For any market, liquidity directly depends on the opportunities it provides to buy or sell a particular commodity. On the financial markets traded instruments act as a commodity, and the volume available for concluding deals on them characterizes liquidity. In the case of the forex market, the commodity is the currency and its sufficient volumes to carry out trading operations. For the stock and futures market, the corresponding securities act as a commodity.
General definition of liquidity
Under general definition liquidity, it is customary to understand the transfer of assets to banknotes... Liquidity in financial markets characterizes the ability to exchange goods at market prices. This indicator is directly related to the trading volume: with the amount of the offered asset at the market price.
Liquidity in financial markets is primarily characterized by the volume available to conclude transactions at the current market price.
Liquidity in financial markets is unevenly distributed throughout the day, which is a consequence of the time of the main activity of the participants. In general, within one day, increased liquidity is typical for the following periods:
- the beginning of trading sessions on the main trading floors for this asset;
- after the release of important news and publication of statistical information;
- the last 30 minutes of work of the main trading platform.
The most significant drop in liquidity is observed immediately before the release of key news for this trading instrument. With low liquidity, if you try to conclude a deal using a market order, slippage can often occur - the deal is concluded at a price that is worse than the current market price. This happens because there is not enough counter offer from other market participants to execute your deal at a given price.
Over long intervals, a significant change in the liquidity of an instrument may occur if there is seasonality for a certain instrument (for example, for commodity futures), with a global change in any fundamental factors affecting this instrument, as well as as a result of any other reasons, the consequence of which is the loss of interest in this asset on the part of a large number of bidders.
Forex liquidity
For the forex market, where money itself acts as a commodity, liquidity should be interpreted as a characteristic of the ability to perform transactions with currencies that differ from the account currency.
One of the features of Forex is that a very significant money supply, therefore, the volumes of transactions at the current market price are often limited only by the capabilities of the trader himself. A high level of liquidity provides almost every market participant with the opportunity to close a deal or open new position in any volume. At the same time, the over-the-counter nature of Forex (there is no one common platform for trading) does not allow obtaining any reliable accurate data on the available volume.
It should also be noted that the forex market is over-the-counter and allows you to trade around the clock, five days a week. High liquidity, combined with the availability and ease of entering this market, make it attractive not only for professionals, but also for novice traders.
Stock market
On the stock market The liquidity of shares is characterized by the ability of a trader to quickly sell securities and not incur significant losses from his own influence on the price. In other words, liquidity characterizes how many shares you can buy or sell at the current market price.
Also, when assessing liquidity, you need to take into account the time factor. In this case, it means the time during which a transaction can be completed at a certain price or within an acceptable price range. This factor becomes relevant when the size of the required transaction exceeds the volume of the offer at the current price.
It is quite easy to assess liquidity in the stock market in advance. On exchange trading, there is reliable information on the volume and volatility of each instrument. Based on these data, appropriate conclusions about liquidity can be drawn. A feature of the stock market is a very wide selection of trading instruments. Here you can find both very liquid securities and see shares for which it is difficult to conclude a full-fledged deal, even with a small volume.
Futures liquidity
The futures market is characterized by a situation similar to shares in assessing liquidity. Like stocks, futures are traded on certain regulated exchanges, where official reliable information about the course of trading is available. The main differences and features that affect the liquidity of futures are related to the very nature of this financial instrument.
Futures are characterized by the expiration of the trading time of a certain contract. Despite the fact that for each instrument several contracts with different expiration dates can be available for trading at once, the main trading volume is usually 1 contract. He will have the greatest liquidity. Most often, this is a contract with the nearest due date, according to which the opening of new deals is still available. When the timing approaches the close of the contract, traders gradually switch to trading next in order of execution and, accordingly, their liquidity increases. Typically, the main liquidity transition occurs 3-5 days before the closure of the opportunity to open new deals on the current contract.
When assessing liquidity based on the volume of trading in exchange instruments, one should also take into account the volatility of the instrument (how the price changes over the analyzed period). Low volatility with high volume is a sign of the most liquid assets. But, at the same time, do not forget that in order to make a profit, it is necessary for the asset to move. When choosing and analyzing instruments, you must first of all proceed from your trading style, and then choose an asset that has sufficient liquidity and volatility.