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高频交易系统助美国交易员争抢毫秒级先机
时间:2010-06-05 20:18来源:VOA官网 作者:admin 点击: 155 次
据 市场参与者和研究人员说，一些投资公司依靠高速计算机进 行投资，在数据抵达其他投资者之前就据其交易，因而获得了一种优势。  Scott Lewis for The Wall Street Journal 这 些公司从证券交易所购买数据，让这些数据自动录入超级计算机，赶在其他多数投资者看到股价之前数分之一秒就计算出了股价，从而占得先机。交易员可以在交易 中每股扒出几分钱，重复成千上万次，就可以给公司赚取很大一笔利润。 有人批评说，这种做法就相当于过去在头天看第二天报纸上列出的股价。 周 三华盛顿，在证券交易委员会(Securities and Exchange Commission，简称SEC)举办的一场圆桌讨论会上，经纪公司Themis Trading创始人之一Sal Arnuk说，这是一种被操纵的游戏。一些人把这种交易活动叫做“潜伏套利”(latency arbitrage)。 批评人士说，这种 做法虽然合法，但超越了公平的界线，并让人对市场上一些交易员通过高频交易获得的优势产生质疑。 SEC的圆桌讨论会召集了华尔街各个交易 中心和投资公司的高管。此时SEC仍在对高频交易和日益增多的“黑池”(dark pool)交易进行调查。“黑池”指的是在主要交易所以外的交易场所进行的交易。 自5月6日“闪电崩盘”以来，高频交易受到了越来越多的 拷问。那一天，一些高频交易公司随同其他一些活跃交易机构从市场撤离，可以说是加剧了当天股市的快速重挫。 据估计，目前高频交易在美国股 市的交易量中约占三分之二，采用很多形式进行，其中一些形式完全正当。有人辩护说，这种交易通过增加市场交易量，降低了所有投资者的交易成本。潜伏套利属 于一种依赖于超高速度的交易，还不知道有哪些公司参与了这种交易，也不知道这种交易有多普遍。 业界人士和交易所说，一些公司向单个交易所 每年付费数万美元，以优先获得交易所自动发出的价格信息。 SEC在今年早些时候对市场结构做整体评估时说，直接从交易中心自动发送的数 据，可以比整合后发送的数据更快抵达终端用户。 潜伏套利所赌的是股市中的“全国最佳买卖价”。这种价格设定了多数投资者用于交易的价格。 全 国最佳买卖价以电子化的方式从各个交易所整合而成。研究公司Jefferies & Co.在2009年11月一份有关潜伏套利的报告中说，如果能赶在全国最佳买卖价之前估摸到价格的变动，那么相对于其他使用普通市场工具的投资者，交易员 就能获得100到200毫秒的优势。 报告说，交易公司先人一步看到交易所数据和订单流量，就可以预测到未来的价格，进而调整它们在市场中 的订单，或根据这些信息发出新的订单。 Some fast-moving computer-driven investment firms are getting an edge by trading on market data before it gets to other investors, according to market players and researchers who have studied the trading. The firms gain that advantage by buying data from stock exchanges and feeding it into supercomputers that calculate stock prices a fraction of a second before most other investors see the numbers. That lets these traders shave pennies per share from trades, which when multiplied by thousands of trades can earn the firms big profits. Critics call the practice the modern day equivalent of looking at share prices listed in tomorrow's newspaper stock tables today. 'It is a rigged game,' Sal Arnuk, co-founder of brokerage firm Themis Trading, said Wednesday at a Securities and Exchange Commission roundtable discussion in Washington, D.C., referring to the trading activity, which some call 'latency arbitrage.' While legal, the practice pushes the envelope of what is fair, critics say, and raises questions about the advantages some fast-moving traders are gaining in the market. The SEC roundtable convened executives from trading centers and firms across Wall Street as the agency continues to probe high-frequency trading and the growth of dark pools, trading venues where trades take place away from the main exchanges. High-frequency trading has come under greater scrutiny since the May 6 'flash crash,' when some high-frequency firms along with a number of other active traders withdrew from the market, arguably exacerbating the stocks' swift downdraft that day. High-speed trading, now estimated to account for about two-thirds of U.S. stock market volume, takes many forms, some entirely proper. Defenders say it reduces trading costs for all investors by adding volume to the market. Latency arbitrage is a type of trading that relies on ultrahigh speeds; it's not clear which firms engage in it or how pervasive it is. Some firms pay tens of thousands of dollars a year to individual exchanges for premium access to their price feeds, industry players and exchanges say. The SEC, in a broad review of market structure earlier this year, said information from trading-center data feeds 'can reach end-users faster than the consolidated data feeds.' The latency arbitrage trade aims to game the so-called national best bid and offer price on a stock, which sets the price most investors use to trade. The ability to estimate price moves ahead of the national best bid and offer price, which is consolidated electronically from exchanges, can give traders an advantage of about 100 to 200 milliseconds over investors who use standard market tools, according to a November 2009 report on such trading activities by Jefferies & Co. An advanced look at exchange data and order flow can provide firms 'the ability to forecast future prices' and 'make adjustments to their orders in the market or send new orders which are based on this information,' the report found. |
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