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| 有那么严重吗, 0.03秒的时间差 ? 最近，美国证券市场“闪电指令”赚暴利的问题抄的很热，我转载两篇文章如下，供感兴趣的朋友相互交流。 我对这个问题很感兴趣，还没有完全弄通这中间的关键所在。 这是和讯的文章： 美投行用高速计算机早0.03秒获交易信息 赚暴利 2009年07月25日13:40 和讯消息 据《纽约时报》报道，美国政策制定者们希望证券交易委员会（SEC）能够修改股市交易规则，禁止包括高盛在内大型投银行以及对冲基金在投资者在交易委托单公开之前偷看交易信息。 据悉，美国大型投行利用的高速计算机要比一般投资者早0.03秒获得市场交易的信息，通过这个优势他们可以在股市里赚取巨额利润。纽约州民主党参议员、参议院金融委员会(Senate Finance Committee)的资深成员查尔斯·舒莫(Charles E. Schumer)在一封写给SEC的信中这样表示，如果SEC不采纳他提出的禁止大投行利用高速计算机的建议，他打算直接撰写法案禁止该项操作策略。查尔斯·舒莫在采访中称：“我们的市场必须确保一切操作都是光明正大的（open and above board)，无论投资者规模大小，都应该一律平等。现有的交易规则犹如一把利剑将这个理念击破。” 据悉，现有这种交易规则被称为闪电命令（flash order），以纳斯达克股票交易市场为例，投资者的买卖交易信息往往一闪而过便进入计算机的这些高频买卖集合中，这比在市场上向每个人公开要早0.03秒。在半秒的时间内，大型投行所使用的高速计算机软件就能洞察出有价值的信息，如某些股票需求的增加或减少。因此，大型投行可以利用这一优势，先于市场上的其他投资者参与股票交易，从而将股价推高或打压。 尽管每个人都可以在支付一定的费用后进入到闪电命令的集合中，但是只有那些拥有足够强大的计算机的投资者才能在这0.03秒的时间中对数据进行分析。最近几年，一些包括高盛在内的大型的金融机构利用这些功能强大的计算机赚取了巨额的利润。随着市场透明化的要求呼声越来越高，因此要求将每个人的交易信息都公开，闪电命令随即被SEC采纳，但这也为大型投行赢利先机创造了条件。美国证券监管委员会(SEC)前任主席、现高盛和Getco L.L.C.高级顾问阿瑟·列维特(Arthur Levitt)表示：“我反对任何人利用任何特有的优势参与市场交易。而这种交易规则正是给予了他们这样一种优势。尽管时间十分短暂。” 纳斯达克、美国股票交易平台提供商Direct Edge以及BATS交易所均采用了闪电命令的交易规则。对于查尔斯·舒莫的这封信，他们也拒绝做出任何评论。据悉，在过去，纳斯达克股票交易市场是拒绝采用闪电命令的交易规则的。某金融公司发言人韦恩（Wayne Lee）表示：“市场希望在启用这一规则下，能够让我们的客户更具有竞争力。” 当前市场对高频交易的关注日益强烈，有关争论也渐起。证券交易所表示，当前高频交易单的数量占交易总量的比例已经超过一半。金融服务研究公司Tabb Group的数据显示，去年高频交易为交易所创造了210亿美元的利润。 以下是NYT的文章： Schumer Wants to Curb Traders' Flash Orders By THE ASSOCIATED PRESS Published: July 25, 2009 Sen. Charles Schumer, D-N.Y., has asked federal securities regulators to crack down on a high-speed computing advantage that large financial firms have over other investors. If the Securities and Exchange Commission does not curb a practice that Schumer says gives certain professional investors an unfair advantage, he told the agency in a letter that he will try to do so legislatively. ''The integrity of our capital markets is being compromised by the ability of some insiders to view order information before it is available to the entire market,'' Schumer said in a letter Friday to SEC Chairman Mary Schapiro. This allows them ''to profit from that information at the expense of other investors.'' So-called flash orders allow certain members of Direct Edge, Nasdaq and BATS exchanges access (for a fee) to buy and sell order information for milliseconds prior to that information being made available to the public. High-speed computer software can take advantage of that brief period to allow those members to trade ahead of those orders -- at better prices -- and therefore profit from advanced knowledge of buying and selling activity. ''If the SEC fails to curb this practice, I plan to introduce legislation in the U.S. Senate to prohibit the use of flash orders,'' Schumer added. Schapiro said last month that the SEC was working to identify emerging risks to investors, including so-called ''dark pools,'' or automated trading systems that don't publicly provide price quotes. Large institutional investors like banks, pension funds and mutual funds use such systems when they buy and sell large blocks of shares. While the pools -- where some flash orders are sent first -- are said to generate additional liquidity in the market, Schapiro has noted that they create a lack of transparency that could cause suspicion and speculation, and cut the public out of the mix. Given the risk, Schapiro has maintained that dark liquidity may face increased regulatory action and scrutiny in the future. Even BATS Exchange Inc. CEO Joe Ratterman called for an industry review of the practice earlier this month. In a July 7 e-mail to BATS members and others in the industry, Ratterman noted that the SEC currently deems flash orders to be legal and operating within regulatory guidelines, but said BATS is ready to participate in an industry review of potential issues, ''including the possibility that they (BOLT, Flash and ELP flash order services) create a two-tier market.'' Spokespersons for Direct Edge ECN LLC and Nasdaq OMX Group Inc., which run the ELP and Flash Orders services, respectively, weren't immediately available for comment Saturday. 这是另一篇较早的有关"flash" order 评论文章： SEC to Reconsider Legality of 'Flash' Orders Traders Magazine Online News, May 29, 2009 Peter Chapman The Securities and Exchange Commission is worried about the impact of market centers' "flash" order types on the price discovery process. Speaking at an industry conference last week, David Shillman, an associate director in the SEC's Division of Trading and Markets, said flash orders "could have benefits to order senders, but, on the other side, the party being harmed is the party with the displayed limit order at that price. That goes against broad Commission policy of encouraging and rewarding those who are willing to take the risk of displaying limit orders." The SEC official added that the agency is studying the issue of flash quotes as part of a broader reassessment of so-called "dark liquidity." Shillman is the second SEC official to make public the agency's concerns over trades done offboard in recent days. As reported earlier by Traders Magazine, James Brigagliano, co-acting director of the SEC's Division of Trading and Markets, and Shillman's boss, told attendees at the Securities Industry and Financial Markets Association's annual market structure conference the SEC was worried about order flow "diverted from the public markets" into dark pools. (Shillman spoke at the same conference.) Flash orders first scan an exchange or an ECN for a fill and are then sent by the market center to a private network for a second chance at a fill. There they are "flashed" to the broker-dealer members of the network. If they are not filled in the private, or dark, network they are either cancelled or routed to another public marketplace. The order types are currently offered by the Direct Edge ECN and the Chicago Board Options Exchange's stock exchange unit. Nasdaq plans to debut two flash order types next month. BATS is said to be considering its own offering. Direct Edge's service, known as the Enhanced Liquidity Provider program, is the most successful. In April, the ECN matched 162 million shares per day through the three-year-old ELP program, according to the company. Bill O'Brien, Direct Edge's chief executive officer, maintains the integration of the public displayed market with hidden liquidity through the ELP program is a boon for the customer. Speaking at the SIFMA conference, he said it offers traders "lower transaction costs, increased fill rates, and a greater chance for price and size improvement." Use of the flash order is optional at Direct Edge. Critics of the order types voice various concerns. And like the SEC, they argue flash orders deprive limit-order traders on other exchanges of the chance to trade with the flashed orders. The orders slip into the dark, never to emerge again. "The customer opting to route his order to the marketplace that offers this functionality does have a choice," Joe Ratterman, CEO of BATS Exchange, told SIFMA attendees. "But the other customers who chose to display their orders on that market and other markets might be disadvantaged during the flash period. That is a big question." O'Brien argues that risk has always existed. Limit order traders have always had to stand by and watch trades done at their price either on other public markets or off-board, he said. "If you feel somebody posting an order on one exchange is being disadvantaged...what you are really saying is that all liquidity should be forced onto exchanges. We should have an intermarket price-and-time priority rule. We really should have a CLOB." Shillman acknowledged that making a fair playing field for the two different traders was a balancing act, but indicated that it might be possible to formulate a rule that protected same-priced orders on different venues. "It doesn't have to be a CLOB," Shillman said, "there are other ways." The flash order type is legal under current SEC rules, but that could change, according to Shillman. SEC Rule 11Ac1-1, better known as the "quote rule" requires market centers to display quotes. But an exception is granted under the rule for those orders sent to a trading venue that are immediately executed or cancelled. The flash order type qualifies under that exception, Shillman explained. "Now should it continue to be that way?" he asked. "It's an open question as to whether the quote rule should be modified--whether it is really necessary to have that [exception] in the electronic world." |
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