On February 20, according to the Shanghai and Shenzhen Stock Exchanges**, the quantitative transaction reporting system was smoothly implemented. In the next stage, the Shanghai and Shenzhen Stock Exchanges will continue to strengthen the monitoring and analysis of quantitative trading, especially high-frequency trading, from the institutional side, access side, trading side, information side, institutional side, etc., and include the quantitative trading of northbound investors in the reporting scope in accordance with the principle of consistency between domestic and foreign investment.
The Shanghai Securities Daily reporter learned that this is the first time that the Shanghai and Shenzhen Stock Exchanges have launched a series of regulatory measures for quantitative trading, which highlights the regulatory attitude and reflects the determination of the regulatory authorities to strengthen the supervision of quantitative trading and maintain market stability. Subsequently, the relevant quantitative trading regulatory measures will be matured and launched, and fully strengthen communication with all kinds of investors in the market, grasp the rhythm and intensity of work, standardize quantitative trading, and maintain the stable operation of the market.
On the same day, the Shanghai and Shenzhen Stock Exchanges issued a "fine" for the abnormal trading of Ningbo Lingjun Investment Management Partnership (Limited Partnership) (hereinafter referred to as "Ningbo Lingjun"), restricted Ningbo Lingjun from trading and initiated a public censure procedure. Industry insiders believe that the supervision of "long teeth and thorns" is intended to promote standardization and guide quantitative development. For violations of laws and regulations that affect the normal trading order of the market and damage the legitimate rights and interests of investors, the regulatory authorities will respond quickly and strike hard.
According to the Shanghai and Shenzhen Stock Exchanges**, the regulatory measures for quantitative trading include strict implementation of the reporting system and clarification of the access arrangement of "report first, trade later"; Strengthen the authorization management of quantitative trading** and improve the differentiated charging mechanism; Improve the monitoring and monitoring standards for abnormal transactions, and strengthen the supervision of abnormal transactions and abnormal order cancellation; Strengthen the monitoring and regulation of leveraged quantitative products, and strengthen the supervision of futures and spot linkage.
According to the analysis of market participants, the policies introduced this time are highly targeted, highlighting the investor-oriented. For example, the requirement of "report first, trade later" helps to further accurately identify quantitative transactions; In view of the information advantages of quantitative trading, it is clear to strengthen the management of authorization; In view of the recent trading situation of quantitative trading in small market capitalization**, the monitoring and regulation of leveraged products have been clearly strengthened to prevent stampedes in a short period of time. Including the self-discipline management measures taken by Ningbo Lingjun this time, it is a reflection of the regulatory authorities to strengthen the supervision of abnormal trading behaviors.
In the early stage, the regulatory authorities established a quantitative transaction reporting system, and in accordance with the requirements, we have completed the reporting of existing customers, established a customer transaction monitoring system, and organized and mobilized relevant customers to report. Huatai ** relevant people said that in the future, the company will continue to dynamically follow up on new additions and changes, strictly implement the reporting system, and strengthen the detection of abnormal trading behaviors.
The Shanghai and Shenzhen Stock Exchanges have also put forward specific measures from the institutional side, including further consolidating the customer management responsibilities of ** companies, improving the self-discipline management and cooperation mechanism with ** industry associations and ** industry associations, and strengthening the transaction supervision of quantitative private equity and other institutions; Strengthen communication with the Hong Kong Stock Exchange, clarify the reporting arrangements for Northbound investors under the Stock Connect in accordance with the principle of consistency between domestic and foreign investors, and include quantitative trading of Northbound investors in the reporting scope.
He Wenqi, chairman of Shenzhen Chengqi, said that the measures introduced this time are conducive to reducing the impact of illegal quantitative trading on the market and maintaining the stability and fairness of transactions. The quantitative trading reporting system has been implemented for nearly half a year, and the quantitative trading regulatory measures emphasize the supervision of frequent order cancellation, strengthen the monitoring of leveraged products, and clarify the principles of northbound quantitative trading reporting, releasing a signal for the supervision to further standardize quantitative trading.
The Shanghai and Shenzhen Stock Exchanges also said that the next step will be to adhere to the investor-oriented, to maintain fairness as the starting point and end point of the work, learn from international regulatory practices, seek advantages and avoid disadvantages, and establish and improve quantitative trading regulatory arrangements. The Shanghai and Shenzhen Stock Exchanges will resolutely take self-discipline management measures for abnormal transactions that affect the market order, and those suspected of violating laws and regulations and serious circumstances will be reported to the China Securities Regulatory Commission for investigation and punishment.
For the first time, the Shanghai and Shenzhen stock exchanges have played a policy "combination punch" from the institutional side, access side, trading side, information side, institutional side, etc., to further strengthen the pertinence and accuracy of quantitative trading supervision.
The relevant person of the First Department of Market Supervision of the China Securities Regulatory Commission told reporters that the China Securities Regulatory Commission has been concerned about the development and supervision of quantitative trading, and has successively promoted a lot of work in recent years, including including the inclusion of quantitative trading in the scope of the first legal system, the establishment of a data collection mechanism for head quantitative institutions, the strengthening of quantitative trading monitoring and analysis, the establishment of a programmatic transaction reporting system, and the strengthening of private placement and securities lending supervision. The "combination punch" of quantitative trading supervision launched this time is strong, strengthening supervision from multiple dimensions, and basically covering the main links of quantitative trading business operations.
In the next stage, a series of measures for the supervision of quantitative trading will be matured and launched, and communication with all kinds of investors in the market will be fully strengthened, so as to grasp the rhythm and intensity of work, promote the standardized and healthy development of quantitative trading, and maintain the stable operation of the market. Said the above-mentioned person.
Huatai ** relevant people said that the relevant regulatory measures from the access reporting mechanism, regulatory coverage, trading behavior and supporting systems and other aspects of a series of arrangements, around the early implementation of the programmatic transaction reporting management system, reflecting the supervision of "long teeth and thorns", further eliminating the regulatory gap.
There is a lot of discussion in the market about quantitative regulation at the moment. Many people believe that quantitative trading started late, but it has developed rapidly and has a greater impact on the market.
It is necessary to look at the impact of quantitative trading on the market dialectically. On the one hand, quantitative trading is usually run with full positions or high **, which provides more liquidity for the market and helps to promote discovery. On the other hand, quantitative trading, especially high-frequency trading, has the characteristics of fast transaction speed, strong processing ability, and the use of artificial intelligence, and has strong technical advantages, information advantages and trading advantages compared with the majority of investors, and some micro-disk trading behaviors have strategy convergence, transaction convergence, and even trading time convergence, which further amplifies the volatility and then causes market resonance.
A relevant person from the Market Supervision Department of the China Securities Regulatory Commission told the Shanghai Securities Daily reporter that the comprehensive policy of the Shanghai and Shenzhen Stock Exchanges to supervise quantitative trading is not to kill quantitative trading with a "stick", nor to prohibit quantitative trading, but in the daily supervision process, it is found that quantitative trading is more frequent and the frequency of canceling orders is too high, and there is excessive use of information advantages, aggravating information asymmetry, etc., which brings more and more unfairness to the market.
Considering the current market conditions of 200 million investors, and the risk of increasing market volatility in quantitative high-frequency trading in a specific market environment, it is necessary to promote its standardized development according to the situation and give more prominence to investors. Said the above-mentioned person.
The focus is on high-frequency trading, which is in line with international practice.
A relevant person from the First Department of Market Supervision of the China Securities Regulatory Commission said that the focus of this quantitative trading supervision is on high-frequency trading. From the perspective of international experience, overseas markets generally implement stricter supervision on quantitative trading, especially high-frequency trading, to prevent negative impact on market order.
For example, Germany, Japan and other countries have centralized regulations on quantitative trading in the form of statutory laws, and implemented access registration management for high-frequency traders. Germany stipulates the definition and characteristics of algorithmic trading and high-frequency trading, exchange fees, transaction monitoring indicators, system requirements, etc.; Japan has issued regulatory guidelines specifically for the regulation of high-frequency trading actors.
Markets such as the U.S. limit the speed at which high-frequency traders can obtain trading information, reduce information asymmetry, and ensure that investors' orders can be executed optimally, while expressly prohibiting any market participant from engaging in, designating, or attempting to engage in disruptive behavior, including market manipulation such as "spoofing" that accompanies the rise of high-frequency trading.
Many market participants also reported that the quantitative trading reporting system established in the early stage made additional reporting requirements for high-frequency trading, so as not to affect the security of the exchange system and the normal trading order, which is also in line with the international common approach.
On September 1 last year, the Shanghai and Shenzhen Stock Exchanges issued the Notice on Matters Concerning the Reporting of Programmatic Transactions and the Notice on Matters Concerning the Strengthening of the Management of Programmatic Transactions, establishing a special reporting system and corresponding regulatory arrangements for quantitative trading, which were officially implemented on October 9, 2023.
The reporter learned from the First Department of Market Supervision of the China Securities Regulatory Commission that at present, the stock investors have achieved "all the reports that should be reported", and the incremental investors "report first and then trade", and the quality of the reports of all parties generally meets the requirements, laying the foundation for further strengthening and improving the supervision of quantitative transactions.
It is reported that the content of the quantitative trading report is very detailed, including basic account information, account capital information, transaction information, trading software information and other categories, and there are specific requirements under the category, such as account capital information requires filling in the account capital size, capital **, proportion, leveraged funds need to fill in leveraged funds** and leverage ratio; The transaction information is required to fill in the trading variety, whether it belongs to quantitative trading, the main strategy type and overview, the auxiliary strategy and overview, the market account name, the execution method and overview of the trading order, the maximum declaration rate of the account, the maximum number of declarations in a single day, etc.
A relevant person from the Market Supervision Department of the China Securities Regulatory Commission said that unreported investors cannot conduct programmatic trading, which is equivalent to allowing investors to "drive with a license" first, providing institutional conditions for timely detection of violations and real-time monitoring.
The author of this article: Liang Yinyan, **Shanghai**Daily, original title: "Quantitative Trading Supervision Comes Out with Another "Combination Punch" and the Follow-up Will Mature One and Launch One"**Wall Street News, Welcome**APP to see more.