**: Issued by Shenzhen Stock Exchange and Shanghai Stock Exchange.
On September 1, 2023, the Shenzhen Stock Exchange issued the Notice on Matters Concerning the Reporting of Programmatic Transactions and the Notice on Matters Concerning Strengthening the Management of Programmatic Transactions, establishing a special reporting system and corresponding regulatory arrangements for quantitative trading, which will be officially implemented on October 9, 2023. With the joint efforts of all parties involved in the market, the above-mentioned system has been smoothly implemented, the existing investors have completed the reporting work as scheduled, and the incremental investors have implemented the provisions of "reporting first, then trading", 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 trading. Based on the reporting information, the firm will continue to strengthen the monitoring and analysis of quantitative trading, especially high-frequency trading, and dynamically evaluate and improve the reporting system.
In recent years, with the widespread use of new information technology, quantitative trading has become an important trading method. Quantitative trading helps to provide liquidity to the market and facilitates discovery. However, quantitative trading, especially high-frequency trading, has obvious advantages in technology, information and speed compared with small and medium-sized investors, and there are also problems such as strategy convergence and trading resonance at some points in time, which increases market volatility. 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.
In the next step, the firm will adhere to the investor-oriented, take the maintenance of fairness as the starting point and end point of its work, learn from international regulatory practices, pursue advantages and avoid disadvantages, and establish and improve regulatory arrangements for quantitative trading, including strict implementation of the reporting system and clarification of the access arrangement of "report first, then trade"; 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.
At the same time, we will further consolidate the customer management responsibilities of ** companies, improve the self-discipline management and cooperation mechanism with ** industry associations and ** industry associations, and strengthen the transaction supervision of quantitative private equity and other institutions, etc.
In addition, we will strengthen communication with HKEX, clarify the reporting arrangements for Northbound investors under the Shenzhen-Hong Kong Stock Connect in accordance with the principle of consistency between domestic and foreign investors, and include quantitative trading by Northbound investors in the reporting scope.
For abnormal transactions that affect the market order, the Exchange will resolutely take self-discipline management measures, and those suspected of violating laws and regulations and serious circumstances will be reported to the CSRC for investigation and punishment.
On September 1, 2023, the Shanghai Stock Exchange issued the Notice on Matters Concerning the Reporting of Programmatic Transactions and the Notice on Matters Concerning Strengthening the Management of Programmatic Transactions, establishing a special reporting system and corresponding regulatory arrangements for quantitative trading, which will be officially implemented on October 9, 2023. With the joint efforts of all parties involved in the market, the above-mentioned system has been smoothly implemented, the existing investors have completed the reporting work as scheduled, and the incremental investors have implemented the provisions of "reporting first, then trading", 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 trading. The SSE will continue to strengthen the monitoring and analysis of quantitative trading, especially high-frequency trading, based on the reporting information, and dynamically evaluate and improve the reporting system.
In recent years, with the widespread use of new information technology, quantitative trading has become an important trading method. Quantitative trading helps to provide liquidity to the market and facilitates discovery. However, quantitative trading, especially high-frequency trading, has obvious advantages in technology, information and speed compared with small and medium-sized investors, and there are also problems such as strategy convergence and trading resonance at some points in time, which increases market volatility.
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. In the next step, the SSE will adhere to the investor-oriented, take the maintenance of fairness as the starting point and end point of its work, learn from international regulatory practices, pursue advantages and avoid disadvantages, and establish and improve regulatory arrangements for quantitative trading, including 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.
At the same time, we will further consolidate the customer management responsibilities of ** companies, improve the self-discipline management and cooperation mechanism with ** industry associations and ** industry associations, and strengthen the transaction supervision of quantitative private equity and other institutions, etc.
In addition, the SSE will strengthen communication with the Hong Kong Stock Exchange, clarify the reporting arrangements for northbound investors under the Shanghai-Hong Kong 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.
The SSE 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 CSRC for investigation and punishment.
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