Finance Associated Press, March 4 (Reporter Yan Jun).On March 4, the Shanghai and Shenzhen stock exchanges jointly issued an announcement on the holding of trading compliance training for quantitative private equity institutions.
The announcement pointed out that the purpose of this training is to help quantitative private equity institutions timely and accurately understand the regulatory ideas and work requirements of quantitative trading, effectively improve the level of compliance trading, and prevent quantitative trading risks. Leaders and business backbones from 28 leading quantitative private equity firms participated.
Some industry insiders told the Financial Associated Press reporter that the training was held last week, and the legal and compliance heads of 28 head quantitative private placements attended the training, covering more than 10 billion quantitative private equity institutions, and these head institutions are also in the key monitoring list of supervision.
The above-mentioned person pointed out that the regulator emphasized two points in the training:
The first is to focus on reiterating abnormal trading behaviors. A few days ago, Lingjun Investment was suspended from trading by the Shanghai and Shenzhen Stock Exchanges for three days due to abnormal trading behavior, and the supervision once again made a clear and clear reiteration of "abnormal trading". In fact, the regulation of abnormal transactions is a requirement for all types of participants in the market to be treated equally, but quantification is focused on because of the faster trading.
Second, quantitative institutions are required to focus on the impact of trading behavior on the market. The person pointed out that the regulator said that at the moment when the market liquidity is not high, quantification can inject liquidity into the market, and at the same time, there is also the problem that quantitative trading itself accounts for too high, which requires quantitative private equity institutions to be more cautious. Pay attention to the impact of your own trading on the market.
It is reported that the regulator has also listed several typical cases of abnormal transactions that have not been made public, and publicized them to the institutions.
In this regard, some industry insiders pointed out that through the training, it can be understood that the regulator's understanding of quantification is very objective, including DMA and other data models, scale, and transaction proportion data are very complete. "After the training, we also communicated and learned internally, and in the future, we will strictly follow the rules formulated by the regulator in the transaction, align with the requirements of the regulator, and eliminate the misunderstanding of the market about quantification. The above-mentioned person noted.
The two exchanges conducted quantitative training, and 28 heads participated
According to the announcement of the Shanghai and Shenzhen Stock Exchanges, in this training, the Shanghai and Shenzhen Stock Exchanges notified typical cases of abnormal transactions in quantitative trading, introduced the overall idea of quantitative trading supervision, and clearly required quantitative private equity institutions to strengthen internal risk control management, prevent the trading process from affecting the security of the exchange system or normal trading order, effectively standardize quantitative trading behavior, implement compliance trading requirements, and ensure the stable operation of the market.
Since the beginning of this year, the Shanghai and Shenzhen Stock Exchanges have strengthened the supervision of quantitative trading, and responded quickly and vigorously to abnormal transactions and violations of quantitative trading that affect the normal order of the market and damage the legitimate rights and interests of investors.
In the next step, the Shanghai and Shenzhen Stock Exchange will adhere to the investor-oriented, take the maintenance of fairness as the starting point and end point of the work, accelerate the establishment and improvement of quantitative trading regulatory arrangements according to the unified deployment of the China Securities Regulatory Commission, further expand the scope of quantitative trading compliance training, standardize quantitative trading behavior, maintain the normal trading order of the market, and protect the legitimate rights and interests of investors.
Industry interpretation: regulatory focus on two cores
According to the feedback of a number of industry insiders, there are two core points of this training:Reiterate abnormal trading behaviors and require quantitative institutions to focus on the impact of trading behaviors on the market.
In terms of reiterating abnormal trading behaviors, some industry insiders pointed out that through this training, quantitative private placement has more clearly defined the types of abnormal trading behaviors.
According to the previous requirements, the Shanghai and Shenzhen Stock Exchanges have clear provisions on the definition, constituent elements and quantitative standards of various types of abnormal trading behaviors, including the quantitative standards for five typical abnormal trading behaviors, including false declarations, pulling up and suppressing stock prices, maintaining price (down) limits**, self-buying and self-selling or counterparty transactions, and abnormal reporting rates for serious abnormal fluctuations**.
After the programmatic trading account is reported, if there is abnormal trading behavior, the supervision can penetrate to the manager as soon as possible and conduct an investigation. Especially in the short term, if the trading impact index rises and falls, everyone should take caution. The above-mentioned person pointed out that strict abnormal trading behavior is a consistent and clear attitude of supervision, and in terms of quantification, supervision also emphasizes the "lie" behavior of the cancellation rate. Of course, it is inevitable that there will be mistakes in placing orders, but the behavior of using programmatic trading to frequently entrust and cancel orders will mislead other investors in the market, and this kind of excessive speculation is also one of the regulatory directions.
In terms of requiring quantitative institutions to focus on the impact of trading behavior on the market, some industry people pointed out that using the tools of programmatic trading, quantitative private equity institutions should reduce market volatility in the setting of algorithmic trading models, and quantification needs to give priority to itself, rather than causing market fluctuations.
During this year's Spring Festival, the market liquidity was sluggish, and quantitative private equity was the main provider of market liquidity, but under factors such as excessive scale, convergence of strategies and excessive trading, trading behavior caused certain fluctuations in the market. Especially on the first trading day after the Spring Festival, Lingjun Investment sold a total of more than 2.5 billion yuan on the Shanghai and Shenzhen Stock Exchanges within one minute after the opening of the market, which had an impact on the Shanghai Index and the Shenzhen Component Index and seriously affected the normal trading order.
Therefore, the Shanghai and Shenzhen Stock Exchanges decided to continuously suspend or restrict the trading of investors' accounts on the relevant products managed by Ningbo Lingjun from February 20 to February 22, that is, suspend or restrict all ** transactions of the relevant product accounts listed on the Shanghai and Shenzhen Stock Exchanges during the above period, and at the same time initiate the disciplinary procedure of public reprimand to Ningbo Lingjun.
In fact, the regulator's investigation into the existence of abnormal transactions is not the only one in Lingjun Investment, and at this training, the Shanghai and Shenzhen Stock Exchanges also notified other typical cases of abnormal transactions in quantitative trading, emphasizing the risk control management of quantitative institutions.
The industry told the Financial Associated Press reporter that there was indeed a phenomenon of over-trading in quantification, especially on the CSI 2000 Index, due to the lack of tools such as stock indexes, it is impossible to achieve complete hedging, which will cause some disturbances to the market. At present, with the decline of quantitative scale, the degree of transaction congestion has decreased, and the awareness of risk control and compliance has been improved, and the impact of trading behavior on the market has been avoided and reduced as much as possible.
The industry may accelerate the clearance
In the micro-market liquidity crisis during the Spring Festival, the performance of quantitative private placement has retreated sharply, including a sharp decline in the scale of DMA, and quantitative has also suffered a certain redemption, and the current stock scale has declined.
Still taking the DMA business as an example, the reporter of the Financial Associated Press got data from various sources showing that around the Spring Festival this year, the decline in the micro-disk has greatly damaged the vitality of the DMA business, and the data from the end of 2023 to February 8, 2024 has estimated that the DMA scale has decreased by about 50%.
Of course, this data only contains regulatory caliber, in fact, market participants pointed out that since 2023, some small and medium-sized private placements have been driven by the interests of DMA on the scale, and some fees have a rate of 1% + 40%, including some inferior quota sales to **, which may be the illegal acts mentioned by the regulator. There are flaws in the suitability and compliance of investors, and investors should pay attention to identifying the risks of such products.
At present, some small institutions have privately issued DMA products without filing, and in the eyes of the industry, these violations and violations may be subject to severe regulatory penalties and accountability.
A leading quantitative private equity firm said that stricter supervision is conducive to the survival of the fittest in the industry, and only by meeting regulatory requirements, strengthening the awareness of compliance and risk control, and developing in the rules can we go further in the industry.
Financial Associated Press reporter Yan Jun).