The Shanghai and Shenzhen Stock Exchanges reported on March 4 that a few days ago, the Shanghai and Shenzhen Stock Exchanges jointly held a trading compliance training for quantitative private equity institutions 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.
The Shanghai and Shenzhen Stock Exchanges said that in the next step, they will accelerate the establishment and improvement of quantitative trading regulatory arrangements, further expand the scope of quantitative trading compliance training, and maintain the normal trading order of the market.
*: Shanghai and Shenzhen stock exchanges.
Quantitative private equity firms are required to strengthen internal risk control management.
It is reported that the heads and business backbones from 28 leading quantitative private equity institutions participated in the training. 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.
The Shanghai and Shenzhen Stock Exchanges said that in the next step, they 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.
The quantitative trading reporting system has been implemented smoothly.
In September 2023, the Shanghai and Shenzhen Stock Exchanges established a special reporting system and corresponding regulatory arrangements for quantitative trading. In February this year, the Shanghai and Shenzhen Stock Exchanges announced that the relevant quantitative trading reporting system had been smoothly implemented.
According to the Shanghai and Shenzhen Stock Exchanges, the existing investors have completed the reporting work as scheduled, and the incremental investors have implemented the "report first, then trade" regulations, 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.
At that time, the Shanghai and Shenzhen Stock Exchanges further clarified the regulatory thinking of quantitative trading, and stated that they would adhere to the investor-oriented, take the maintenance of fairness as the starting point and end point of their 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 "reporting first, then trading"; 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 the company, improve the self-discipline management and cooperation mechanism with the first industry association and the first industry association, and strengthen the transaction supervision of quantitative private equity and other institutions.
In addition, the Shanghai and Shenzhen Stock Exchanges will strengthen communication with HKEX, clarify the reporting arrangements for Northbound investors under 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 Shanghai and Shenzhen Stock Exchanges 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.
Clarify the key monitoring items of programmatic transactions.
In recent years, with the widespread use of new information technology, quantitative trading has become an important trading method.
Market participants believe that quantitative trading helps to provide liquidity to the market and promote 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 this context, on September 1, 2023, the Shanghai and Shenzhen Stock Exchanges issued the Notice on Matters Concerning the Programmatic Transaction Reporting Work and the Notice on Strengthening the Management of Programmatic Transactions to further improve the programmatic transaction reporting and management system, which will be implemented simultaneously from October 9, 2023.
Among them, the "Notice" lists the key monitoring matters of the exchange for programmatic trading investors. Including abnormal trading behaviors stipulated in the business rules of the exchange that may affect **trading**, trading volume or the security of the exchange's system; The maximum declaration rate reaches more than 300 transactions per second, or the maximum number of declarations in a single day reaches more than 20,000 transactions; Multiple **transactions** or the trading volume is obviously abnormal, and a large number of programmatic transactions are involved during the period; Other matters that the Exchange deems necessary to focus on monitoring.
At the same time, the Notice clarifies that exchanges can put forward differentiated management requirements for high-frequency trading. Specifically, it includes adjusting the criteria for identifying abnormal transactions and adding the content of programmatic transaction reports. If it is clarified that the maximum declaration rate of programmatic trading investors reaches more than 300 transactions per second or the maximum number of declarations in a single day reaches more than 20,000 transactions, the exchange may take measures such as adjusting the criteria for identifying abnormal transactions and increasing the content of programmatic transaction reports as appropriate.
*: China ** Daily.
Editor: Kobayashi.