“unfiltered” 혹은 “naked”

1.
SEC가 고빈도거래(HFT)를 금지했다고 신문이 보도했습니다.

미 증권거래위원회(SEC)는 3일 규제당국의 인가를 받지 않은 극초단타 매매자들의 거래를 사실상 금지하는 규정을 5명의 위원 만장일치로 통과시켰다. 이번에 금지된 네이키드 액세스(Naked Access)는 증권사 등 중개업체들이 주로 기관투자가인 극초단타 매매자들에게 빠른 주식 매매가 가능하도록 전산처리 시스템을 유료로 빌려주는 것을 말한다. 이 시스템을 이용하면 남들보다 한발 빨리 거래할 수 있는 장점이 있다.보통 주식 매수 주문이 시장에 도달하기까지 0.3초가 걸리지만 HFT 프로그램을 이용하면 10분의 1인 0.03초 안에 주문 체결이 가능하다.

미증권당국, 극초단타매매 금지중에서

이 소식을 듣고 dolppi님이 한 소리했습니다.

@finance_it HFT를 금지한 것이 아니라, 우리로치면 “FEP직접주문”을 금지한거죠. 주문전에 적절한 위험관리를 제공하도록 강제하고있습니다. 아마 증권사에서는 “risk firewall” 형태의 시스템을 FEP 앞에 두어야 할 것 같네요.

2.
SEC가 발표한 원문을 보도록 하죠. 잠깐 딴 이야기를 하면 미국은 증권시장과 파생시장을 감독하는 기관이 다릅니다. 한국은 하나이지만 미국은 SEC와 CFTC로 분리되어 있습니다. 아래 발표문이나 Flash Crash 보고서를 보면 한국 관료나 공무원들과 다릅니다. 한국의 공무원양식은 문장이 아닙니다. 영어와 한글의 차이일 수 있지만 저는 미국식으로 문장이 좋습니다. 최소한 공무원은 한글을 잘 사용해야 하니까.

글 제목은 SEC 발표문에서 따왔습니다.

Sponsored access = “unfiltered” or “naked” access to an exchange or ATS

Sponsored access를 걸러지지 않은(Unfiltered) 접근이라고 하여 금지하였습니다. Unfiltered라는 의미는 넓습니다.금지하면서 아래와 같은 의무를 부과하였습니다.

It also requires brokers with market access including those who sponsor customers’ access to an exchange or ATS  to put in place risk management controls and supervisory procedures to help prevent erroneous orders, ensure compliance with regulatory requirements, and enforce pre-set credit or capital thresholds.

SEC는 Sponsoered Access=unfiltered access를 “자신이 가지고 있는 차 열쇠를 운전면허도 없는 친구에게 주면서이 타지 않고 혼자서 운전하도록 방치하는 행위”라는 비유를 사용하고 있습니다. 운전면허를 딸 때 도로주행을 합니다. 이 때 동승한 교관은 시시콜콜 간섭하고 따집니다. SEC는 이런 역할을 브로커와 딜러가 하여야 한다고 말 합니다. 이번의 금지는 이런 역할을 하도록 강제한 조치입니다.

이번 조치로 시장의 공정성, 투명성, 효율성(Fair, Transparent and Efficient)을 높이려는 SEC 노력의 일환이라고 합니다. 좀 길지만 보도자료에 포함된 현황입니다.

Market Access by Broker-Dealers:

Broker-dealers are required to comply with the rules of the exchanges to which they have access. Using their ‘special pass,’ known as the market participant identifier (MPID), they can electronically access an exchange or ATS and place an order for a customer.

Broker-dealers are specially regulated with respect to their access on an exchange or ATS because they are subject to the federal securities laws as well as the rules of the self-regulatory organizations that regulate their operation.

Customers Placing Orders Themselves:

Today, most orders are routed for execution in milliseconds through high-speed, high-volume, automated algorithmic trading. High-frequency trading alone has been estimated to account for more than 50 percent of the U.S. equities market volume. As a result, some sophisticated customers particularly institutions and high-frequency traders have begun using technological tools to place orders and execute high-speed trades themselves. They do so by essentially bypassing their broker-dealer, who provides the customer with the MPID.

When the customer is provided with access to an exchange or ATS using the broker-dealer’s MPID, the arrangement is known as “direct market access” or “sponsored access.”

In some of these arrangements, the customer is able to place an order that flows directly into the markets without first passing through the broker-dealer’s systems and without being pre-screened by the broker-dealer in any manner. This type of sponsored access arrangement is known as “unfiltered” access or “naked” access.

Regardless of the type of market access, the broker-dealer who provides the access is legally responsible for all trading activity that occurs under the MPID.

The Potential Concerns Associated with Market Access

The application of sophisticated, high-speed trading technology combined with the ability of customers to place orders and trade on markets with little or no substantive intermediation by their brokers has given rise to increased concerns about the quality of broker-dealer risk controls in market access arrangements.

Of particular concern is the quality of broker-dealer risk controls in “unfiltered” access arrangements. In some cases, the broker may be relying on assurances from its customer that the customer has appropriate risk controls in place.

Through sponsored access, especially “unfiltered” or “naked” sponsored access arrangements, there is the potential that financial, regulatory and other risks associated with the placement of orders are not being appropriately managed.

In particular, there is an increased likelihood that customers will:

Enter erroneous orders as a result of computer malfunction or human error.
Fail to comply with various regulatory requirements.
Breach a credit or capital limit.

The potential impact of a trading error or a rapid series of errors, caused by a computer or human error, or a malicious act, has become more severe. In addition, the inter-connectedness of the financial markets can exacerbate market movements, whether they are in response to actual market sentiment or trading errors.

Requirements Under the Rule

The rule adopted by the Commission requires either …

Broker-dealers who are members of an exchange or subscribe to an ATS …
or
Broker-dealer operators of an ATS that provide access to trading securities directly on their ATS to a person other than a broker or dealer …
… to implement certain risk management controls and supervisory procedures to manage the various risks. These controls and supervisory procedures would effectively eliminate “unfiltered” or “naked” sponsored access.

Under the rule, a broker-dealer has to establish, document and maintain a system of risk management controls and supervisory procedures reasonably designed to manage the financial, regulatory and other risks related to its market access, including access on behalf of sponsored customers.

In association with this requirement, broker-dealers have to:

Create financial risk management controls reasonably designed to prevent the entry of orders that exceed appropriate pre-set credit or capital thresholds, or that appear to be erroneous.

Create regulatory risk management controls reasonably designed to ensure compliance with all regulatory requirements applicable in connection with market access.

Have certain financial and regulatory risk management controls applied automatically on a pre-trade basis before orders route to an exchange or ATS

Maintain risk management controls and supervisory procedures under the direct and exclusive control of the broker-dealer with market access. There would however be limited exceptions, as specified in the rule, to permit a broker or dealer to reasonably allocate certain controls and procedures to another registered broker or dealer that, based on its position in the transaction and its relationship with the ultimate customer, can more effectively implement them.

Establish, document and maintain a system for regularly reviewing the effectiveness of its risk management controls and for promptly addressing any issues.
SEC Adopts New Rule Preventing Unfiltered Market Access중에서

FIA에서 권고한 내용을 보면 이상의 조치를 그림으로 표현하고 있습니다.

앞서 HFT, Latency부터 전략까지에서 소개하였던 그림입니다. @Dolppi님이 말하신 내용이 어떤 뜻인지 이해가 되었으리라 믿습니다.

3.
이제 이상의 규정을 어떻게 시스템화하여야 할까요? Colocation Service를 제공하고 있기때문에 두가지 선택이 가능하지 않을까 합니다. 우선 거래소차원에서 서비스를 제공하는 방안입니다. BATS에서 제공하는 Sponsored Access의 Risk Management Service가 사례입니다.

US Equities Sponsored Access Specification

다른 경우는 OMS(Order Management System) 혹은 Automated Trading System에 관련기능을 내장하는 경우입니다. NYSE Technologies에서 제공하는 서비스가 사례입니다. NYSE는 Proximity Service를 제공하고 있습니다. 그래서 BATS와 다른 그림을 그렸습니다.

위의 그림은 Risk Filtering Gateway만을 다룹니다. 아마도 SEC의 새로운 규정에 영향을 받은 듯 하지만 NYSE가 새로운 Risk Management Gateway를 발표하였습니다.(MAG는 Market Access Gateway입니다. 우리로 말하면 FEP와 비슷합니다.)

Demand for low-latency access to markets has increased for all market participants. Brokers need to manage their risk exposure and the risk exposure of their clients in real time without impeding their clients’ trading objective.

NYSE Technologies’ Risk Management Gateway is a high throughput, low latency routing and risk management engine with extensive reporting capabilities, enabling broker-dealers to safely provide high performance direct market access to their clients. It provides broker-sponsored participants with high-performance, risk-filtered access to market centers allowing sponsoring brokers to control the risk limits imposed on participants via a real-time, web-UI.

Performance
Risk Management Gateway excels in the following areas:

Microsecond latency & jitter reduction
Small footprint for lightweight, in-memory risk filters
Optimizations on multi-core CPUs
In-line trade activity controls
Risk Filtering
A set of trade filters, configured and managed by Sponsoring Brokers via the web UI, controls the level of risk taken on by Client Traders.

Each filter blocks Orders from reaching the markets according to configurable criteria. If a client’s message fails a trade filter, Risk Management Gateway blocks the message and sends the client a reject specifying the reason for the block.

Per-Order Quantity
Per-Order Value
Daily Order Quantity
Daily Order Value
Easy-to-Borrow List
Block all orders from a Client Trader
Every filter can be optionally configured with Symbol or Symbol/Side constraints (i.e., Daily Order Value by Symbol). Any filters may be updated or removed intraday via the intuitive GUI.

Additional filters can be created on-demand, including but not limited to Market Manipulation and various Notional Position Limits filters.

Mass Cancel
Sponsoring Brokers have the ability to arbitrarily cancel orders placed by Client Traders.

Cancel all open orders for a Client Trader
Cancel all orders for a Client Trader by Symbol
Cancel all orders for a Client Trader by Symbol and Side
Cancel a single order for Client Trader by unique ID

Monitoring
All monitoring and control of Risk Management Gateway is performed using the web-UI and the drop copy APIs. The web-UI provides the sponsoring broker an aggregate view of each participant’s trading activity as well as the state of the various filters applied to that client.
Risk Management Gateway중에서

앞서 소개한 BATS의 서비스와 거의 동일합니다. 금융투자회사에서 Prop Desk든 DMA Trading을 활성화하기전에 RMG수준의 시스템을 구축할 필요가 있지않을까 합니다.

4.
얼마전 한국판 Flash Crash라는 사건이 있었습니다. 이사건을 두고 언론에서 말이 많았지만 위험관리를 하지 못한 오류로 판명되었습니다.

선물 주문 오류 (한국판 flash crash)
10월 5일 선물시장 헤프닝

10월 5일의 사건은 증권사내 Prop Desk에서 발생한 사건입니다. Prop Desk는 아니지만 IT적으로 비슷한 경우 ELW의 VIP시스템입니다. 두 경우 모두 한국형 DMA Trading이라고 할 수 있습니다.

여기서 한국과 미국은 서로다른 정책을 취합니다. SEC는 위험관리라는 면에서 시장접근을 합니다. FSC와 FSS는 전산자원의 배분(FEP Channel의 사용)으로 접근하고 있습니다. 여기서 의문이 듭니다. 왜 KRX는 주문채널을 증권사가 원하는 만큼 제공하지 않을까요? 원하는 만큼 하면 분배니 하는 문제가 발생하지 않을텐데요.

KRX의 Exture를 설계할 때 주문접수와 처리시스템에 어떤 한계가 있나?(^^)