1.
아래 글들은 미국 National Law Review에 올라온 기사들입니다. HFT 2.0 논쟁이 있으면서 미국규제기관들이 2014년 하반기 고빈도매매에 대해 취한 조치들이 많습니다. 대부분 알고 있는 것들이지만 고빈도매매를 바라보는 규제기관의 시각이 일부 드러났습니다. Regulators Continue To Address High-Frequency Trading중 일부입니다.
- On October, 16, 2014, the SEC imposed a $1 million sanction on a high frequency trading firm, Athena Capital Research, which allegedly placed large numbers of rapid-fire orders in the final two seconds of trading to manipulate the closing prices of thousands of NASDAQ-listed stocks. According to the settlement documents, the trading algorithm, code-named “Gravy,” purportedly allowed Athena to overwhelm the market’s available liquidity at the close, and artificially move the market in Athena’s favor.
- A high-frequency commodities trader was indicted in the Northern District of Illinois on October 1, 2014, and charged with using high-speed computerized trading algorithms to manipulate the market in various commodities. This appears to be the first criminal prosecution involving electronic “spoofing,” i.e. the practice of placing bids or offers with the intent to cancel the bids or offers before execution. In US v. Cosica, the government alleges that the defendant implemented a high frequency trading strategy in which he entered large-volume orders that he intended to immediately cancel before they could be filled by other traders. 14-cr-0051 (N.D. Ill. filed Oct. 1, 2014). The government further alleges that the defendant devised this strategy to create a false impression regarding the number of contracts available in the market and to fraudulently induce other market participants to react to the deceptive market information.
- The CFTC obtained a Consent Order imposing a $1.56 million civil monetary penalty and trading and registration restrictions on a high-frequency trader accused of attempting to manipulate the market for wheat futures. CFTC v. Moncada, 12-cv-8791 (S.D.N.Y. Oct. 1, 2014). The Consent Order states that the defendant electronically entered and then immediately cancelled large-lot orders for CBOT wheat futures that he did not intend to fill in order to create a misleading impression of rising liquidity in the market. The Consent Order also states that defendant would seek to take advantage of the price movements resulting from this allegedly manipulative scheme by placing smaller orders, which he hoped to fill at beneficial prices, on the opposite side of the market.
- On September 19, 2014, FINRA announced that its Board of Governors had approved a number of new rule initiatives aimed primarily at algorithmic trading and market transparency related issues. In particular, FINRA stated that it will solicit comments on a potential registration requirement for all associated persons of member firms that (1) are primarily responsible for the design, development, or significant modification of an algorithmic strategy, or (2) are responsible for supervising such.
- FINRA also announced on September 19 that it intends to provide member firms with guidance on their supervisory obligations for the development and deployment of algorithmic trading strategies. The guidance is intended to clarify member firms’ duties when utilizing algorithmic strategies and to offer suggested controls and practices to help prevent adverse market impacts.
- Briefing on the motion to dismiss has now been completed in the New York Attorney General’s lawsuit against Barclays. People of the State of New York v. Barclays Capital, Index No. 451391/2014 (N.Y. Sup. Ct., N.Y. Cty. Oct. 7, 2014). In that case, the Attorney General alleges violations of New York law related to Barclays’ Alternative Trading System (ATS) and the use of the Barclays ATS by high frequency traders.
이런 흐름때문일까요? 미국 거래소들이 고빈보매매와 관련하여 불공정행위라는 지적을 받아온 매매기법을 금지하기 위한 규정을 도입하기 시작하였습니다.
The ICE Just Banned Market Manipulative “Momentum Ignition” Trading
New CME Rule 575 on Disruptive Trading Practices – Chicago Mercantile Exchange, Chicago Board of Trade, New York Mercantile Exchange and Commodity Exchange, Inc.
영어로 불공정거래 가이드라인을 Disruptive trading practices라고 하네요. 보통 ‘파괴적인’이라는 의미로 이해하고 Disruptive Technology하면 ‘놀라운 기술’으로 긍정적인 의미를 담고 있는데 자본시장에 적용하니까 부정적인 의미를 띄네요. CME는 Spoofing, Quote Stuffing, ICE는 Momentum Ignition입니다. 다른 듯 하지만 한국거래소 시장감시위원회가 규정한 허수성호가를 금지한다는 내용을 명문화하였습니다.
거래 성립 가능성이 희박한 호가를 대량으로 제출하거나 직전 가격 또는 최우선 호가의 가격이나 이와 유사한 가격으로 호가를 제출한 후 당해 호가를 반복적으로 정정·취소하여 시세 등에 부당한 영향을 미치거나 미칠 우려가 있는 행위(시장감시규정 제4조 제1항 제5호)
2.
다음은 SEC Working Papers Suggest Market Benefits from Certain Types of High-Frequency and Low-Latency Trading입니다. SEC가 고빈도매매와 관련하여 내놓은 논문 두편입니다. 논문을 고빈도매매를 부정적으로 바라보지 않습니다. 아마도 SEC가 고빈도매매를 양날의 검으로 생각하는 듯 합니다. 시장에 긍정적 영향을 주는 것은 키우고 부정적인 영향은 누르는 역할을 하는 듯 하네요. 앞서의 규제는 후자의 역할입니다. 아주 제한적으로 시장을 규제합니다.
첫째는 Automated Liquidity Provision입니다. 논문의 결론입니다.
The authors found that introduction of an automated liquidity provider resulted in better and more efficient prices, smaller profits for informed investors, and smaller losses for uninformed investors. It also resulted in an increase in trading volume and a reduction in overall transaction costs, assuming uninformed investors increased their trading activity due to lower costs. The traditional market makers in the model were largely priced out of the market as the automated market maker ultimately transacted the majority of the simulated order flow.
The authors explained these results by noting automated liquidity providers can more quickly and accurately process large amounts of relevant information than their human counterparts when setting prices. For example, by analyzing large amounts of data, automated liquidity providers can identify more readily than traditional market makers different securities whose prices are correlated — information that gives the automated liquidity providers a trading advantage over traditional market makers.
두번째 논문은 Liquidity Risk, Speculative Trade and the Optimal Latency of Financial Markets입니다. 전통적인 마켓 메이커보다 고빈도매매와 같은 투기적인 매매방식이 더 많은 유동성을 공급한다고 주장합니다.
The authors observed that most liquidity in current financial markets is provided though the speculative activity of low-latency/high-frequency traders, rather than through the activity of designated market makers. The authors studied the extent to which low-latency/high-frequency trading affects liquidity and liquidity risk and whether extremely low latency in markets can be beneficial.
3.
Rosenblatt Securities가 고빈도매매회사들을 조사하여 Surveying the HFT Community를 발표하였습니다. 원문을 볼 수는 없고 Rosenblatt Surveys HFTs, Publishes Findings에서 나온 일부를 소개합니다.
* Most HFT firms were founded before Reg NMS
* The vast majority of HFT firms are US-registered broker/dealers
* Most don’t operate dark pools or other off-exchange platforms
* Despite the hype, most HFT firms are not yet trading OTC swaps
* Average holding periods in US equities are surprisingly long
* Many HFT firms trade thousands of US equity securities, not just the top 100-200
* A significant minority of HFT firms mostly removes liquidity from US equity order books
* Order cancellation rates in US equities are lower than many believe
* Most HFT activity in US equities occurs on registered exchanges
* HFTs’ on-exchange trading in US equities is concentrated on “maker-taker” venues
* Per-share profits are tiny, and may be lower than we previously estimated
* Most HFT firms lose money on at least 40% of their US equity trades
