1.
캐나다 자본시장감독기관인 Investment Industry Regulatory Organization of Canada (IIROC)가 HFT연구보고서를 내놓았습니다. 2012년부터 시작한 고빈도매매연구중 세번째 결과물입니다.
먼저 2012년에 나온 보고서들입니다.
The HOT Study: Phases I and II of IIROC’s Study of High Frequency Trading Activity on Canadian Equity Marketplaces
An Introduction to IIROC’s study of “High Frequency Trading”
그리고 2년이 지난 12월 세편의 보고서를 내놓았습니다.
High Frequency Market Making to Large Institutional Trades
Market Integration and High Frequency Intermediation
The market quality effects of the 2012 UMIR amendments to the short selling rules in Canada
이중에서 High Frequency Market Making to Large Institutional Trades은 주식시장의 고빈도매매를 다룰 때 빠지지 않는 주제인 기관투자자와의 관계를 다루고 있습니다.
Both HFTs and DMMs provide liquidity to large institutional trades, with HFTs providing substantially more. However in high volume stocks, HFTs reduce liquidity provision for ‘stressful’ trades by 42% while DMM liquidity provision remains mostly unchanged.”
캐나다은행도 고빈도매매를 분석한 보고서를 내놓았습니다. 경제뉴스와 고빈도매매의 관계를 분석한 보고서입니다.
We analyze trading dynamics as successive high-frequency trading (HFT) firms begin to trade stocks in an equity market. Entrants compete with incumbents for volume, and there is crowding out. Earlier entry is associated with larger effects. After Passive HFT entry, incumbent spreads tighten. After Aggressive HFT entry, incumbent order flow loses informedness. Revenue data suggest entry reduces the profitability of HFT activity. The results show that part of the value of HFT comes from its competitiveness.
High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market중에서
2.
자료를 읽는 중 가장 흥미를 끌었던 부분은 IIROC가 만든 알고리즘트레이딩 가이드라인입니다. 한국거래소 시장감시위원회가 정한 불공정호가기준과 유사한 자료입니다.
Universal Market Integrity Rules중 2.2 Manipulative and Deceptive Activities입니다.
위의 기준을 좀더 세부적으로 정리하여 내놓은 것이 Guidance on Certain Manipulative and Deceptive Trading Practices입니다. 한국에서도 이슈였던 Spoofing과 Quote Stuffing 등을 세부적으로 정의하였습니다.
• Layering: It is the position of IIROC that placing a bona fide order on one side of
the market while simultaneously “layering” orders in the consolidated market
display on the other side of the market without intention to trade is a contravention
of Rule 2.2(2) and Policy 2.2, Parts 2 and 3 as inducing a false or misleading
appearance of trading activity or artificial price. In this case, the purpose of the
“layering” is to “bait” other market participants to react and trade with the bona
fide order on the other side of the market at an artificial price.• Quote Stuffing: It is the position of IIROC that the input by a Participant or Access
Person of excessive market data messages with the intent to “flood” systems and
create “information arbitrage” opportunities for itself, is a contravention of Rule
2.2(1) as an activity which, by its very nature, will be considered to be a
manipulative or deceptive method, act or practice.• Quote Manipulation: IIROC is concerned about potential manipulative activity
intended to affect the price at which dark orders that are tied to prices on visible
markets, trade in dark pools or visible markets. It is the position of IIROC that
entering non-bona fide orders on visible markets in an attempt to change the best
bid price and/or the best ask price and affect the price calculation at which a trade
will occur with a dark order, contravenes Rule 2.2(1), (2)(b) and Policy 2.2, Part
2(e). This activity (which may be combined with liquidity detection) results in a trade with a dark order at an improved price, following which orders are removed
from the visible market.• Spoofing: It is the position of IIROC that the entry of non-bona fide orders in the
pre-opening on a marketplace that displays a “Calculated Opening Price”
(indicating the price at which trading would commence based on the orders
entered to that point on the marketplace), with the intent of affecting the
Calculated Opening Price to the advantage of the party that entered the order,
contravenes Rule 2.2(2) and Policy 2.2, Part 2(f).• Abusive Liquidity Detection: IIROC is of the view that strategies which enter orders
(disclosed or iceberg during the pre-open, or “pinging”3
) to detect the existence of
a large buyer or seller with the intention to trade ahead of, rather than with, the
large buyer or seller, is a manipulative and deceptive practice contrary to Rule
2.2(1). This strategy harms the large trading interest when after a profitable price
movement, the trades are reversed, or in the event the price moves contrary to the
position taken, the trading interest of the large buyer or seller may be viewed as a
free option to trade against.
