1.
미국상품선물거래위원회(CFTC)안내 Technology Advisory Committee라는 위원회가 있습니다. 자본시장내의 기술과 관련한 자문을 하는 기관이라고 할 수 있습니다. 지난 6월 20일 공청회를 가졌습니다. 이 자리에서 말도 많고 탈도 많은 고빈도매매(High Frequency Trading)의 정의에 대한 초안이 나왔습니다.
Working Group 1이 발표한 자료에 따르면 HFT는 다음과 같이 정의합니다.
High frequency trading is a form of automated trading that employs:
(a) algorithms for decision making, order initiation, generation, routing, or execution, for each individual transaction without human direction;
(b) low-latency technology that is designed to minimize response times, including proximity and co-location services;
(c) high-speed connections to markets for order entry; and
(d) high message rate (orders, quotes or cancellations).
FIA는 이 날 오간 토론을 정리해서 보고서로 발표하였습니다. 가장 많이 나온 의견은 HFT 정의가 너무 포괄적이라는 의견입니다. 그리고 working group4가 발표한 전략 분류에 대한 정의(Taxonomy)를 토론하였습니다. WG4가 제시한 전략은 크게 네가지입니다. Arbitrage, Short-term directional trading, Liquidity provision 및 Liquidity detection 입니다.
Highlights of TAC Discussion
Draft DefinitionWood noted that the group did not come up with any specific numbers or thresholds for the fourth criteria on “high message rates” and explained that this will require considering a number of factors, such as the beneficial owner behind the activity, the length of the observation period, the comparison to overall market activity, and the relative concentration or fragmentation of activity. Concannon of Virtu Financial added that thresholds would have to be adjusted to the amount of activity in specific markets. So for example, he explained, in a back month of a futures contract it might only take a few small trades to quality as a “high” level of activity. Several participants expressed concern that the definition was too broad. For example, Marshall Terry of South Ferry Capital Partners, a small hedge fund, expressed alarm at the possibility that his firm would be captured by the definition if it routes trades to the market through an algorithmic trading tool, especially if the definition is used to establish a new registration requirement. Joe Saluzzi of Themis Trading, an interdealer broker,
also expressed alarm, saying many of his institutional investor clients would fit the definition because they use algorithmic trading tools to execute their trades. Saluzzi said the definition should distinguish between good and bad HFT and should not capture large money managers.This prompted Concannon to comment that market disruption can come from any type of market participant misusing algorithmic trading tools. Wood added that defining HFT more narrowly would increase the potential for regulatory arbitrage. The discussion also prompted one of the CFTC staffers in the working group to comment on how the definition might be used for regulatory purposes. The CFTC staffer said that the regulatory burden would fall on the brokers or vendors who provide the algorithm, rather than the clients who use the algorithm. “Control will be key in the next phase,” the staffer said.
Trading Strategies
The TAC also discussed a proposed classification and “taxonomy” of trading strategies that use HFT. This taxonomy was developed jointly by two working groups consisting of CFTC staffers and industry experts. The taxonomy divided trading strategies into four broad families, arbitrage, short-term directional trading, liquidity provision and liquidity detection and a large number of sub-strategies in each family. For example, the “liquidity provision” family included the following five sub-strategies: rebate capture, quote matching, spread capture, market making, and layering. In contrast to the discussion on the proposed definition, there was much less agreement on the validity and utility of this approach to understanding HFT. The members of the working groups said that it is not always possible to associate an order with a specific strategy because the order may be part of multiple trading strategies and its purpose may change over time. In addition, trading strategies are constantly evolving and may shift from one type to another and back again. Richard Gorelick of RGM Advisers, a member of the TAC, added that a taxonomy may be useful when distinguishing different species of animals but trading strategies often do not fit into rigid categories. “It’s very clear in the animal kingdom that you’re either a mammal or you’re a bird,” said Gorelick. In contrast, a trading strategy can have elements from more than one category, he said. Like a platypus, an Australian mammal?that has a bill like a duck and lays eggs, a trading strategy can be “sometimes a bird, sometimes a mammal.”Tagging and Surveillance
Another topic of discussion was the oversight and surveillance of HFT. This working group, which like the others included CFTC staffers as well as industry experts, assessed the data already being collected by exchanges and concluded that creating a new “tagging” system for tracking HFT would not be necessary. Dean Payton of CME Group, who led this group’s presentation, explained that CME, IntercontinentalExchange and National Futures Association, the self-regulatory organizations for the U.S. futures industry, have systems in place to identify automated trading systems and measure the volume of trades and order message by firm, account or operator. Attempting to apply “strategy-related identifiers” or registration requirements for algorithms would not be an effective use of regulatory resources, he said. “We can track the data in very granular way,” Payton told the TAC. “Artificial distinctions do not move us forward in terms of defining where the problems are.” The focus instead should be “on the kinds of conduct that you want to prohibit.” (Click here for?presentation.) Cross-market surveillance was the one area where the working group did see a role for CFTC action, mainly because each SRO only has insights into its own market. This will be especially important when the swaps market migrates to swap execution facilities, several participants commented. That is where the federal government can “add value” by improving its data capture and technology, Payton said.
2.
앞서 정의를 우리말로 옮기면 이렇습니다.
“트레이더의 개입 없이 알고리즘에 따라 주문이 만들어지고 빠른 속도를 위한 여러가지 기술이나 서비스를 이용하여 초고속으로 호가를 보내고 거래빈도가 아주 많은 자동매매의 한 형태”
이를 한국자본시장에 적용하면
1)대부분 ELW스캘퍼들은 트레이더의 개입에 의한 전략을 사용하므로 고빈도매매라고 할 수 없고, 2)지수파생상품을 거래하는 트레이더들중 DMA를 이용하고 – 부산IDC를 포함 – 자동매매 알고리즘을 채택하고 있는 곳은 고빈도매매라고 할 수 있습니다. 다만 high message rate의 기준을 무엇으로 할지는 남습니다. 이와 관련하여 2011년 ELW에 관한 대화모임에 나왔던 자료를 참고해 보죠.
일평균 호가건수를 10,000건으로 할 경우 지수선물은 22.8%이고 지수옵션은 77.6%입니다. 비록 2011년 초반 자료지만 옵션의 경우 매우 큰 숫자입니다. 숫자만 놓고 보면 HFT의 수익률이 최고점에서 떨어질 수 밖에 없습니다.
