1.
Low Latency, Automated Trading, High Frequency Trading.
거스릴 수 없는 흐름입니다. 기술파괴운동처럼 트레이딩과 기술의 결합을 막을 수 없으면 기술로 인하여 발생할 위험을 최소화하는 것이 중요합니다. 해외는 이런 관점에서 감독정책을 취하고 있습니다.
영국에 FIA와 비슷한 이름입니다. FOA는 The Futures and Options Association의 약자로 영국선물옵션협회라고 할 수 있습니다. 한국으로 말하면 지금은 없어진 선물협회가 아닐까 합니다. FOA가 FIA의 Market Access Risk Recommandation와 비슷한 자료를 발간하였습니다.
FOA Guidance on Systems and Controls for Electronic Trading Environments
위의 보고서는 유럽의 증권 감독당국인 ESMA(European Securities Markets Authority)가 내놓은 Guidelines – Systems and controls in an automated trading environment for trading platforms, investment firms and competent authorities에 따라 만들어진 규정입니다.이중에서 거래소(Venue)가 회원사에게 요구하여야 하는 항목중 적합성 시험입니다.
5.8 Conformance testing
5.8.1 Members must undertake technical and functional conformance testing with theVenues which should address both trading functionalityand processing market data.5.8.2 Technical tests typically include connectivity (including cancel / don’t cancel ondisconnect, market data feed loss or hitting exchange throttles), recovery (includingcold intraday starts) and the handling of suspended instruments or stale market data.
5.8.3 Functional tests typically include static and market data download and all applicablebusiness data flows between the Member and the Venue such as trading, quoting, trade reporting and other pre and posttrade flows (e.g. risk management information).
5.8.4 Subject to Section 7.3, the process, content and timing for conformance tests (and retesting) can be mandated by theVenue. Alternatively, Members may be given the opportunity to perform their own conformance tests which satisfy the intent of thisrequirement. Minor software releases, optional functionality and stress tests should notbe part of the mandatory conformance tests, but appropriate and proportional testing should be carried out taking into account thethemes outlined above.
2.
미국 미국시카고연방준비은행도 초고속 자동매매환경에서의 위험관리를 다루는 글을 발표하였습니다. 권고나 규정은 아닙니다.
이 글에서 가장 눈에 들어온 점은 본문이 아니라 서론의 그래프입니다. HFT로 매매하는 금융상품들의 변화를 보여줍니다.
주식의 경우 60%를 넘어선 지점에서 최고를 기록하고 하락중입니다. 수익률이 낮아지면서 다른 상품으로 옮겨다고 있기때문입니다. 대상은 파생상품과 FX입니다.
3.
독일은 초고속 자동매매에 대한 접근을 조금 달리 합니다. HFT를 법의 틀에서 규제를 하려고 지난 7월 말 Act for the Prevention of Risks and the Abuse of High Frequency Trading definition(HFTA)를 입법 예고하였습니다.
핵심 내용은 아래와 같습니다.
1.Inclusion of an extended definition of proprietary trading which will trigger a license requirement as a financial services institution under the German Banking Act as well as supervision by the German financial authority (“BaFin”).
2.High Frequency Trading (“HFT”) firms will be subject to the general regulatory framework applicable to investment firms under the German Banking Act and the German Securities Trading Act including a proposed “speed limit” for electronic trading in its regulated markets and multilateral trading facilities.
3.Investment firms, management companies and investment companies that are engaged in algorithmic trading would be subject to specific organisational requirements.
4.Trading participants will be obligated to ensure an adequate ratio between their purchase and sales orders and transactions which are actually executed.
5.Increased Enforcement Powers of Stock Exchange Supervisory Authorities and BaFin.
이중에 기술적 요건을 보면 취소주문비율을 개별사업자별로 제한하는 정책을 포함하고 있습니다.
The HFTA draft proposes new technical obligations and limitations:
1. Requiring exchanges to apply an appropriate ratio between bid/ask orders entered and orders executed. This ratio shall be set individually for each financial instrument taking into account their trading volumes over a monthly period. This provision appears to have been adopted in advance by the Frankfurt Stock Exchange which from March 2012 demands increased fees from members of the exchange if they have an overly high order to trade ratio.
2. Provide for an adequate minimum tick size for all traded financial instruments on exchanges and MTFs.
3. Exchanges and MTFs will also be required to take adequate measures to ensure that the orderly fixing of quotations is possible in the event of substantial market volatility including short term circuit breakers.
German High Frequency Trading ActPotential implications for HFT firms and otherfirms using automated trading strategies중에서
아래는 Shearman & Sterling이 분석한 보고서입니다.
