The SEC 要想禁但还未禁, 怎么"闪电命令已经成为历史了" ?

在其未禁之前的今天, 现在, 而今, 眼目下, 在我们打字与阅读的同时, 闪电命令还在不断下单.


见 washingtonpost 周三的报道:
The SEC said it is looking to ban a form of high-speed financial trading that some brokerages have exploited to gain an advantage in buying and selling stocks.
The SEC is looking at prohibiting so-called flash orders, which allow traders with advanced computers to quickly analyze data about imminent trades before they are posted for other investors, giving them a leg up in trades.
"I have asked the staff for an approach that can be quickly implemented to eliminate the inequity that results from flash orders," SEC Chairman Mary L. Schapiro said in a statement.
Any proposal to eliminate the orders would have to be approved by the entire commission and be open to public comment before going into effect.

BATS打单太慢了，远不如RASH和EDGX。

关键之处还是不明白

9# 七天大胜

Let me try to explain how the "flash" order distorts the market:

Suppose you wan to buy 100 shares of Baidu at NASDAQ at market order (buy at prevailing market prices). When you send the buy order, there are 50 shares of Baidu available for sell at same time and asking price is $352. Before NASDAQ sends your order to general public, it flash the order for 0.03 second to big players.

So there are two scenarios:

1) Best case: one big player will buy 50 shares at $352, then sell these 50 shares to you at same price $352. The big player can get rebate from NASDAQ. In this case, it's not very controversial.

2) Worst case: the big players "front run" you: they buy 50 shares at $352, then sell to you at higher price $352.01. (Even the spread is small, but  timing billions of shares per day, you can do the calculation ). Plus, the big players know you have remaining 50 shares to be filled, Holala...! game begins!

Here are some antidote story I heard before: Some High Frequency hedge funds such as DE Shaw, Renascences, SAQ put their servers next to NYSE building as they care the physical distance of server connections. ( That's what I heard, I didn't visit the buildings to check if that's true).

Why flash order became news now? Because large institution investors such as mutual funds, pension funds complained a lot recently. In good time, one penny means nothing. But in bad time as of now, even tenth of penny may change history.

P.S.
I attached a recent WSJ article talking about NYSE is building a super computing center in northern NJ. It can give you more insights of flash order:


NYSE's Fast-Trade Hub Rises Up in New Jersey

By SCOTT PATTERSON and SERENA NG MAHWAH, N.J. -- The future of the New York Stock Exchange is inside the red-brick building that is rising from the ground here about 35 miles from Wall Street.
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Serena Ng/The Wall Street Journal The Big Board's new high-frequency trading site in New Jersey, above, has a more modern look than the exchange's longtime home in Lower Manhattan.

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Right now, the mammoth facility being constructed on the site of an old quarry is a largely empty shell with a jumble of high-tech gear. In about a year, the building is expected to house several football fields of cutting-edge computing equipment for hedge funds and other firms that engage in high-frequency trading, or the use of computers and complex algorithms to trade at lightning speed.
"When people talk about the New York Stock Exchange, this is it," said NYSE Euronext Co-Chief Information Officer Stanley Young. "This is our future."
As trading goes increasingly electronic, the last bastion of floor trading is embracing high-frequency trading as part of its race to keep up with competitors such as Nasdaq OMX Group Inc. High-frequency trading now accounts for more than half of all stock-trading volume in the U.S. as banks, hedge funds and institutional investors seek to gain an edge by trading before rivals.



But even as the Big Board and other exchanges scramble to win more business, some regulators are growing concerned about the risks that high-speed trading potentially poses to the broader financial system. As trades flow at an ever-quicker pace, a computer glitch at even just one firm could trigger a wave of selling that sets off huge losses across financial markets, some people worry.
"Unfettered access by unregulated entities into a market where trades can ripple through multiple markets can rise to the level of systemic risk," said David Shillman, associate director of the Securities and Exchange Commission's division of trading and markets. "The very high-frequency traders could be doing more of these activities that could go awry."
SEC officials are particularly wary about "sponsored access," in which registered brokers lend out their identification numbers to high-speed trading firms. That effectively allows the firms to trade using a broker's code, helping them remain anonymous. A rogue firm engaging in aggressive trading could destabilize parts or even all of the market, Mr. Shillman said.










These troubling scenarios haven't happened yet, although several high-frequency funds have been put out of business by erroneous trades, according to people familiar with the matter. The worry is that as speeds increase and more traders wield a rising hoard of cash, the risks will increase.
The NYSE says it offers risk-management software to firms that trade on its exchange to help reduce those risks, but use of the software isn't mandatory.
Controversy also is growing over a practice known as "flash" orders, in which exchanges allow traders to briefly see and react to certain orders ahead of the rest of the market. The SEC is looking into the practice and is widely expected to ban it, according to people familiar with the matter. Exchanges such as the NYSE, Nasdaq and IntercontinentalExchange Inc., or ICE, oppose the use of flash orders.
Some traders say that rather than adding to risks, high-frequency trading helps markets operate more smoothly by providing an ample, ever-ready pool of shares or other securities when investors need them. This has helped push down the spread between how much shares are bought and sold for, they say, ultimately benefiting individual investors.
"Most high-frequency trading provide liquidity to the market, and that's a good thing," said Larry Harris, a finance professor at the University of Southern California and former chief economist at the SEC.
Agence France-Presse/Getty Images The New York Stock Exchange in Lower Manhattan



Just as traditional stock investors used to race to the phones to place an order based on a hot tip, today's new breed of high-tech wizards are deploying ever-faster equipment to make money on fleeting moves in the marketplace.
Typically, high-frequency traders use computers to search through markets for signals that can give them an indication about which direction parts of the market will go. If gold is rising, oil is falling and the dollar is losing ground against the Japanese yen, for instance, that could mean automotive stocks are likely to rise for the next hour, based on historical patterns. The high-frequency system will start putting in orders for shares of auto makers at superfast speeds, turning around and selling them an hour later.
The aim behind the NYSE site is to get firms' computers as close as possible to the trading site, helping shave off tiny amounts of time -- trades here are calculated not in milliseconds but in microseconds, or millionths of a second.
Some firms trade only with their own money, while others trade on behalf of clients and investors. Others make money by facilitating trading activities, collecting tiny spreads between bid and offer prices and collecting fees exchanges provide in order to attract market participants.




Most worries about high-frequency trading aren't focused on established players such as Goldman Sachs Group Inc., hedge-fund firm Citadel Investment Group or high-frequency trading specialist Getco LLC. Rather, critics are more concerned about smaller and newer firms operating in the shadows with little regulatory oversight.
The NYSE has largely kept its facility under wraps, even keeping the exact location a closely guarded secret. Executives recently made oblique references to the company's plans, describing them as "critical" to the NYSE's future. When they discuss second-quarter earnings, set for release before the opening bell Thursday, those plans are likely to be addressed in more detail.
The NYSE is seeking to stem a slide in market share from more than 80% in 2004 to about 40% this year, according to data from Equity Research Desk, a research company in Greenwich, Conn. Second-quarter earnings are expected to slide 40% from a year ago to 45 cents a share, according to a survey of analysts by Thomson Reuters.
The NYSE's decision to build its own data center surprised some industry veterans. In the past, most exchanges have rented out space to data-center providers. The NYSE is rolling the dice that it will become a go-to venue for high-speed trading and is even offering space to other exchanges.
The exchange is building a similar facility outside London, which will cater to clients who want access to overseas markets. The combined price tag for the two data centers will be about $500 million, according to people familiar with the matter.
The NYSE started taking orders for space in the nearly 400,000-square-foot Mahwah facility, internally dubbed Project Alpha, this month. The exchange expects to attract everyone from large Wall Street banks to traditional brokerages and hedge funds. The NYSE won't say how many customers have signed up.
—Geoffrey Rogow contributed to this article.

什么是闪电指令？

作者：英国《金融时报》迈克尔•麦肯兹(Michael Mackenzie)、 杰里米•格兰特( Jeremy Grant) 2009-08-13

不管人类的眼睛能眨多快，面对华尔街的电脑交易系统也是望尘莫及——电脑交易系统执行一笔交易仅需400微秒，比人类眨眼的速度快了1000倍。这是一个由技术推动的狂热世界，普通投资者几乎毫不知情。

据估计，这种“高频交易”占了美国股市日交易量的一半以上，高于2005年30%的估计份额。它从交易少量公司股票中抽取极少一部分利润——交易通常在不同的交易平台之间进行，其成功依赖于速度的微小变化——或者用交易术语来说，“反应时间”（latency）。

这种交易带来了股票交易的变革，实际上普遍降低了交易成本，许多人认为，它为散户和机构投资者都创造了一个更有效的市场。
但在这种狂热的活动中，一种特定的股票指令引发了市场参与者、各交易所、美国国会议员、如今还有美国证券交易委员会(SEC)的担忧。美国证交会不苟言笑的新任主席玛丽•夏皮罗(Mary Schapiro)上周正式发出通知，所谓的 “闪电”指令的末日即将来临。人们指责美国证交会，直到两年前信贷紧缩开始冲击市场前，该机构的表现一直都颇为懒散。

在一些交易所的许可下，交易员的电脑可以比大盘提前几分之一秒看到股票指令状况，于是，闪电指令出现了。人们担心，其中一些交易员可能会在另一个交易平台上“闪电”般下达指令。通过执行交易，该机构甚至可以从渴望业务的交易所那里获得回扣。

咨询公司Aite Group的管理合伙人Sang Lee表示，这类指令仅占全部交易量的3%左右。他说，许多高频交易员不会使用这类指令。但上月末，一些投资者和立法者（包括纽约参议员查尔斯•舒默(Charles Schumer)）敦促美国证交会禁止此类交易，使“闪电”指令成为了人们关注的焦点。夏皮罗上周二表示，她已通知下属寻找“一种可以迅速实施的方案，消除闪电指令带来的不公平”。

在调查闪电指令时，美国证交会一直将其作为对所谓“暗池”(dark pool)进行审查的一部分。“暗池”指的是那些不显示公开股票报价的电子交易场所。研究和战略顾问公司Tabb Group创始人兼首席执行官拉里•泰伯(Larry Tabb)表示：“闪电指令仅占交易量的很小一部分，但它引起了监管机构的注意，因为一些投资者可能会提前看到指令状况。”他补充道：“闪电指令可以被视为提供了一个双重市场。所有人都同意，每个人看到所有指令的机会应该是均等的。”

闪电指令的使用并不限于高频交易员。零售经纪商、机构投资者、自营交易机构以及自动化做市商也会使用这种指令。闪电指令也不是电子交易革命的唯一表现。电子交易革命出现于不到5年前，例如通过将交易系统设置在某个交易所的数据中心——即“主机代管”(co-location)，交易机构可以让一笔交易的执行时间缩短数微秒。

监管者面临的艰难抉择是，对于这场科技革命该怎么办，特别是在许多指令几乎刚挂单就会撤回的情况下。一些交易员可能会通过如此迅速地传递指令，试图确定其他投资者买卖股票的点位。在执行前撤消指令意味着，发送闪电指令的人有可能从投资者那里榨取更优的价格。
未能发现不透明的场外(OTC)衍生品市场运行中引人瞩目的漏洞，已经让美国的监管者感到痛苦不已了。普通投资者的投资组合中很少会有如此复杂的投资，而持有股票的现象在美国非常普遍。因此，美国证交会对闪电交易问题极其敏感。国会赋予该机构的主要使命是保护投资者。

但正如许多市场参与者所指出的，市场上信息的获取从来都不平等。在过去实行喊价交易的日子里，交易商无意中听到站在自己几英尺外的一位竞争对手讲出的信息，就能获得优于竞争对手的价格。来自银行和经纪商的交易员通常将老年散户投资者发出的指令称为“信息不足的指令流量”，就讽刺性地承认了这种不平等。长期以来，银行互相之间或代表客户在场外或交易所以外市场进行大额股票交易，也是一种常见的做法。

美国证交会承认了所处的困境。其交易和市场部门高级职员詹姆斯•布里加里阿诺(James Brigagliano)最近在一篇演讲中表示，随着“竞争性因素促使具有创新精神的行业参与者用新技术和新的交易工具进行创新”，证券市场得到蓬勃发展。他认为，该行业和监管者面临的挑战是，必须“监控这些变化并在必要时更新市场结构”。
证交会如何应对这个技术挑战是一个紧迫的问题。日本野村证券(Nomura)旗下经纪公司Instinet Europe的首席执行官理查德•巴拉卡斯(Richard Balarkas)表示，监管者有走得太过的风险。这可能会阻碍许多由科技推动、促成市场买卖差价缩小而流动性增加的交易程序。

“美国监管者面临的困境似乎是在假设，他们的工作就是要确保所有市场参与者信息的绝对平等，这归根结底是有效市场假说，”他表示，“实际上，市场信息分无数层，而且始终都是如此。如果监管者希望坚持这种单层学说，那么他们会在哪里止步呢？”

在美国，JP摩根(JPMorgan)私人银行的全球市场策略师斯图尔特•施维茨(Stuart Schweitzer)表示：“长期以来，市场的问题一直是，你是否总是会得到最佳执行？我知道有人可能会提出批评，但我确实认为它被夸大了。”

与纽约证交所-泛欧交易所(NYSE Euronext)和纳斯达克OMX (Nasdaq OMX)竞争的两家交易平台BATS Trading和Direct Edge辩称，它们的存在帮助扩大了市场的流动性。Direct Edge首席执行官威廉•奥布莱恩(William O'Brien)表示：“我们的客户喜欢闪电指令以及由此能够获得的市场流动性。正常情况下，他们无法获得这些流动性。”

闪电指令由Direct Edge于大约3年前开创。当时几乎没有人对此大惊小怪，但自那以来，Direct Edge在美国日平均股票交易量中所占的份额已从1%攀升至12%。为了争夺市场份额，BATS和纳斯达克OMX等竞争对手感到有必要提供闪电指令。奥布莱恩认为，围绕使用闪电指令展开的辩论，“反映了交易所之间的竞争，而非一个真正紧迫的监管问题”。

长期以来一直被称作华尔街的“大盘”的纽约证交所-泛欧交易所禁止闪电指令，并始终坚决反对这种做法。美国证交会上周二的举措引发该交易所股价上扬。

Aite的Sang Lee表示：“闪电指令是一个是否合法的问题，因为它创造了一个私下的交易网络。我们只能观望，看看这是一个彻底禁令，还是只是禁止闪电指令的某些方面。”
至少在一定程度上，各交易所和主要参与者似乎愿意接受对这类指令进行限制。BATS首席执行官乔•拉特曼(Joe Ratterman)呼吁集体禁止闪电指令，不过他弱化了使用这种指令所引发的担忧。

机构经纪商Themis表示，其它交易做法也需要改革。该机构的股票交易联席主管乔•萨鲁兹(Joe Saluzzi)表示：“美国证交会迈出了良好的第一步，但这只触及到了问题的表面。”他补充称，交易所应取消对交易员的奖励，例如向挂单者支付一定回扣。

伦敦证交所已决定从下月起取消回扣模式。这种模式突显出，过去10年来，美国股票交易业务的竞争已变得多么激烈。电脑系统可以把大额指令分解成多个小额指令，以接近光速的速度在不同的交易场所执行，这已成为新的业务做法。Aite的数据显示，美国的平均交易规模已从10年前的逾1000股，降至250股。
各交易所和BATS等交易平台都迫切希望能吸引业务，因而出现了回扣。在这里，监管者的困境并非高频交易员本身。实际上，做市商Getco等机构既是挂单者，同时也是交易平台上的接单者，这意味着它们不仅会收获回扣，通常还会为市场增加流动性。Getco是BATS的股东，也是一些高频交易策略的使用者。

但一些高频交易员也已开始使用“暗池”；而向交易平台发送电子信息、以“测试”进来的指令是否可能与之相匹配——所谓的“兴趣指标”——的做法，引起了美国证交会的担心。然而，暗池本应用于交易大宗股票，只有在成交后才会公示价格。兴趣指标只能增强其不透明性。

市场担心的另一个问题是“保荐准入”(sponsored access)。凭借这种做法，与经纪商有关系的交易机构可以利用关系，直接获得某交易所或交易平台的交易流量。

这类技术似乎不可阻挡。但似乎肯定的是，它们所带来的操作实践将面临严格审查。

泰伯表示：“如果看到证交会对若干策略和交易做法进行审查，我不会感到奇怪。”监管者在审查后将采取多大力度的行动，将决定未来几年的市场状况。