| In the abnormal volatility of China’s stock market in 2015,the systemic risk of securities and futures market caused by high-frequency trading has attracted the attention and concern of all walks of life,including regulatory authorities.The handling of the first criminal case of high-frequency trading in China,the extraordinarily large market manipulation case of Easton company,reflects the lack of regulation and the dilemma faced by China’s law on high-frequency trading,a new type of securities market trading behavior,especially the suspected use of this means to manipulate the market behavior.These problems are mainly due to the fact that there are still some problems in the field of high-frequency trading supervision in China,such as the lack of special procedural trading and high-frequency trading supervision rules,the relatively general provisions on administrative recognition,the lack of specific supporting quantitative indicators,the inconsistency between the standards of criminal prosecution and the specific indicators of trial standards,etc.High frequency trading is an inevitable trend in the development of world capital market trading,which is an important embodiment of the deep integration of scientific and technological development and capital market trading.High frequency trading has the advantages of overcoming human weakness,greatly improving trading efficiency,increasing market liquidity and optimizing investment management,but it also has risks and controversies.The main reason is that under special circumstances,it may aggravate the extreme changes of market transaction price,lead to unfair market investment environment,encourage the occurrence of systemic financial risks and be used to manipulate the market illegally field behavior,etc.High frequency trading has a great influence on the market order,so the main capital market countries and international organizations generally pay attention to strengthening the supervision and research of high frequency trading.Although there is no agreement on the definition of HFT,the international organization of securities and Futures Commission(IOSCO),the securities and Futures Commission of the United States(SEC),the Commodity Futures Trading Commission(CFTC),the New York Stock Exchange(NYSE),the European Union(Mi FID II),Germany(high frequency trading law),Japan(financial commodity trading law)and so on have put forward the identification standards and regulatory measures of high frequency trading.The identification criteria of HFT mainly include the number of orders per unit time,cancellation rate of orders,stay time of orders and other indicators.The international regulatory measures of high-frequency trading include the implementation of license access system,algorithm reporting,improving the technical means of monitoring market data by regulatory authorities,circuit breaker mechanism,fulfilling the obligations of market makers,adjusting the minimum change price,minimum order duration,order execution rate,market interface management,deceleration band,host hosting service,etc.,which are of great significance to prevent the impact of high-frequency trading on the exchange trading system Risk has played a positive role.Compared with the trading environment of foreign mature capital markets,due to the existence of "t + 1" trading mechanism,technical level,position and trading limit and other factors in China’s securities and futures market,the space for the implementation of high-frequency trading is limited,and it is still in its infancy as a whole.In order to ensure the standardized development of high-frequency trading,effectively prevent the market manipulation of high-frequency trading,and maintain the fairness of trading,it is suggested to build a comprehensive and effective high-frequency trading supervision system and mechanism from the aspects of before,during and after the transaction,mainly including carrying out specific procedural customer reporting,implementing the step charging mechanism of declaration volume,and revising the self regulatory rules of abnormal trading.As for the legislation of high-frequency trading,it is suggested to formulate special regulations of high-frequency trading supervision department,improve the identification standards of manipulation types such as false declaration,write procedural trading and high-frequency trading supervision matters into the futures law,explore and improve the special mechanism related to the investigation and handling of procedural trading dispute mediation cases,and improve the relief measures of civil,administrative and criminal means.At the same time,we should reform and improve the system and mechanism related to procedural trading environment.In addition to building and improving the regulatory mechanism of high-frequency trading,we should also improve the regulatory mechanism and system of abusing high-frequency trading to manipulate the market.Throughout the securities and futures markets at home and abroad,the illegal behaviors of abusing high-frequency trading technology to manipulate the market mainly include deception,blocking orders,trial orders,placing orders in advance,lightning orders,momentum launching,and counterfeiting ordinary investors,among which deception is the most typical.The constituent elements of abusing high-frequency trading to manipulate the market should include: as for the subject elements,the subject is a high-frequency dealer,that is,the investors who use the high-frequency procedural trading system to engage in trading are generally institutional investors;subjectively,they have the intention to disturb the market supply and demand and mislead other investors;as for the objective elements,they have the characteristics of using the high-frequency procedural trading system some technical advantages and speed advantages participate in the false trading behavior of securities or futures trading;in terms of result elements,the result of interfering with the market supply and demand price or trading volume and misleading other investors occurs or has this possibility;in terms of causality,there is causality between manipulation behavior and interfering with the market supply and demand price or trading volume.It is suggested to focus on improving the fund and other new illegal subjects,the actual control relationship of accounts,the identification standard of false declaration behavior,and the calculation system of illegal income. |
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