境外高频交易监管制度对我国期货市场监管的启示——基于经济和技术手段的视角

高频交易是近年来国内期货市场兴起的新型交易方式,该方式有利于期货市场功能发挥,但过度的高频交易则会误导市场,损害投资者利益。加强对高频交易的规范和监管对提高期货市场运行效率、保护投资者利益具有重要意义。本文以美国和欧盟为例,梳理了境外监管机构对高频交易的监管要求,并从监管的经济手段和技术手段出发,对监管制度进行了评价。其中,经济手段主要包括高频交易量比率、订单成交比、加权交易量比率等及其分类收费制度等;技术手段则包括增加减速带、要求订单驻留时间等措施。在此基础上,对国内监管机构针对高频交易的规范和监管提出了政策建议。

Enlightenment of Supervision System of Overseas High-Frequency Trading on China's Futures Market——Based on the Perspective of Economic and Technological Approaches

High-frequency trading is a new trading mode in domestic futures market in recent years,which is beneficial to the function exertion of features market,but excessive high-frequency trading could mislead the market and damage the interests of investors.Strengthening the regulation and supervision of high-frequency trading is significant to improve the operation efficiency of the futures market and protect the interests of investors.Taking the markets of the US and the EU as examples,this paper combs the regulatory requirements of overseas regulatory agencies on high-frequency trading and reviews the regulatory system from the perspective of economic and technical means of supervision.The economic means mainly contain high-frequency transaction volume ratio,order transaction ratio,weighing transaction volume ratio and its classification charging system;while technical means include increasing deceleration zone and order duration time.Relevant enlightenment and suggestions for domestic regulatory agencies are provided to regulate high-frequency transactions.