中國股市高頻交易退潮大綱

China’s nascent high-frequency traders (HFT) are in retreat following a regulatory crackdown on short selling and a broad legal interpretation of “market manipulation” that encompasses trading practices that are allowed in other markets.

在中國監管機構打擊賣空交易並對“市場操縱”進行寬泛的法律解釋——使其覆蓋在其他市場被允許的交易活動——之後，中國新生的高頻交易員退縮了。

China’s stock market has recovered from the punishing rout of summer 2015. The benchmark index hit an 18-month high this month, following MSCI’s decision to include mainland shares in its emerging-markets index. But hedge funds employing HFT strategies, which proliferated during the rise, have never recovered.

中國股市已經從2015年夏季的暴跌中復甦。在MSCI明晟將中國A股納入其新興市場指數之後，基準股指本月觸及18個月來的最高點。但運用高頻交易策略的對衝基金（這些對衝基金在市場上漲期間數量激增）從未復甦。

Instead, HFT investors have shifted away from the stock market and towards commodities, where futures trading remains less heavily regulated, according to investors and analysts.

實際上，據投資者和分析師們表示，高頻交易投資者已經從股市轉戰大宗商品，後者的期貨交易受到的監管依然不太嚴厲。

“For stock-index futures the costs are now very high, to the point that these strategies often lose money. Costs have risen by a hundredfold. They’re restricting intraday speculation,” said Jiang Junlue, senior quantitative trader at Black Wing Asset Management, a Beijing-based hedge fund.

北京對衝基金黑翼資產管理公司(Black Wing Asset Management)的高級量化交易員姜軍略（音譯）表示：“現在股指期貨的成本非常高，以至於這些高頻策略往往虧錢。成本已上漲了100倍。它們限制了日內投機。”

Higher margin requirements raised costs for all investors, while those engaged in directional bets, rather than hedging, were subject to even higher fees.

提高保證金要求提升了所有投資者的成本，而那些投入方向性下注（而非對衝）的投資者甚至被收取更高的手續費。

Index futures turnover peaked at an average Rmb2.3tn in notional value per day in June 2015 but was Rmb14bn per day in May this year, according todata from Wind Information. Futures and options on individual shares do not exist in China.

萬得資訊(Wind Information)的數據顯示，在2015年6月，指數期貨日均成交量達到2.3萬億元人民幣的峯值，但在今年5月日均成交量僅爲140億元人民幣。中國不存在個股的期貨和期權。

Last week, a court in Shanghai issued a verdict in a closely watched case from July 2015 involving a Russian-owned company, Yishidun International Trading, known in English as Eastern Dragon.

上週，上海法庭對一起發生在2015年7月的備受關注的案件作出判決，該案涉及一家俄羅斯人所有的公司伊世頓國際貿易公司(Yishidun International Trading)，英文名是Eastern Dragon。

The court fined Yishidun Rmb300m for manipulating the futures market and ordered the group to disgorge a further Rmb389m in profits. It also fined two Chinese executives, Gao Yan and Liang Zezhong, a total of Rmb1.8m and issued them suspended prison sentences. A broker at China Fortune Futures, Jin Wenxian was sentenced to five years in prison.

法庭以操縱期貨市場爲由，對伊世頓罰款3億元人民幣，並進一步沒收其3.89億元人民幣的利潤。它還對該公司中國高管高燕和樑澤中總計處以180萬元人民幣的罰款，並判處緩期徒刑。華鑫期貨(China Fortune Futures)經紀人金文獻被判處5年有期徒刑。

In a statement following the verdict, Yishidun said that the court “relied on a broad, catch-all subsection of the Chinese offence of ‘market manipulation’, instead of any of the established categories of the offence”.

伊世頓在判決後發佈聲明稱，法庭“依賴中國寬泛和一把抓的‘市場操縱’罪定罪，而非按照成熟的罪行類別定罪”。

Yishidun added that an independent audit “did not find anything consistent with ‘market manipulation’ as this term is understood outside China”.

伊世頓補充稱，一項獨立審計“沒有發現與中國境外所理解的‘市場操縱活動’相符的交易行爲”。

Indeed, the court’s verdict does not describe distortions of stock or futures prices caused by Yishidun. Instead, the court found that the company gained a speed advantage over other investors by connecting its computer directly to the Shanghai Futures Exchange without the required supervision by a futures brokerage.

的確，法庭的判決書沒有說伊世頓引發了股票或期貨價格扭曲。相反，法庭認定，伊世頓在沒有受到必要監管的情況下，通過將其計算機直接接入上海期貨交易所(Shanghai Futures Exchange)，獲得了相對於其他投資者的速度優勢。

Market participants say that, while foreign exchanges seek profits from selling high-level access to market infrastructure, state-owned Chinese bourses effectively operate as units of the China Securities Regulatory Commission. As such, they focus on market stability and don’t seek to offer cutting-edge services to investors.

市場參與者表示，儘管外國交易所願意銷售高層次的市場基礎設施接入，尋求借此盈利，但國有的中國交易所實際上是中國證監會(CSRC)旗下單位。因此，它們致力於保持市場穩定，而不尋求向投資者提供尖端服務。

“The terrifying aspect of this case is that these two guys weren’t elite traders. They probably just used an algorithm from their previous company, yet they were able to earn so much, so fast in China,” said a Chinese HFT fund manager. “In China the strategy and the technology are still so far behind the international level.”

中國一位高頻基金經理表示：“該案令人擔憂的一面是，這兩人並不是精英交易員。他們可能只是使用了之前公司的一種算法，然而他們卻能夠在中國如此快地獲取暴利。在中國，這種策略和技術仍遠遠落後於國際水平。”

Before the clampdown, HFT investors frequently designed strategies for the stock-index futures market. The next-day settlement mechanism for cash equities on mainland stock exchanges, known as T+1, makes HFT strategies difficult to execute. However, the China Financial Futures Exchange uses a T+0 system that allows instant settlement.

在遭到打擊前，高頻交易投資者經常設計針對股指期貨市場的交易策略。中國內地交易所對現貨市場實行的“T+1”次日結算機制，使高頻交易策略難以執行。然而，中國金融期貨交易所(China Financial Futures Exchange)採用實時結算的“T+0”機制。

In late 2015, the CSRC issued draft rules requiring algorithmic traders to submit their strategies for approval before putting them into effect. The futures exchange also placed new limits on speculative trading. The preapproval rules were put on hold last year, according to local media.

2015年末，中國證監會發布草案，要求算法交易員在實施交易策略之前必須報批。期貨交易所也對投機交易出臺了新的限制。據國內媒體報道，去年證監會擱置了預批准規則。

A former head of HFT for the proprietary trading unit of a major Chinese brokerage said that the biggest mistake made by Yishidun was that its Russian owners, who are based in Hong Kong, were too loose-lipped about their success in the market.

中國一家大型經紀商的自營交易部門前高頻交易主管表示，伊世頓的最大錯誤是，其常駐香港的俄羅斯所有者過於口無遮攔地談論他們在市場上的成功。

“They were out and about in Hong Kong bragging about their profits. That wasn’t a good idea. In China, when you earn money, you’re supposed to keep a low profile,” he said.

他說：“他們在香港到處吹噓自己的利潤。這不是一個好主意。在中國，當你賺錢的時候，你理應保持低調。”

The court said the Russian owners, Georgy Zarya and Anton Murashov, will be tried separately. A Yishidun spokesman said the company was not aware of any further legal proceedings in China against the company or its owners. He also denied that Mr Zarya and Mr Murashov had bragged about profits.

上海的法庭表示，兩位俄羅斯老闆格奧爾基?扎亞(Georgy Zarya)和安東?穆拉紹夫(Anton Murashov)將另案受到審判。一位伊世頓發言人表示，伊世頓不知道有針對該公司或其老闆的任何進一步法律訴訟。他還否認了扎亞和穆拉紹夫吹噓利潤的說法。

Analysts say that regulators want to discourage speculative trading that they see as disconnected from the fundamental purpose of capital markets in financing investment in real economic activity.

分析師們表示，監管者希望抑制在他們看來與資本市場爲實體經濟活動提供融資這一根本目的無關的投機交易。

“The focus of regulation right now is to guide investment into the real economy. At the moment, authorities aren’t inclined to approve new products that enable purely financial speculation,” said Wang Hongying, former vice-director of the research institute at China International Futures Co.

曾擔任中國國際期貨經紀有限公司(China International Futures)研究院副院長的王紅英表示：“如今的監管重點是引導投資進入實體經濟。眼下有關部門不願批准允許純粹金融投機的新產品。”

Last month, the CSRC fined two of China’s largest investment banks for facilitating bearish bets by a unit of Citadel Securities, a Chicago-based brokerage that is considered a pioneer in HFT. Citadel was not accused of wrongdoing.

今年5月，中國證監會對中國最大的兩家投資銀行進行了處罰，原因是它們爲總部位於芝加哥的Citadel Securities旗下機構進行看跌押注提供方便。Citadel被視爲高頻交易的先驅，該公司沒有被控不當行爲。

Dutch HFT group IMC BV said last August that it had received inquiries from the CSRC about futures trading during the summer of 2015. The agency has never publicly accused IMC of wrongdoing.

荷蘭高頻交易集團IMC BV去年8月表示，該公司收到了中國證監會關於其在2015年夏季期貨交易的問詢。中國證監會從未公開指責IMC從事了不當交易。