High-Frequency Traders Say Speed Works for Everyone (Update1)
By Edgar Ortega, Jeff Kearns and Eric Martin
July 28 (Bloomberg) -- Frank Troise, the head of electronic equity trading products at Barclays Plc, says using computers to execute orders in milliseconds is no different than brokers jockeying for position years ago on the floor of the New York Stock Exchange.
“This has been going on for quite awhile, and it’s now at a fever pitch,” says Troise, 43, who is based in New York. “There’s always been an advantage to executing with speed.”
Policymakers are asking whether that advantage has become too great for so-called high-frequency traders, whose programs buy and sell shares up to 1,000 times faster than the blink of an eye. Defenders say the competition for profits that gave rise to today’s rapid-fire execution has roots that span decades and has helped reduce costs for investors.
About 46 percent of daily volume is handled through high- frequency strategies, according to estimates by NYSE Euronext, the world’s largest owner of stock exchanges. The transactions are made by about 400 of the 20,000 firms trading stocks in the U.S., according to Tabb Group LLC, a New York-based financial services consultant. Each makes bets in hundredths of a second to exploit tiny price swings in equities and discrepancies in futures, options and exchange-traded funds.
By Edgar Ortega, Jeff Kearns and Eric Martin
July 28 (Bloomberg) -- Frank Troise, the head of electronic equity trading products at Barclays Plc, says using computers to execute orders in milliseconds is no different than brokers jockeying for position years ago on the floor of the New York Stock Exchange.
“This has been going on for quite awhile, and it’s now at a fever pitch,” says Troise, 43, who is based in New York. “There’s always been an advantage to executing with speed.”
Policymakers are asking whether that advantage has become too great for so-called high-frequency traders, whose programs buy and sell shares up to 1,000 times faster than the blink of an eye. Defenders say the competition for profits that gave rise to today’s rapid-fire execution has roots that span decades and has helped reduce costs for investors.
About 46 percent of daily volume is handled through high- frequency strategies, according to estimates by NYSE Euronext, the world’s largest owner of stock exchanges. The transactions are made by about 400 of the 20,000 firms trading stocks in the U.S., according to Tabb Group LLC, a New York-based financial services consultant. Each makes bets in hundredths of a second to exploit tiny price swings in equities and discrepancies in futures, options and exchange-traded funds.
[經濟日報]「快閃盤」現 市場創新還是漏洞？
閃電交易（Flash Trading）或高頻率交易（High-Frequency Trading，簡稱HFT）這個詞彙，近日在華爾街熱爆。除了因為參議員舒曼（Charles Schumer）要求美國證監會禁止有關交易外，亦因為這與大家熟悉的華爾街魔術師高盛有關，該行能在金融體系近乎崩潰時，仍能由交易枱大賺特賺，HFT似乎就是主因之一。
閃電交易（Flash Trading）或高頻率交易（High-Frequency Trading，簡稱HFT）這個詞彙，近日在華爾街熱爆。除了因為參議員舒曼（Charles Schumer）要求美國證監會禁止有關交易外，亦因為這與大家熟悉的華爾街魔術師高盛有關，該行能在金融體系近乎崩潰時，仍能由交易枱大賺特賺，HFT似乎就是主因之一。
擁超級電腦 可瞬間吃去差價
本欄另一位作者對此極有興趣，讀者對此應不陌生，但囉嗦的說一下這個HFT的運作模式。市場上有買賣雙方，舉例說買方看好滙豐控股（00005），認為在75元值得買入，這個價格與滙豐昨日收市價73.7元，存在着1.3元的差價，這個差價會由哪一方賺去，理論上取決於買賣拉力哪一方的力量較強。 不過，HFT程式則趁着買賣時出現的時間差，利用超級電腦偷窺買家的底價，方法是將買盤拆數十個或數百個小買盤，每一個買盤存在着極微小的差價，這些買盤以千分之一秒的時間，一口氣衝向市場，當發現75.1元的買盤沒有被「吃去」，便可以測試到買家的底綫為75元。之後的故事便一如所料，買家「如願以償」在75元買入滙豐股份，但中間的差價則被第三者，即HFT交易員吃去。 在正常市況下，股份的價格會透過不斷的交易達至平衡點；但電子交易日趨普遍，HFT的興起，令擁有超級電腦的交易商，可在瞬間觀察到市場與投資者的交易趨勢，並在千分之一秒內改變自己的策略，並吃去差價，那些拿着個人電腦進行投資的散戶，固然不是對手，從近日華爾街各界對此的反應來看，似乎不少大行亦不具備充足「武器」。順帶一提，DirectEdge是美國首間提供「閃電落單」服務的交易所，股東包括高盛（19.9%）、Citadel（19.9%）Knight Capital（19.95%）。
其他程式交易 被快閃盤打亂
既然HFT是電腦迅速發展下的產物，不少意見認為這是市場進化的一個過程，既然有人捉到鹿又識得脫角，旁觀者的指摘純是酸葡萄心理，這樣高透明度的市場，反正只要有錢肯投資入程式交易中，亦可成為其中一個得益者。 不過，從市場發展方向出發，這個發展過程是否一件好事，則值得好好想一想。著名網誌作家Tyler Durden便狂踩HFT影響市場生態，指這些都是「低質素流動性」；亦有業界人士指「快閃盤」更可能會混亂了其他證券商的程式交易盤，以為某一股份的交投突然急增，影響相關股份，甚至市場的交投。債務抵押證券（CDO）和信貸違約掉期（CDS）的教訓，是「市好時是創新，市差時是漏洞」，金融海嘯的教訓，似乎已被忘記了。
既然HFT是電腦迅速發展下的產物，不少意見認為這是市場進化的一個過程，既然有人捉到鹿又識得脫角，旁觀者的指摘純是酸葡萄心理，這樣高透明度的市場，反正只要有錢肯投資入程式交易中，亦可成為其中一個得益者。 不過，從市場發展方向出發，這個發展過程是否一件好事，則值得好好想一想。著名網誌作家Tyler Durden便狂踩HFT影響市場生態，指這些都是「低質素流動性」；亦有業界人士指「快閃盤」更可能會混亂了其他證券商的程式交易盤，以為某一股份的交投突然急增，影響相關股份，甚至市場的交投。債務抵押證券（CDO）和信貸違約掉期（CDS）的教訓，是「市好時是創新，市差時是漏洞」，金融海嘯的教訓，似乎已被忘記了。
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