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骑士首都故障后,建议试验自动交易势头

可以由参与者而不是监管机构开发的程序可以解决交易世界的解决方案吗?

在骑士资本集团技术故障的后果中,呼吁推出自动化和超快交易的正式测试标准,比超速子弹更快地形成。

在美国,一个提出一套类似于ISO 9000的指导方针 - 一系列国际指南,该指南旨在制造业的质量控制,这些指南也适用于包括资本市场的更广泛的行业 - 为automated and high frequency trading activities was submitted on August 6 to the financial services division of the Washington, D.C.–based American National Standards Institute, which is the U.S.-based division of the International Standards Organization (ISO), a Geneva-based nonprofit that oversees and manages testing standards for products and devices developed by a range of industries.

“世界上的所有其他关键任务行业造成了主要的社会风险 - 航空航天,化学,医疗保健和核电 - 采用了ISO 9000标准,”斯图尔特商学院财务助理教授Ben Van Vliet伊利诺伊州理工学院和第四个提案作者之一。“现在是在贸易行业采用它们的高速自动化时代的时候了。”

In addition to Van Vliet, three others have authored “The Rationale for HFT 9000: An ISO 9000-Style Quality Management System for High Frequency Trading.” (To view the proposal, go tohtf9000.org.。)他们是Andrew Kumiega,伊利诺伊州理工学院的兼职教授;斯图尔特学校的助理教授Rick Cooper;兰萨尔科技集团和X9.Org标准委员会成员的金融委员会和吉姆·斯利。

范·弗莱特表示,该提案还在证券交易委员会成员以及商品期货交易委员会的成员之间分发。

该提议要求创建两个出版l and technical standards to better control and reduce the risks associated with high frequency trading that the authors define as any automated or algorithmic trading system that enters computer-generated order requests; engages in market making, statistical arbitrage or other trading strategies that employ automated decision-making; and provides liquidity to the marketplace.

The HFT proposal states that each and every high frequency trading firm’s proprietary software systems are a component of a complex, global trading network, and thus any out-of-control or poorly constructed or tested HFT system can potentially flood a market or multiple markets with order requests, resulting in catastrophic effects for all stakeholders. To address these concerns, an ISO 9000–type program would require the establishment of industrywide standards and best practices for the development of automated and algorithmic trading systems, including record-keeping processes for the employment of risk controls, back-testing systems and simulated trading systems. The goal is to help prove the stability or identify the weaknesses of all HFT and automated trading systems.

HFT 9000程序还要求公司安装并验证在流氓软件程序或算法的情况下为“杀死交换机”的安全控制。该计划还将充分测试HFT系统的稳定性,以防止各种极端市场和基础设施事件的稳定性。

Van Vliet很快指出,该计划本身将由行业参与者而非监管机构开发,并且可以通过其用户和外部监管机构更加一致地审计系统。虽然他认识到可能涉及更高的成本,但他认为“采用更高质量的标准增强了底线,并有助于确保您没有像骑士资本那样的4.4亿美元错误。”范·VLIET补充说,道德标准也是该提案的关键组成部分。“有一体的学术文献,将道德和质量管理联系起来,”van Vliet说,注意质量管理是我们应该如何开展业务的做法,以满足行业利益攸关方的义务。

Some industry participants are very wary of the HFT 9000 proposal and its implications. Nanette Boden, CEO of Arcadia, California–based Myricom, a provider of software and infrastructure designed for use by high frequency trading firms, says that she views ISO 9000–type standards as “a poor fit” for the high speed trading industry. “It’s a heavyweight testing standard that would not provide a lot of value and would slow down innovation,” she says.

相反,Boden表示,她有利于讨论交易交易的想法加强,为绩效和合规性测试提供认证计划,以确保高速交易软件与其复杂的系统完全集成。“这是一个有竞争力的世界,供交流,他们需要发挥更大的作用。”

Others, such as David Mechner, CEO of Pragma Securities, an electronic trading firm focused on algorithmic trading and analysis services, says that the complexity of global trading markets and the constant changes in this arena do not lend themselves well to ISO 9000–type quality standards. “Trading in global markets is not like an engineering application where it’s easy to measure performance characteristics,” Mechner says.

然而,范·vliet提供了另一个观点:“如果高频交易行业没有这样做的事情,那么他们将有很好的机会被规范入遗忘。”