SEC Hints at New Rules to Illuminate Dark Pools

在他最近的书中Flash Boys: A Wall Street Revolt,作者Michael Lewis通过简单而强大的陈述抓住了公众的注意：市场陷入僵局。首席美国金融监管机构玛丽·乔白色不同意。在最近的桑德勒奥尼尔+合作伙伴全球交流和经纪人会议上，证券交易委员会主席告诉人群，“目前的市场结构并非从根本上打破，更不用说。”仍然，有改进的空间。在刘易斯书的脚跟上，证券交易所和其他监管机构的目标是将市场结构提供全面检查，所谓的黑暗游泳池在他们的名单上很高。

白色的地址强调了市场不稳定和碎片等担忧，以及关于经纪人最佳执行实践的利益冲突。高频交易，的主要反派角色Flash Boys, got an airing too. Inextricably linked to HFT strategies are alternative trading systems, or ATSs. These off-exchange electronic venues include dark pools, where trades take place outside the purview of the general market, shielding buyer and seller from onlookers — and making true price discovery that much tougher.

Early dark pools — Investment Technology Group’s POSIT, launched in 1987, was among the first — were used mostly by large institutional investors to move block-size trades without leaking potentially market-moving information to the many brokers needed to execute them, or to help move illiquid securities.

基于金融研究和咨询公司的金融研究和咨询公司Tabb集团的创始人Larry Tabb表示，当银行从一个原子能机构移动到主要模式时，这开始改变。“差价下降，银行对拥有这些股票并在主要的基础上进行了交易而使他们的利润变得更加坚强，”塔博尔解释道。此外，算法交易的兴起拼写了大规模块交易的结束，从某种意义上是切片和切割订单。“随着更多的块被碎片碎片，对方对交易的另一方不那么自然流动性，因此它成为一个自我实现的预言。”

Today there are about 40 dark pools that handle some 15 percent of U.S. trading volume. The biggest include platforms operated by European banks Barclays, Credit Suisse Group and UBS, with Credit Suisse’s Crossfinder accounting for the most shares traded, according to the Washington-based Financial Industry Regulatory Authority.

In her speech White took note of dark pools’ opacity. She wants more information made public through disclosure of these exchanges’ Form ATSs, which keep the regulator apprised of their activities and operations. Several, including Crossfinder, Goldman Sachs Group’s Sigma X andIex，co-founded byFlash Boysprotagonist Brad Katsuyama, have done so voluntarily.

So has New York–based ITG. Head of electronic brokerage and sales Jamie Selway found little to quibble with in White’s talk, and he didn’t see much of a direct indictment of dark pools as a market disrupter. ITG still operates in the “canonical dark pool” structure, with blocks trading at the midpoint, Selway says. The term “dark pool” has become a catch-all, he notes, with bulge-bracket firms coopting it in the mid-2000s as part of their shift toward internalizing order flow.

With Regulation NMS, the SEC may have inadvertently worsened its fragmentation problem, says Justin Schack, head of the market structure analysis group at Rosenblatt Securities, a New York–based institutional agency brokerage. The 2007 rule was intended to ensure that customers get the best possible prices on their trades by, among other practices, improving access to displayed quotes. This created “some incentives for more exchanges to exist, more dark pools to exist, and the market got faster and more automated,” says Schack, who adds that one result was more complexity. “Now institutional investors see their orders going to many, many destinations, and they need a way to monitor all that because there’s a big conflict of interest baked into the complexity of our market structure.”

制造商模型，其中流动资金的提供者对交易场地收到折扣，而那些接受费用的费用，在美国参议院举行的6月份听证会上被调用了问题。问题：经纪人可能会看到激励将订单路由到最便宜的场地而不是对客户最有利于最有利的人。

塔巴集团的塔博表示，难以表明经纪人并没有以客户的最佳利益行事，指出最大折扣的场地往往具有最流动性。“所说，这将是最昂贵的交易场所，因此尝试从更便宜的地方捕捉流动性更具激励措施。”但投资者最终可能最终在20到30个黑暗的池中，在找到足够的流动性，TABB估计中之前。

For ITG’s Selway, price discovery isn’t a big concern. “I appreciate that argument at the limit, that if everything traded on dark and nothing on lit, prices would get screwy,” he says. But if they do get out of hand, arbitrage will set them right, Selway asserts.

SEC椅白色建议授权通过ATSS为机构客户提供更多披露订单路由。从监管角度来看，寻找投资者是至关重要的。白人表示，在市场上的信心尚未丢失，指出，执行大型订单比2006年的机构投资者更便宜。同样，投标差价比以往任何时候都窄，以最优惠的价格为零售投资者的最优惠价格缩小。亚博赞助欧冠

虽然regulators may not like it, opacity is inherent to dark pools’ function: Investors use them to keep a lid on trading strategies. Because these venues don’t disclose price quotes publicly, they’re naturally tougher to fathom. For Rosenblatt’s Schack, the main public policy question is whether the market is “doing the best possible job of arriving at the best price of a security.”

白色还建议建立一个专家市场结构咨询委员会，以扩展到更广泛问题的市场复杂性和额外的论坛和资源，以审查具体，明确明确的举措或观点。“ITG’s Selway agrees with the SEC push for better data, empirical research and analysis, but he downplays worries about market structure: “I view this dark-pool-versus-lit [debate] as the same tension [as] between passive and active management.”

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