更清楚地看到市场

By Howard Moore

MiFID II是金融工具市场指令的修订版，于2018年1月生效。尽管MiFIDⅡ是一项欧洲指令，但它适用于所有在欧洲市场进行贸易的公司，因此具有全球影响力。它的目的是纳入新的市场实践，其中许多是技术进步所促成的，并使投资经理对最佳执行标准负责，并通过将交易执行和证券研究分开来澄清交易和投资成本。买方公司必须证明他们已经采取了“足够”的步骤来实现最佳执行，而不是以前规定的仅仅是“合理”的步骤。

尽管MiFIDⅡ和其他金融法规确立了最佳执行标准，并加强了问责制，但市场（尤其是买方）一直要求降低透明度，加强控制。“我们主要关注的领域之一是最佳执行，”健康市场协会（Healthy Markets Association）执行董事泰勒•盖拉什（Tyler Gellasch）表示。该协会成立于2015年，旨在代表买方就市场结构问题进行宣传。他说：“过去几年，我们一直在与FINRA合作，鼓励经纪人提高执行质量，并提供更有效的监控工具和执行机制。”。健康市场协会（healthymarkets Association）不久将发布第三版报告《更好的最佳执行》（betterbest Execution），详细介绍投资顾问的最佳执行实践，以及他们应该从经纪人那里得到什么。

At the heart of best execution is venue analysis, which not only helps to determine venues and optimize their priority, but also to demonstrate the execution standard has been met under MiFID II and the proposed SEC enhanced order transparency rules. Technology now allows buy-side traders to engage in meaningful conversations with their counterparties using detailed and unbiased reversion, fill rate, and hit rate data, which allows for detailed venue performance analysis, so traders can measure and rationalize order handling protocols accurately. Further, on the most innovative venue analysis tools, a venue’s performance is not treated as an absolute. Instead, performance can be evaluated and prioritized based on the intent of the trade, whether it’s passive, aggressive, or seeking block liquidity.

市场发展的混乱

随着市场结构的演变，市场变得越来越复杂和分散，有数百种不同的订单类型和层次，而且文档不足。另类交易系统（ATS）如暗池（darkpools）的出现，能够适应由基于算法的高频率生成、路由和执行订单的技术实现的交易策略。交易技术提供商Clearpool Group的首席执行官Joe Wald说：“场地分割在市场混乱中起到了巨大的作用，因为一些自动交易系统事先将订单内部化，滋生了一种不信任的气氛。”他指出，存在许多利益冲突，有些是真实的，有些是故意的，有些是察觉到的。

However, ATS are registered as broker-dealers and aren’t subject to the same level of disclosure as exchanges. The SEC established Regulation ATS, which requires disclosure of some material facts and trading statistics, 20 years ago, but there has been little guidance since, despite the growth of algorithmic trading in both volume and sophistication. What specific disclosures are required remain open to interpretation. Some venues post their Form ATS and even share more granular data about operations, subscribers, and trading statistics on their websites. Some provide information only to their subscribers – and others don’t provide any.

这削弱了准确比较各种市场中心（包括注册交易所）的能力，并允许滥用行为，如提前或违背订户订单进行交易、在未通知的情况下将订单发送到其他市场中心、不适当地使用订单信息、发布误导性信息等。当证交会和其他监管机构开始对不披露信息和其他滥用信息的行为征收罚款时，证券业——尤其是买方——开始注意到这一点。

“When we organized The Healthy Markets Association, ATS disclosure was at the top of the agenda,” says Gellasch. Early on, the association released “The Dark Side of the Pools,” a report that reviewed the significant regulatory actions at that time and offered recommendations on how best to navigate the various complexities of working with dark pools and other venues. In 2016, Healthy Markets proposed to the SEC that ATS operators provide increasingly detailed and enhanced public disclosures, and it released a due diligence questionnaire that helped investment advisors, asset owners, and even broker-dealers to understand potential conflicts of interest and how to improve working relationships among the market’s constituents.

Market behavior changing for the better

“我们看到市场行为改变,仅仅通过asking the questions,” says Gellasch. As a result of the attention, some ATS have voluntarily enhanced their disclosures – some publicly – just because some of their clients asked for more information. “That’s the power of the buy-side order flow,” he says. Regulators are taking notice as well. “Just by highlighting some of these interests and concerns, they have appeared on the SEC’s and FINRA’s agendas.”

In addition to mandating new standards of best execution, MiFID II has separated trade execution services from securities research, and asset management firms must now divulge what they pay for each service. This marks a significant break from the traditional institutional trading market practice of offering one bundled with the other, and letting its clients figure out the relative value of each. “Those brokers who can differentiate their research franchise and trade execution services as superior, but separate, products have the best chance to maintain both sides of the business,” says Wald. From the sell side’s perspective, both have to be better. Over the past year, asset managers debated what they were willing to spend on research, and sell-side firms have been strengthening each service to preserve, if not increase, market share.

现在有了一些工具，可以增强市场参与者的能力，揭开复杂市场的神秘面纱，提供更深层次的场馆性能分析。沃尔德说：“在进行场地分析时，我们的目的是让交易者有工具来分析场地，并根据交易目标确定哪些场地最适合纳入他们的路由协议。”。通过这样做，买方和卖方之间形成了更深层次的合作交流。“在一个非常复杂和支离破碎的市场结构中，有两方希望为对方做正确的事情。有了正确的工具集来分析场馆，买方和卖方就可以达成一致意见，并第一次合作告知、演示和验证执行协议。”

Watch the video, Venue Analysis: Empowering the Buy and Sell Side