闪电指令之争及思考

The debate and thinking of flash orders

本文介绍了闪电指令及与之相关的暗池与高频交易,以及交易技术创新对证券市场的巨大影响,并扼要讨论了闪电交易对市场交易的利弊以及由此而引发的争议。本文从交易信息获取的公平性、证券市场的价格发现机制、交易指令成交的最优执行以及交易信息泄露四个方面,对闪电指令交易对证券市场公平与效率的影响进行了分析和评价。关于闪电指令的争议对我国证券市场的启示,本文指出,国内证券市场在近期不会出现闪电交易之类的交易方式,但是我们不应忽视对此问题的研究,应当根据我国资本市场的特点在风险可测、可控、可承受的前提下积极推进场内市场的创新。

This article first describes flash orders, the dark pools and the high-frequency trading, and the impact of trading technology innovation on the securities market. The pros and cons of flash trades and the resulting controversy are also briefly discussed. This is followed by the analysis and evaluation of the effects of flash trades on the securities market fairness and efficiency from four aspects： the fairness to obtain trade information, the price discovery mechanism of the securities market, the optimal execution of clients＇ orders, and the disclosure of trading information. Regarding the enlightenment of debate of flash orders on Chinese securities market, this article points out that although the trading mechanism similar to flash trades will not take place in the domestic securities market in a near future, the research in this area should not be ignored, and under the premise of risk being measurable, controllable and affordable the innovation in the stock exchange should be actively promoted based on the characteristics of Chinese capital market.