La SEC s'intéresse aux stratégies de haute fréquence

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Lliane
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Messagepar Lliane » lun. déc. 07, 2009 11:23 pm

Bonne nouvelle pour les traders loin du palais brogniart ou mauvaise nouvelle pour tout le secteur du trading automatique ?

La SEC s'intéresse aux stratégies de haute fréquence :

NEW YORK, 7 décembre (Reuters) - La Securities and Exchange Commission (SEC) américaine sollicitera sans doute des commentaires sur les stratégies de trading à haute fréquence, pour savoir si les traders qui en usent en tirent des avantages particuliers en plaçant des ordinateurs ultra-rapides à proximité des serveurs des Bourses.

Le trading haute fréquence, qui représente 60% environ des transactions boursières aux USA, implique l'emploi d'algorithmes pour vendre ou acheter des titres à toute vitesse en tirant parti des déséquilibres des marchés.

La SEC a ouvert une enquête sur ce procédé, dans lequel certains voient une manipulation des cours et un catalyseur d'instabilité des marchés.

La SEC "s'est engagée résolument dans un examen solide et énergique de la structure du marché", écrit la présidente de la SEC Mary Schapiro, dans une lettre datée du 3 décembre, adressée au sénateur Ted Kaufman et dont Reuters a obtenu un exemplaire.

Ce sénateur est l'un des critiques les plus virulents à l'encontre de ces stratégies de trading à la vitesse de l'éclair.

"Nous continuerons à employer tous les outils à notre disposition pour poursuivre énergiquement les manipulations de marché illicites de part de traders haute fréquence ou autres".

L'autorité boursière "sollicitera vraisemblablement des informations sur les diverses stratégies employées par les traders haute fréquence et sur tout avantage de trading particulier dont ils pourraient jouir, y compris par le biais de la colocation".

La pratique de la colocation consiste pour des courtiers ou des brokers à louer un espace à proximité des serveurs de trading des Bourses, ce qui leur permet de gagner des millisecondes dans leurs opérations.

La SEC veut savoir quelles sont les retombées du trading haute fréquence sur les investisseurs de long terme et si ce trading rend les marchés plus efficaces ou pas, avaient dit des hauts fonctionnaires le mois dernier.

Le régulateur veut également s'occuper de la pratique par laquelle des brokers laissent des sociétés de trading profiter de leur licence, ce qui donne à ces dernières un accès illimité au marché.

Lliane / Global Alpha - StatVolArb / Natixis Equity

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nvitale
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Messagepar nvitale » mar. déc. 08, 2009 12:00 am

Je dirais ni bonne, ni mauvaise nouvelle.

L'intérêt de la SEC pour le high frequency trading n'est pas nouveau depuis la crise (cf l'épisodes Goldman/Aleynikov, les flash orders, etc). Personne n'y comprends rien donc c'est un bel épouvantail.

Apparemment les régulateurs ont juste compris qu'il fallait qu'ils comprennent ce qu'il se passe avant de faire/dire des âneries.

Personellement, je me fais donc aucun soucis, ou du moins pas plus que ceux que peuvent avoir tout trader en ce moment.

Il ne faut pas oublie que même les gérants de fond classique utilisent les algos pour passer des ordres et limiter leur cout (recherche de liquidité, stratégies passives puis actives).

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nvitale
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Messagepar nvitale » mar. déc. 08, 2009 12:06 am

Pour rappel, voici une info précédente sur le flash trading.

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nvitale
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Messagepar nvitale » ven. janv. 15, 2010 12:36 am

En relation :

Article Original : http://www.automatedtrader.net/headlines/29385/sec-proposes-to-prohibit-unfiltered-access-and-maintain-market-access-controls

SEC's new proposal to effectively ban broker-dealers from providing "unfiltered" or "naked" access to an exchange or ATS.

The Securities and Exchange Commission has voted unanimously to propose a new rule that would effectively prohibit broker-dealers from providing customers with "unfiltered" or "naked" access to an exchange or alternative trading system (ATS).

The SEC's proposed rule would require brokers with market access, including those who sponsor customers' access to an exchange, to put in place risk management controls and supervisory procedures. Among other things, the procedures would help prevent erroneous orders, ensure compliance with regulatory requirements, and enforce pre-set credit or capital thresholds.

"Unfiltered access is similar to giving your car keys to a friend who doesn't have a license and letting him drive unaccompanied," said SEC Chairman Mary L. Schapiro. "Today's proposal would require that if a broker-dealer is going to loan his keys, he must not only remain in the car, but he must also see to it that the person driving observes the rules before the car is ever put into drive."

Broker-dealers use a 'special pass' known as their market participant identifier (MPID) to electronically access an exchange or ATS and place an order for a customer. Broker-dealers are subject to the federal securities laws as well as the rules of the self-regulatory organizations that regulate their operation.

However, those laws and rules do not apply to a non-broker-dealer customer who a broker-dealer provides with their MPID in order to individually gain access to an exchange or ATS. Under this arrangement known as "direct market access" or "sponsored access," the customer can sometimes place an order that flows directly into the markets without first passing through the broker-dealer's systems and without being pre-screened by the broker-dealer in any manner. This type of direct market access arrangement is known as "unfiltered" access and "naked" access. A recent report estimated that naked access accounts for 38 percent of the daily volume for equities traded in the U.S. markets.

Through sponsored access, especially "unfiltered" or "naked" sponsored access arrangements, there is the potential that financial, regulatory and other risks associated with the placement of orders are not being appropriately managed. In particular, there is an increased likelihood that customers will enter erroneous orders as a result of computer malfunction or human error, fail to comply with various regulatory requirements, or breach a credit or capital limit.

The SEC's proposed rule would require broker-dealers to establish, document and maintain a system of risk management controls and supervisory procedures reasonably designed to manage the financial, regulatory and other risks related to its market access, including access on behalf of sponsored customers.

Broker-dealers would be required to:

* Create financial risk management controls reasonably designed to prevent the entry of orders that exceed appropriate pre-set credit or capital thresholds, or that appear to be erroneous.
* Create regulatory risk management controls reasonably designed to ensure compliance with all regulatory requirements applicable in connection with market access.
* Have financial and regulatory risk management controls applied automatically on a pre-trade basis before orders route to an exchange or ATS.
* Maintain risk management controls and supervisory procedures under the direct and exclusive control of the broker-dealer with market access.
* Establish, document and maintain a system for regularly reviewing the effectiveness of its risk management controls and for promptly addressing any issues.

The SEC today also approved a new Nasdaq rule that requires broker-dealers offering sponsored access to Nasdaq to establish certain controls over the financial and regulatory risks of that activity. The proposed Commission rule would extend beyond the new Nasdaq rule in several respects. For example, the Commission's proposal would require the broker-dealer to automatically apply its controls on a pre-trade basis, and to retain exclusive control over those controls without delegation of this critical function to the customer or another third party. The Commission's proposal also would require broker-dealers to establish a supervisory system, including an annual CEO certification, to assure the ongoing effectiveness of its controls In addition, the Commission's proposed risk management controls would apply market-wide, whenever a broker-dealer directly accesses any exchange or ATS.

The SEC's proposed rule seeks public comment and data on a broad range of issues relating to market access, including the costs and benefits associated with the proposal. Public comments on today's proposal must be received by the Commission within 60 days after its publication in the Federal



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