上交所发布《上海证券交易所证券交易规则适用指引第2号——沪股通投资者程序化交易报告》

Core Viewpoint - The Shanghai Stock Exchange (SSE) has released guidelines for the reporting of algorithmic trading by investors participating in the Shanghai-Hong Kong Stock Connect, effective from January 12, 2026 [1] Summary by Sections Overall Requirements and Reporting Scope - Investors engaging in algorithmic trading of stocks and funds through the interconnection mechanism between mainland and Hong Kong stock markets must fulfill reporting obligations, ensuring that the reported information is true, accurate, and complete [1] Reporting Path and Timeliness - A "report first, trade later" requirement is established, where clients of Hong Kong Stock Exchange (HKEX) participants must report to their executing participants, who then must submit the information to the SSE within five trading days [1] Types of Reported Information - Required reporting information includes basic information, funding details, trading information, and trading software information, with the SSE having the authority to request assistance from HKEX in contacting investors [1] High-Frequency Trading Management - Investors identified as engaging in high-frequency trading must provide additional details such as the location of trading system servers, system testing reports, and emergency plans [1] Responsibilities of HKEX Participants - HKEX participants are responsible for ensuring their clients fulfill reporting obligations and must verify the information within their knowledge limits. If clients fail to comply after reminders, participants must refuse to accept their algorithmic trading orders [1] Regulatory Requirements - The SSE can request HKEX to take regulatory actions or disciplinary measures against entities that fail to meet reporting obligations, provide incomplete information, or have discrepancies between reported information and trading behavior [1] Access to Client Information - The SSE can obtain client information related to profit swap activities conducted by algorithmic trading investors through regulatory cooperation arrangements [1]