Core Viewpoint - The new regulations on algorithmic trading, effective from July 7, 2023, aim to impose precise supervision on high-frequency trading and strict constraints on abnormal trading, reshaping the market ecology and promoting the standardized development of the quantitative industry [1][4][19]. Summary by Relevant Sections High-Frequency Trading Regulation - The new regulations define high-frequency trading as any account making 300 or more orders per second or exceeding 20,000 orders per day, which will be subject to differentiated fees and additional reporting requirements [3][5][14]. - The regulations aim to suppress short-term speculation by limiting behaviors such as frequent order cancellations and manipulative trading, thereby reducing false liquidity and irrational market fluctuations [5][6]. Cost Implications - High-frequency trading strategies may see a decline in profitability by 30% to 50%, with smaller private equity firms facing elimination due to increased compliance costs [6][11]. - The introduction of a 1 yuan order fee and a 5 yuan cancellation fee will raise the breakeven point for high-frequency strategies by 30% to 50% [6][19]. Market Structure Changes - The regulations are expected to consolidate the advantages of leading quantitative firms that primarily use medium to low-frequency strategies, while smaller firms relying on high-frequency strategies may need to transition or exit the market [6][11]. - The overall market concentration is likely to increase, as smaller firms with insufficient technical reserves face pressure to adapt or exit [6][19]. Market Ecology Optimization - The regulations are anticipated to improve liquidity quality by reducing deceptive trading practices, allowing genuine supply and demand to be more accurately reflected in prices [6][11]. - The fairness of the market is expected to enhance as the technical advantages of high-frequency trading diminish, thereby protecting the interests of smaller investors [6][11]. Impact on Trading Volume - On the first day of the new regulations, the trading volume in the two markets decreased by over 200 billion yuan, indicating a potential impact on quantitative trading activities [8][9]. - Despite the drop, some market participants believe that the trading volume remained high, suggesting that the market's response to the new regulations may be within normal parameters [10][11]. Long-Term Industry Outlook - The new regulations are seen as a step towards a more transparent and fair market, promoting the sustainable development of the quantitative industry [16][19]. - The focus of competition in the quantitative sector is shifting from speed to the effectiveness of strategies, with an increasing emphasis on fundamental factors [19].

重要程度：★★★★★ 中国人民银行发布的最新数据显示，6月末黄金储备为7390万盎司，较5月末的7383万盎司增加7万盎司。 这意味着，自从去年11月以来，中国央行已经连续第八个月增持了黄金。 中航期货汪楠在研报中指出，展望下半年，在美国关税威胁、赤字扩张削弱美元资产吸引力，海外降息周 期和全球央行延续购金的背景下，黄金价格中枢上移，下半年美联储降息预期增强，黄金有望延续利率逻 辑再度冲高。 2、特朗普威胁对金砖国家加征10%新关税 中方回应 重要程度：★★★★ 7月7日，外交部发言人毛宁主持例行记者会。法新社提问，金砖国家峰会将于今天闭幕，昨天，美国总统 特朗普批评金砖国家推行反美政策，并威胁对其成员国加征10%的新关税，请问中方对此有何评论? 毛宁表示，金砖机制是新兴市场和发展中国家合作的重要平台，倡导开放包容，合作共赢，不搞阵营对 抗，不针对任何国家。关于加征关税，中方已经多次阐明了立场，贸易战、关税战没有赢家，保护主义没 有出路。 1、央行"八连增"黄金，下半年金价走势还乐观吗？机构研判后市 3、充电桩投资来了？四部门剑指"大功率" 产业链价值量有望提升 重要程度：★★★★ 7月7日，充电桩概念走强， ...

证券研究报告：金融工程报告 研究所 分析师:肖承志 SAC 登记编号:S1340524090001 Email:xiaochengzhi@cnpsec.com 近期研究报告 《现阶段主要矛盾是交易范式之争— 《调整仍不充分——微盘股指数周报 20250622》 - 2025.06.23 《短期上涨动能枯竭，控制仓位做好 防御——微盘股指数周报 20250615》 - 2025.06.16 《为何微盘股基金仓位下降指数却不 断新高？——微盘股指数周报 20250608》 - 2025.06.09 《小盘股成交占比高意味着拥挤度高 吗？——微盘股指数周报 20250601》 - 2025.06.02 《微盘股容易被忽略的"看空成本" ——微盘股指数周报 20250525》 - 2025.05.26 《证监会修改《重组办法》，深化并购 重组改革——微盘股指数周报 20250518》 - 2025.05.19 《微盘股会涨到什么时候——微盘股 指数周报 20250511》 - 2025.05.12 《4 月完美收官，5 月看好高波成长— —微盘股指数周报 20250504》 - 2025.05.06 《年报效应边际递 ...

深圳商报·读创客户端记者 钟国斌 7月7日，沪深北三大交易所发布的《程序化交易管理实施细则》（下称《实施细则》）正式实施。A股 市场震荡调整，上证指数尾盘翻红，创业板指领跌。沪深北三市成交额12272亿元，较上一交易日萎缩 2199亿元。 高频交易一直是各类程序化交易新规关注的重点，《实施细则》明确了瞬时申报速率异常、频繁瞬时撤 单、频繁拉抬打压以及短时间大额成交等四类异常交易行为的构成要件，还列出了投资者发生程序化异 常交易行为时交易所可采取的措施。 《实施细则》指出，程序化交易导致证券交易出现重大异常波动的，交易所可以按照业务规则采取限制 交易、强制停牌等处置措施，并向中国证监会报告。 《实施细则》明确，单个账户每秒申报、撤单的最高笔数达到300笔以上，或者单个账户单日申报、撤 单的最高笔数达到20000笔的情形属于高频交易。针对高频交易，频繁申报、撤单等"幌骗交易"的行 为，监管明确对其进行差异化收费。 《实施细则》全面暂停融券T+0交易，禁止通过融券实现"当日卖出、次日还券"的"类T+0"操作，切断 短线套利路径。 近年来，随着新型信息技术广泛运用，程序化交易已成为重要的交易方式。尽管近年来程序化交易 ...

Core Viewpoint - The new regulations for algorithmic trading aim to enhance monitoring and regulation of high-frequency trading, promoting a more equitable trading environment and encouraging the development of core trading strategies over speed [1][2][3] Group 1: Regulatory Changes - The new rules, effective from July 7, impose limits on high-frequency trading, specifically capping the maximum number of orders and cancellations per account to 300 per second and 20,000 per day respectively [1] - The regulations are designed to mitigate the competitive advantages of speed in trading, thereby fostering a fairer market for retail investors [2][3] Group 2: Market Impact - The implementation of the new rules is expected to shift the focus of quantitative trading from speed to core trading strategies, leading to a restructuring of the quantitative trading strategy ecosystem [2] - As high-frequency trading advantages diminish, mid to low-frequency strategies are anticipated to become the mainstream, enhancing the market's value discovery function [2] Group 3: Future of Quantitative Trading - The transition from speed-based strategies to depth-oriented strategies is seen as a positive development, allowing quantitative trading to better integrate with the A-share market [3] - The new regulations are expected to lead to a more optimized market ecology, where genuine high-quality stocks are identified and valued appropriately, moving away from the "false prosperity" created by high-frequency strategies [2]

Market Overview - The current market is experiencing a decrease in trading volume, which some analysts believe is a positive sign as it indicates more stability in price movements [1] - The banking sector has been identified as the main driver of the market's upward movement, contributing 87.61 points to the index in the first half of the year [1] - If quantitative funds continue to decrease, there may be a shift of capital from the banking sector to other sectors, which could lead to a broader market recovery [1] Investment Strategy - A stable investment strategy suggested by institutions involves taking profits when prices significantly deviate from the value center and buying when prices fall below it [3] - The current market conditions indicate that most stocks have already been harvested by quantitative funds, resulting in minimal price fluctuations [5] Sector Performance - The banking sector remains the primary focus for institutional investors, with little interest in other sectors due to a lack of new capital inflow [5] - The performance of stablecoins and certain sectors like electricity and RWA has shown some strength, but overall market hotspots are limited [7] Trading Dynamics - The buying power today was recorded at over 600, indicating a lack of new capital entering the market, which makes upward breakthroughs difficult [5] - The sell-side pressure is moderate, but the main constraint on market rebounds is the absence of new funds rather than selling pressure [5] Hotspot Analysis - The current market hotspots are scattered, with stablecoins and ST stocks showing some positive movement, while other sectors struggle to maintain momentum [7] - The market is characterized by a lack of strong trends, making it challenging for investors to identify reliable opportunities [7]

这波推倒重来之后，后面兴起的周期才真正的主线量化，新规要过一段时间，等成交量稳定之后就可以 了。所以你看市场缩量对大盘其实没有太大影响，因为大盘主要是靠权重股，有没有看到今天银行股照 样出来顶，我昨天讲的是，包括上周五周四晚上时候就讲过这个事情，量化新规一旦出来，成交量肯定 是缩的，成交量缩了之后资金选择避险，因为周五毕竟跌了，那么资金选择避险去哪里？要么就是银行 股，要么就是带有业绩的科技板块，所以看到没有，今天带有业绩的科技板块都没跌，都水下翻红的， 银行股也是的，说大盘压根就没怎么动，那连板就很难做，这就是根本性原因。 针对这个市场，首先第一个要耐心有一个新周期，现在炒电力也好，炒这个外卖也好，都只是一个短期 炒作的一个对象，不可持续的，也没办法当主线来炒，如果真的想玩你是可以去玩一下，但说实话明天 电力也不太好接了，因为补涨的票都在挖，现在的题材只要一出来，第二天补涨的票就挖出来了，那这 种题材一般来讲都不太好做的。所以我建议大家要么就是在一些银行板块避险的，要么就是在有科技业 绩的这个板块里面做趋势。 （原标题：和讯投顾徐斌箐：量化新规导致缩量？） 周末的时候量化新规正式实施了，那么这个也跟大家预判 ...

2025年7月7日 周度报告 股债持仓量有所分化 金融工程周报 操作评级 股指 ☆☆☆ 国债 ☆☆☆ 王锴 金融工程组 010-58747784 gtaxinstitute@essence.com. cn Z0016943 F03091361 本报告版权属于国投期货有限公司 1 不可作为投资依据，转载请注明出处 p 截至7月4日当周，股指继续上涨，钢铁板块领涨，计算机 板块领跌，融资规模增加189.28亿元。当前股市主要依赖 于宽松资金面和风险偏好支撑，整体股市成交量继续回升。 仍需关注美元走势变化，股指或兑现回调压力。 p 从高频宏观基本面因子评分来看，期指方面，通胀指标7分， 流动性指标5分，估值指标11分，市场情绪指标8分。期债 方面，通胀指标8分，流动性指标10分，市场情绪指标8分。 期限结构方面，7月基差逐步收敛但仍处于偏高水平，且仍 然受到分红季影响，贴水收敛速度缓慢。 p 金融衍生品量化CTA策略上周净值上升0.85%。主要为周 三做多T以及周五日内做多IC。长周期方面，中采与财新 PMI均有一定程度边际改善，对于IC和IM提升作用较为显 著，T有一定下降。短周期方面，随着美元震荡下行，利差 和 ...

Core Viewpoint - The article discusses the complexities of market expectations and the importance of data analysis in identifying investment opportunities amidst apparent economic crises, particularly focusing on the recent decline of the US dollar and the behavior of institutional investors. Group 1: Market Dynamics - The recent decline of the US dollar is attributed to a crisis not seen in 47 years, but it is suggested that this situation is more about expectation games than actual economic downturns [1] - Ordinary investors are focused on shrinking import and export data, while institutional investors are quietly increasing their positions in technology stock options [3] Group 2: Data-Driven Insights - A case study in the semiconductor sector illustrates how quantitative systems can detect institutional "shakeout" patterns, which may appear alarming but are actually strategic moves by investors [5] - In April, signals of speculative buying in the new energy sector were noted, indicating that what seems like chaotic market movements can actually reflect strategic plays between institutions and retail investors [7] Group 3: Federal Reserve and Market Predictions - Speculation around the next Federal Reserve chairperson is compared to the political turmoil during the UK prime minister change in 2022, suggesting that market reactions may not align with traditional views of political instability [9] - The article emphasizes the importance of monitoring implied volatility in the options market to gauge market sentiment regarding the Federal Reserve's decisions [9] Group 4: Investment Strategies - Investors are encouraged to build their own "data dashboards" that include indicators of capital dynamics, institutional holdings, and market sentiment to better navigate the market [10] - Historical analysis of the 2008 financial crisis reveals that the most profitable strategies were not necessarily those that bet against the market but rather those that understood the Federal Reserve's balance sheet expansion [11] Group 5: Importance of Timing in Data Analysis - Significant market turning points often leave traces in data, but patience is required to confirm these signals, as seen in the current focus on the US dollar index and changes in open interest at the Chicago Mercantile Exchange [12]

Core Viewpoint - The article emphasizes the importance of regulating quantitative trading to enhance market liquidity and reduce volatility, while balancing market efficiency and fairness [3][4][5]. Summary by Sections Overview of Quantitative Trading - Quantitative trading refers to the use of mathematical models, statistical analysis, and computer technology for securities investment, aiming to reduce emotional interference and improve trading efficiency [7]. - The development of quantitative trading in China has been driven by policy evolution and technological breakthroughs over the past two decades, with significant milestones including the introduction of futures and regulatory frameworks [8][9]. Impact of Quantitative Trading on the Market - Positive impacts include increased market liquidity, reduced volatility, and improved pricing efficiency. Quantitative trading generates numerous orders, enhancing market depth and narrowing bid-ask spreads [15][16][17]. - Negative impacts may involve market manipulation, exacerbation of volatility during extreme conditions, and potential fairness issues due to the speed of high-frequency trading [18][19][20]. Regulatory Framework for Quantitative Trading - China's regulatory approach focuses on automated and programmatic aspects of quantitative trading, with specific regulations for high-frequency trading established under the "Securities Market Programmatic Trading Management Measures" [21][22]. - Internationally, the U.S. and Germany have implemented strict regulations to prevent market disruption and ensure fair trading practices, with specific measures for high-frequency trading [23][24][25]. Recommendations for Healthy Development of Quantitative Trading - Suggestions include optimizing the regulatory framework with differentiated access for high-frequency and other quantitative institutions, enhancing risk control measures, and balancing market efficiency with fairness [26][27][28].