Group 1 - The core viewpoint of the news is the implementation of new regulations for quantitative trading by the three major exchanges in China, marking a new phase of strict regulation for algorithmic trading [1][2] - The new rules aim to enhance the supervision of algorithmic trading, promote its standardized development, and maintain market order and fairness [1] - Algorithmic trading, while providing liquidity to the market, poses risks such as technical, informational, and speed advantages for high-frequency traders over retail investors, leading to increased market volatility [1] Group 2 - The implementation details specify four types of abnormal trading behaviors, including abnormal instantaneous reporting rates, frequent instantaneous cancellations, frequent price manipulation, and large transactions within a short time frame [1] - The regulations focus on high-frequency trading, defining it based on specific thresholds for order submissions and cancellations, with differentiated management requirements for high-frequency trading investors [2] - Investors engaging in algorithmic trading are prohibited from affecting the security of the trading system or normal trading order, and from using algorithmic trading for insider trading or other illegal activities [2]

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].

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 ...

中经实习记者 孙汝祥 记者 夏欣 北京报道 自7月7日起，沪深北交易所此前4月公布的《程序化交易管理实施细则》（即"量化交易新规"）正式实 施。 新规明确高频交易认定标准为：单账户每秒申报、撤单笔数合计最高达到300笔以上，或者单账户全日 申报、撤单笔数合计最高达到2万笔以上。与此同时，新规通过四个方面进一步加强高频交易监管。 接受《中国经营报》记者采访的专家表示，量化交易具有"双刃剑"效应，新规在强化监管约束的同时， 也有助于规范市场竞争环境，提升资本市场公平性。而针对"中小投资者占绝大多数"这个最大的国情和 市情，专家建议要进一步优化各项规则，保证中小投资者有公平的交易机会。 亦有专家指出，量化交易让散户被动退出，至少应该限制量化交易，否则长此以往会使A股流动性下 降。 加强差异化监管 根据量化交易新规，单账户每秒申报、撤单笔数合计最高达到300笔以上，或者单账户全日申报、撤单 笔数合计最高达到2万笔以上的交易，被认定为高频交易。 针对高频交易，交易所进行了差异化监管安排。 一是要求存在高频交易情形的投资者，额外报告高频交易系统服务器所在地、系统测试报告和系统故障 应急方案等信息。 二是设置瞬时申报速率异 ...

Core Viewpoint - The implementation of new quantitative trading regulations by the three major exchanges aims to enhance the management and oversight of algorithmic trading, particularly focusing on high-frequency trading and deceptive practices like frequent order cancellations [1][2][3]. Group 1: Regulatory Changes - The new regulations detail the management of algorithmic trading, including the identification of four types of abnormal trading behaviors: unusual instantaneous order rates, frequent instantaneous cancellations, frequent price manipulation, and large transactions in a short time [2][3]. - The regulations specify that if algorithmic trading causes significant market fluctuations, exchanges can impose trading restrictions, mandatory suspensions, or even temporary market closures [2][4]. - The criteria for high-frequency trading remain unchanged, with specific thresholds set at over 300 orders per second or 20,000 orders per day [5][6]. Group 2: Impact on Quantitative Investment Strategies - Many quantitative hedge funds report that high-frequency alpha strategies and basket stock arbitrage strategies will face some impact due to the new regulations [1][4]. - The trend towards "deceleration" in quantitative investment is expected, as larger management scales will lead to a greater reliance on medium to low-frequency strategies [4][6]. - The majority of existing strategies have turnover rates below the new regulatory limits, indicating that the implementation of these rules will not significantly disrupt their operations [3][4]. Group 3: Market Dynamics and Competition - The new regulations are seen as a means to establish unified regulatory standards for all market participants using algorithmic trading, which is expected to enhance market vitality and resilience [3][4]. - The competition within the quantitative hedge fund industry is anticipated to become more refined, with a focus on compliance, risk management, and client service capabilities [8]. - The introduction of these regulations may strengthen the stability of large quantitative hedge funds while posing challenges for smaller, growth-oriented managers in a more competitive environment [8].

今年4月3日，沪深北三大交易所同时发布了程序化交易管理实施细则。实施细则于2025年7月7日开始正式 实施。中间间隔的3个月时间，是为市场主体进行适应性调整、做好技术准备，预留过渡期。 "通过加强程序化交易监测监控、健全高频交易监管等措施，有助于降低程序化交易相对普通投资者的过度优 势，维护市场公平。同时，通过规范程序化交易行为，可以减少市场操纵和过度投机行为，提升市场的整体稳 定性，交易监管正在进一步细化和加强，资本市场长期稳定运行可期。"东莞证券分析师卢立亭认为。 二是针对性设置异常交易监管标准。针对高频交易申报速率快、报撤频率高等特点，设置瞬时申报速率 异常、频繁瞬时撤单等异常交易监管标准，加强对高频交易行为的引导和约束。 三是加强交易监管。投资者进行高频交易发生异常交易行为的，本所可以按规定从严从重采取自律管理 措施，并要求会员加强相关客户交易行为管理。 另外，中证协也在近日向券商发布了《程序化交易委托协议（示范文本）》，以更好指导券商规范开展程序化 交易，进一步明确各方主体的权利义务和责任范围。 明确高频交易认定标准 据悉，上交所的实施细则对证监会《证券市场程序化交易管理规定（试行）》规定的四类程序 ...

7日，北京证券交易所发布的《北京证券交易所程序化交易管理实施细则》（以下简称"《实施细 则》"）正式实施。业内人士认为，对于程序化交易细则实施新规，市场前置应对充分，无需担忧其实 际的边际影响；细则实施有助于提升监管能力，推动量化行业从单纯的速度竞争转向策略创新，长期来 看有利于行业的健康可持续发展。 市场对新规实施影响已平滑 值得一提的是，《实施细则》对高频交易实施差异化收费预留下政策空间。财经评论员郭施亮表示，程 序化交易新规的实施，主要强调的是规范，并且对高频交易有一个明确的认定标准。可以预期，未来高 频交易的量化机构交易成本将会大幅增加，套利空间也会因交易成本增加而显著下降，这也有助于进一 步加强高频交易监管和引导量化机构规范运作。 《实施细则》是北交所针对中国证监会2024年5月发布的《证券市场程序化交易管理规定（试行）》制 定的业务规则和具体举措，对程序化交易报告管理、交易行为管理、信息系统管理、高频交易管理、监 督检查等事项作出细化规定。该细则于2024年6月开始征求意见，在2025年4月正式发布，自2025年7月7 日起施行。 《实施细则》对中国证监会上述管理规定规定的四类程序化异常交易行为作 ...

Core Viewpoint - The implementation of new regulations for algorithmic trading aims to enhance market fairness and stability by reducing the advantages of algorithmic trading over ordinary investors and minimizing market manipulation and excessive speculation [1][3]. Group 1: Implementation Details - The new algorithmic trading management rules will officially take effect on July 7, 2025, allowing a three-month transition period for market participants to adapt and prepare [1]. - The Shanghai Stock Exchange has further detailed four types of abnormal algorithmic trading behaviors, including instant declaration rate anomalies and frequent instant cancellations, with specific standards set for each type [2][3]. Group 2: Regulatory Measures - The new regulations require investors engaged in high-frequency trading to fulfill additional reporting obligations, including details about their trading systems and emergency plans [3]. - Specific abnormal trading monitoring standards have been established to address the rapid declaration and cancellation rates typical of high-frequency trading [3]. - The exchange will implement stricter self-regulatory measures for investors exhibiting abnormal trading behaviors and will encourage members to manage client trading activities more effectively [3]. Group 3: Impact on Quantitative Private Equity - The new regulations will impose stricter compliance requirements on the quantitative private equity fund industry, prompting institutions to enhance their compliance governance and risk management systems [4]. - The costs associated with high-frequency trading strategies are expected to rise significantly due to the new reporting and regulatory standards, necessitating a reassessment of profitability [4]. Group 4: Guidance for Brokers - The China Securities Association has drafted a model agreement for algorithmic trading to guide brokers in standardizing their practices and clarifying the rights and responsibilities of all parties involved [7]. - The model agreement includes provisions for trading behavior management, high-frequency trading management, and breach of contract responsibilities, ensuring effective management of algorithmic trading clients [7][8].

某大型量化私募称，新规给了较长的过渡期，从去年开始很多机构都按每秒300笔、每天2万笔的要求执 行，投资端早就调试好了；产品端也会根据最优规模去交易，原先高频的也降低频率了，转为选 股。"监管主要关注一些实质影响市场的，如频繁挂撤单，某些小众策略会有影响。" 思源量化创始人王雄认为，每秒300笔的阈值是监管从"模糊定性"迈向"量化界定"的关键一步，但需动 态优化。从有效性来看，对依赖"订单流轰炸"的极端高频策略形成硬约束，但主流中高频策略可通过算 法优化，如信号合并、智能订单管理，适应阈值。"全行业平均频率适度下移，但中高频策略仍是阿尔 法核心来源，非理性报撤行为将被淘汰。" 【导读】《程序化交易管理实施细则》正式实施，量化投资从拼"速度"转向比"深度" 7月7日，备受市场关注的《程序化交易管理实施细则》(以下简称《细则》)正式实施。中国基金报记者 采访了量化私募、券商和算法交易提供商，他们表示，新规主要针对的是不规范的高频交易行为，而非 量化投资的核心逻辑。相关要求提出时间比较久，业内早已做好设备和系统的适配。新规推动量化交易 整体向中低频、更长线策略转型，量化行业将从"速度竞争"转向"深度竞争"。 量化行 ...

Core Viewpoint - The implementation of the "Procedural Trading Management Implementation Rules" marks a shift in quantitative trading from a focus on speed to a focus on depth, promoting a transition towards medium and low-frequency strategies in the industry [1][4][6]. Regulatory Changes - The new rules, effective from July 7, 2023, specifically target irregular high-frequency trading behaviors rather than the core logic of quantitative investment [1][3]. - Clear standards for high-frequency trading have been established, including thresholds of 300 orders per second and 20,000 orders per day for a single account [3][4]. - Many institutions have already adapted to these requirements, indicating that the overall impact on the industry will be limited [3][4]. Industry Trends - The new regulations are expected to drive a trend towards medium and low-frequency trading strategies, with a focus on factors such as trend, momentum, volatility, and volume analysis [5][8]. - The average trading frequency across the industry is anticipated to decrease, while mid-frequency strategies will remain a core source of alpha [5][6]. Competitive Landscape - The implementation of the new rules is likely to accelerate the process of industry consolidation, favoring institutions that prioritize risk control and sustainable returns [7][8]. - Smaller firms may need to innovate in niche areas to survive, while larger firms will benefit from their technological and compliance advantages [8][10]. - The market is expected to evolve into a more diverse ecosystem where both large and small institutions coexist, catering to varying investor needs [10][11]. Future Outlook - The quantitative investment landscape is projected to grow, but the excess returns may decline as the scale of management increases [10][11]. - The diversity of strategies in quantitative investment is expected to expand, addressing the current issue of strategy homogeneity [10][11].