高频的意义是什么？ 市场交易的基础公平能不能维护？是不是算市场漏洞？回答问题不能屁股决定脑袋

我的立场是，通过违规（自成交）手段谋取暴利，必然是不可持续发展的业务模式，真正天才应该做些更有价值的事情。但是就我们的监管部门的处理手法来看，也实在是让人心寒。所谓的程序化也好，高频也好，都并非本身即恶疾，这些无非是通过技术优势在市场上逐利，只是其中有一部分较恶劣的策略侵犯了大家的利益。但是通过所谓的监管，抓人入监，就能杜绝这种不公平吗？反正我一点也不相信。人生而智商不同，真正的聪明人换个合法的方式，一样会草割的让你眼红。真正的好监管，应该是正面提高自身的技术水平和对市场的理解，通过更强的技术优势引导市场走向良性发展的路线，而非用暴力监管政策一刀切，杀敌一万，自损八千。

Georgy Zarya就是下面这位:他在网上的profiles截图:George Zarya<<ya/normal/b8642840a1580cb51db8755437473338<<此人还是莫斯科交易所监督委员会的成员:Index — Moscow Exchange他在国内的公司注册:这里有一个访谈：<<tablefinal.pdf<<下面是他的一些言论: "The natural way to boost liquidity on instruments that are not as liquid is to introduce market-making programmes. Basically, we have illiquid commodities and some other instruments that could be hedged off internationally. So, what’s happening right now is that many of our clients take the liquidity that is here in Russia on Micex and Forts and then they expose this to international platforms – on LSE, on Eurex, on Turquoise, on MTFs and so on. This could be one of the ways we boost the liquidity by encouraging the market-makers to trade locally, give them some incentive.""The way Western exchanges bring liquidity is that they bring brokers and clients who have the access to multiple exchanges or to any marketplaces that trade the same instrument. So you know that your competitors such as Eurex and Turquoise, which have derivatives on Russian DRs, create liquidity by providing access to traders who already have access to Forts. So, basically they have the possibility of hedging and trading arbitrage. The same thing could be done here. Clients who already have access to international markets can provide that liquidity onto Forts""Well, essentially you can translate the market depth from one market onto another and if you’re an algo trader, you can hedge it immediately without any exposure and make money off the inefficiencies, just the little spreads. It’s not that difficult to transfer the liquidity from one market to another""As Marina mentioned, the situation with MF Global was potentially fraud-related, so the sort of day-to-day risk management procedures couldn’t really stop that. These kind of things definitely make us think more about our counterparty selection. We are in an environment when any bank can go down pretty much, despite the size, despite the history, balance sheet and so on and so forth. Our clients need extra assurance that their assets are fully protected, fully segregated etc. So we just go on and make sure that all the processes and all the rules are being followed.""Our entire business model is essentially based on electronic trading and high turnover clients and they are being more and more demanding in terms of what they can do and what leverage they want. So, basically we are pushed to offer a multi-market, multi-asset class, high leverage platform which does require a lot of risk management systems and low latency as well. So, that’s a huge challenge for our IT and for our risk management to handle but we are doing it pretty well so far""Well, we haven’t really faced this particular question yet because our main markets are mostly Russia-based or out of London and at this point we haven’t really met any strict constraints on expanding our business but we are prepared to do so because we are trying to keep up with the market, with the technology and with market standards, so we are just going where the market goes""We see that the algorithmic trading segment of our clients are catching up with their US and European counterparts quite quickly in terms of technology and in terms of adapting different strategies and so on. Right now if we’re looking at the specific front ends and technology the clients use, they immediately look at the lowest latency possible solution which is co-location, native protocols, exchange protocols and self-made software. So, it’s all written by them, the fastest ones usually do it themselves and they pursue this model"另外一位Anton Murashov的linkedin<<murashov/9/5b2/57?trk=pub-pbmap<<他的blog他的bloghttp://<<<他的确是干HFT的，他在网上问过相关问题:PCIe latency / your MMIO latencyRe: PCIe latency / your MMIO latency -- Linux PCI我估计他们用的是Spoofing操控市场，因为报导中提到:"伊世顿账户组通过高频程序化交易软件自动批量下单、快速下单，申报价格明显偏离市场最新价格，实现包括自买自卖（成交量达 8110手、113亿元人民币）在内的大量交易，利用保证金杠杆比例等交易规则，以较小的资金投入反复开仓、平仓，使盈利在短期内快速放大"这个Spoofing手法在欧美也是违法的。Spoofing (finance)http://<<015/02/22/5-things-to-know-about-spoofing-in-financial-markets/<<<<oofing-traders-dupe-markets-1424662202<<“Spoofing” is an illegal type of market manipulation that works like bluffing: A trader places big orders for stocks, bonds or futures to get others to think the price is going up or down. Then, in the blink of an eye, the spoofer cancels those orders and puts in opposite orders to take advantage of those traders. Spoofing can earn a big payoff but can undermine confidence in the markets and hurt other traders, The Wall Street Journal reports. 1 It skews the marketSpoofing undermines confidence in the markets because it can make prices move erratically and lead investors to feel tricked, analysts say. Some firms have developed software to red-flag suspected spoofing to avoid getting duped. 2 Government is cracking down The 2010 Dodd-Frank law outlawed spoofing. Last year, the U.S. Attorney’s office in Chicago brought the first criminal case against an alleged spoofer. The announcement sent a shockwave through the trading community because traders usually face fines and trading bans, not prison time. Michael Coscia, the accused spoofer who denies the charges, is facing 12 counts of fraudulent and manipulative trading. The U.S. Attorney and a lawyer for Mr. Coscia declined to comment on the case, which is pending. 3 Lines are blurryOne problem traders and their lawyers are worried about is whether legitimate market activity could get swept up in anti-spoofing rules. Since time immemorial, traders have used techniques to hide their intentions. For instance, a trader on behalf of a company that needs corn could theoretically start out by saying he wants to sell rather than buy to avoid other traders catching on to his plan. Some seasoned traders have gone so far as to defend spoofing as healthy for markets. 4 Spoofing can be manual or automatedRecent cases against spoofers have highlighted the way that some high-frequency traders, who use computers to send a rapid stream of buy and sell orders into the market, engage in spoofing. But some investigations by regulators show point-and-click traders can also allegedly spoof the markets. 5 It can earn big profits, or deal lossesA seasoned spoofer can earn tens of thousands of dollars or more in days. But it requires a special ability to read the market at high speeds and, increasingly, technology that can help zip in and out of the markets. Spoofers have been known to lose huge amounts in short periods.

高频是套利交易的结果。简单交易的定价谬误比拼交易科技，简单而言就是比谁发现-套利的过程比较快。我的想法还是工具本无罪，有罪的是对高频交易的监管，法不禁者均可为，希望高频不成为背锅者。

早该禁止了，其实应该在服务器端口管住源头，不能天天外面查。比如服务器随机延迟一秒左右下单，让超高频交易没有生存空间，其次这么高的频率，他们的手续费肯定是特惠的，一般散户肯定拿不到，形成不公平交易。

三个被抓硬伤的地方1. 外资资金进出，大概率触犯了外汇管理。2. 多账户和关联账户的使用3. 自成交

高频没问题，赚钱更没问题，但自交易就不对了

的确是天才级的。。

Bug and Debug

怎么看伊世顿国际贸易公司通过高频程序化交易获利20多亿？ - 岑秋苑的回答