骑士资本45分钟损失4.4亿美元之谜

    现实生活中鲜有巧合，这次可能也不是巧合：就在骑士资本公司（Knight Capital Group）的电脑几乎摧毁市场、45分钟内造成该公司损失4.40亿美元的同一天，纽约证券交易所（New York Stock Exchange）推出了一套新型交易系统，目的就是为了从类似骑士公司这样的造市商手中夺回业务。

    过去五年左右，围绕谁来完成普通投资者的股票买卖指令展开了一场拉锯战。过去此类指令都是在纽约证交所的交易池内发生的。如今，个人指令几乎没有机会进入这家交易所进行交易。这些指令都被截流了，转向骑士公司或其主要竞争对手Citadel公司、花旗（Citigroup）和瑞银（UBS）的电脑系统，由这些系统对汇集的数百万交易指令进行撮合。

    而且，这些公司从纽约证交所分流交易的速度持续加快。2009年，有约15%的交易从纽约证交所分流。如今，在纽约证交所上市的股票有约1/3的交易是在其他地方完成的。

    不清楚为何这场围绕个人股票交易的争夺战如此激烈。骑士基于所谓的指令流向经纪人支付佣金，并承诺个人所获价格略优于能在证交所获得的价格。指令输入骑士电脑系统后，由电脑用闪电般迅速的交易算法计算出如何在其刚刚付清的交易指令上赚钱。这就是人们所知的高频交易的一部分。

    有些人说，造市商提供了服务。其他人说，骑士和其他公司找出个人投资者的交易指令，将这些指令视为简易交易流，更易撮合交易。显然，骑士和其他公司已经想出方法如何在你我的股票交易中赚钱，我们自己对此可能一无所知，但仍以某种方式为此买单。经营交易研究公司Nanex的埃里克•斯科特•亨塞德估计，过去七年造市商通过快速执行这些个人投资者和其他人的交易指令创造了50亿美元的利润。

    上周三，骑士损失4.40亿美元的当天，纽约证交所推出了自己的电脑驱动交易系统“零售流动性计划”（Retail Liquidity Program，简称RLP），希望藉此能夺回一些被造市商抢去的交易量。与骑士一样，纽约证交所的RLP电脑运用算法来找出何时能提供比他人略优的价格，抢回股票交易，这次则是从骑士和其他造市商手中夺回。

    骑士称，它遇到的电脑问题与纽约证交所的新交易系统相关，但没有具体说明到底是什么原因。可以说明问题的是，骑士电脑执行的所有虚构交易所涉股票都是纽约证交所上市股票。可能是骑士试图升级其自身算法，循环绕开纽约证交所的新系统。但不知怎么就搞砸了。上周三早晨9点30分，美国股市开盘，纽约证交所新系统与骑士新电脑系统同时上线，不久骑士电脑系统便开始毫无理由地疯狂买进、卖出数百万股股票。

    通常情况下这应当不会产生任何实际损失。这些交易都不是真实指令，因此骑士系统应该只是自买自卖。但高频交易不同。当其他电脑系统发现交易活动增加时，它们也会参与进来。

    10点15分，骑士结束了这一错误算法。但此时已经产生了损失。骑士损失了4.40亿美元。很多股票，包括沃伦•巴菲特的伯克希尔哈撒韦（Berkshire Hathaway）都出现了猛涨猛跌，我们对市场的信念再次遭到动摇。

    理论上我们应当从这样的竞争中获益，拿到越来越低的交易价格。但事实上，骑士以及如今纽约证交所提供的“价格优惠”只是以毫厘计。最理想状况下，这些系统也只能给我们带来一个稳定性更差的市场。最糟的情况下，这些系统会从我们口袋里偷钱。

    这起案件清楚地表明，我们需要监管机构的介入。如果它还不能说明这个问题，我不知道还有什么可以。

    译者：早稻米

    In life there are few coincidences, and this one probably isn't either: The day Knight Capital Group's computers nearly blew up the market and lost the firm $440 million in 45 minutes is the same day that the New York Stock Exchange (NYX) launched a new trading system that was, in part, meant to take business away from Knight (KCG).

    For the past half decade or so, there has been a tug of war over who completes the buy and sell orders for stocks that average investors like you and I make. It used to happen in the pits of the NYSE. These days, almost none of the trades that folks like you and I make ever get to the exchange. Instead, they get cut off, diverted into the computer systems of Knight or its main competitors Citadel, Citigroup and UBS, which match those with the millions of other orders they collect.

    And the pace at which these firms have been able to divert traffic from the NYSE has been accelerating. In 2009, about 15% of all trades took place away from the NYSE. Now about a third of all the trades in NYSE-listed shares happen elsewhere.

    It's not clear why this battle over individual stock trades is so pitched. Knight pays brokers for its so-called order flow. And it guarantees that individuals get a slightly better price than what they would get at the exchange. Those stock trades get fed into Knight's computers, which use lightning fast trading algorithms to figure out how to make money off the orders the firm has just paid up for. This is, in part, the high frequency trading that you have heard about.

    Some say that market makers provide a service. Others say Knight and others seek out the orders of individual investors because they view those orders as so-called dumb flow and easier to trade against. What is clear is that Knight and others have figured out how to make money off the stock trades of you and me in ways that we can't detect but we probably pay for somehow. Eric Scott Hunsader, who runs trading research firm Nanex, estimates market makers have been able to generate $5 billion in profits rapidly trading the orders of individual investors and others in the past seven years.

    On Wednesday, the same day that Knight lost $440 million, the NYSE launched its own computer driven trading system, called the Retail Liquidity Program, that the exchange hopes will reclaim some of the trading volume it has lost to market makers. Like Knight, the NYSE's RLP computers use algorithms to figure out when it makes sense to offer a slightly better price than what others are offering, and snatch up stock trades, this time away from Knight and others.

    Knight says the computer problems it ran into had to do with NYSE's new trading system, but it didn't say what. Tellingly, all of the stocks that Knight's computers did bogus trades in were listed on the NYSE. It's likely that Knight tried to upgrade its own algorithm to allow its computers to do an end around the NYSE's new system. But it messed up somehow. Instead, Knight's computer system, launched at the same time as the NYSE's, went on a trading frenzy, buying and selling millions of shares for no reason shortly after both systems were switched on, at when the market opened at 9:30 Wednesday morning.

    Normally that shouldn't have produced any real losses. These weren't actual orders, so Knight's system should have just been buying and selling to itself. But that's not how the world of high frequency trading works. When other traders, i.e. computer systems, saw the spike in activity, they jumped in too.

    Knight disabled the faulty algorithm by 10:15. But by then the damage was done. Knight was out $440 million. A number of stocks, including Warren Buffett's Berkshire Hathaway (BRKB), had gyrated up and down, and our faith in the market was shaken once again.

    In theory, we should all benefit from this competition, being able to trade at cheaper and cheaper prices. But in practice the "price improvements" that Knight and now NYSE offer are fractions of a fraction of a penny. At best, what we are getting in return is a market that is less stable. At worst, we are getting a system that is picking our pockets.

    If this isn't a clear case where we need regulators to step in, I don't know what is.