ATS

2011. 10. 27
:
()

 , ,


(ATS) (IB)
(internalization)
(internalization)



9

, , ATS

(, 2011.10.1)

ATS , ,
,
2


ATS

IT

2001 ECN() 2010 Dark
D kP
Pool
l

[ ]

1. ATS

ATS ECN,
ECN Dark Pool
Pool, IB()
IB(),
MTF, SI
ATS
, ,

[US] ATS
S
ECN(lit pool ), (
) dark pool,
pool ,

(internalization) IB

Dark pool IB
() dark pool , 2009 11 SEC
ECN
,

[Europe] ATS
MTF(multilateral trading facility) : ECN
dark pool
lit pool ECN MTF

: (Chi-X Europe), BATS Europe, Turquoise

dark pool MTF dark MTF

9 2011 4 OTF(organized trading facility; non-lit BCN)

SI(systematic
( y
internalizer)) :

IB
SI dark pool

IB dark
d k
pool , 2009 11
dark pool SI [
]
7

Dark
D kP
Pooll
(block trading)

(1 ),

Dark pool
Dark pool

(BI) Dark Pool Matching System (,
IOI(indication of interests) )
9 IOI : BI

, .
(actionable IOI) BI BLS

(BLS,
(BLS BI)
9 Liquidnet : BI, BLS market credibility

.
8

Direct Edge
9%

BATS
2%

Boston
2%

US Equity Markets

All others
2%

(Financial Times, 2011.10.7)

OTC
22%

BATS
12%
Nasdaq
22%

NYSE
12%
NYSE Arca
17%

All others
1%
Euronext
BATS
3%
Europe
9%
Turquoise
10%

UK

LSE
45%

Chi-X
Europe
32%

Turquoise
5%
Nasdaq
q
OMX
8%

BATS All others

2%
Europe
4%

(UK )

Euronext
22%

SIX
8%
BME
8%
Borsa
Italiana
9%

Chi-X
Europe
20%
DB
14%

((Financial Times,, 2011. 10. 07))

10

 Market Quality
Good or Bad?

Hendershott and others, OHara and others, Hasbrouck

and others, etc.

Market Fragmentation
Good or Bad?

9 OHara and Ye (2011, JFE), (2011, )

They find that stocks with more fragmented trading had
lower spreads and faster execution times. (As HFT is more
prevalent in the newer venues such as BATS and Chi-X, this
evidence is suggestive that HFT is correlated with lower
spreads and faster execution speeds.)
A single virtual market (virtual consolidation)

11

2.

IT

 IT ()
[Ultra
[Ultra-]] Low latency

[Millisecond(microsecond), co-location, DMA ]

Algo(how-to-trade) SOR(where-to-trade)
9 [] NA(news analytics)

[Flash order
order, ISO ]

, dominant player
trading mechanism

: Hybrid market dealer market

Pure electronic limit-order book mechanism
: dealer market Pure electronic limitorder book mechanism
13

()

()

()

281%

0.08cent

800

55%

0.03cent

200

2008

2003

2006

2009

2000

2009

(2011, KCMI, )
14

 : Reg NMS & MiFID

, (2007, KCMI , )

[ ]


How?

9 (Trading center (
: Trading venue))
venue)),

(virtual
integration)

15

 Trading center Best Execution ,

, ,
()

(, )
: 2007

IT
SEC

, (Best Ex) millisecond

IT
9 Liquidity externality() vs.

9 , SEC (intermarket linkage information system)

: , IT

: ,
,
16

[ : ]

[ Best Ex]

Order Protection Rule (Trade-Through Rule)

Trade
Trade-Through
Through Rule

Trade-Through Rule ,
intermarket p
price p
protection

(
(Exceptions)
cept o s)

Trading center failure, material delay, or malfunction

Intermarket sweep orders (ISO) exception
Flickering quotations (flash order) exception
St
Stopped
d order
d exception
ti

17

Reg NMS vs. MiFID :

Reg NMS

MiFID

Best Execution

Trading center/Brokerdealer
(SI). trading
trading center( Brokerdealer)
venue
(best price)
,
trading
center

Best

(only price)

, , ,

Consolidated
data system

,

CTS, CQS

. ( MiFID II

)

(floor broker)

(post-trading)

(electronic limit order book)


,
( best price

. vertical silo vs. horizontal
i t
integration
ti )
18

3.
2001 ECN()
2010 Dark
D kP
Pool
l

 ECN
, , , (2001, KCMI, ATS )

( )
2001 , 2005
4~9,
4 9 ( 30 random-end
d
d callll auction)
ti )

Korea Cross ATS

dark
d k pooll

KRX A-Blox(2010.
(
11. 29))
( )
dark pool() KRX
20

4.

[
]

[
]
Market Wisdom


( ,
Liquidity
Li idit b
begets
t liliquidity!)
idit !)

22

 [ IT ]

AT,
AT HFT
HFT, DMA
DMA, C
Co-lo
l

Periodic Illiquidity
q
y

( stability/volatility
y
y )

( non-linearity in liquidity provision)

: Flash Crash(May 6, 2010)
(HFT ) S
Self-reinforcing
lf i f i
feedback loops

A small change looping back on itself and triggering a

bigger change
change, which again loops back and so on

Normalization of Deviance

Unexpected and risky events come to be seen

as ever more normal, until a disaster occurs
23

 :

Macrostructure
[] ATS

: (,
( ,

hidden order ) trading

center
:

(listing transfer) ,
trading center(or venue)
(trading migration)

: ATS

24

 IT innovation
: , , ,
ATS,
IT

25

Mi
Microstructure/Protocol
t t /P t
l

Volatility Interruption (VI)
[ (harmonization)]
(h
i ti )]

Stop order
Iceberg (Hidden) order
Peg order
ISO, flash order order routing(, )

,

26



ATS

,
,,

second tier market

: liquidity migration

ATS
ATS

27

 ,


(virtual consolidation)
consolidation)
[ ( vs. vs. ) ]



ATS

,

ATS

,
IB ATS

28

 IT

, IT
gap
IT

9 , 16 microseconds

: ()
(audit trail)
IT

IT

: pure DMA
29

 [ ]

(centralization) (fragmentation)

ECN , , ATS(
dark pool ), MTF,

IT

30