Solidot: 光大证券因内幕交易被罚款五亿，被发现高频交易程序设计错误

Solidot

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光大证券因内幕交易被罚款五亿，被发现高频交易程序设计错误
http://solidot.org.feedsportal.com/c/33236/f/556826/s/309541c6/sc/24/l/0L0Ssolidot0Borg0Cstory0Dsid0F36246/story01.htm
Aug 30th 2013, 08:57

8月16日11点左右，上海证券A股指数在极短时间内突然暴涨5.62%，中石油、工商银行、中国银行、农业银行等超级权重股瞬间被巨量买盘拉升至涨停。这次事件的幕后操盘手是光大证券，知情人士透露原因是新上线的高频交易系统失控，甚至说拔了电源才终止失控的程序。事故发生之后，光大证券采取了做空股指期货的补救措施。但这一补救措施却被证监会定性为内幕交易，没收光大证券非法所得8721万元，并处以5倍罚款，共计5.2328亿元。根据证监会的调查报告，光大证券高频交易系统的订单生成系统ETF套利模块的"重下"功能（用于未成交股票的重新申报）在设计时将"买入个股函数"错误写成"买入ETF一篮子股票函数"。ETF指的是交易所交易基金。8月16日上午11时02分，交易员尝试利用"重下"功能对未成交的24只股票进行自动补单，结果买入24只股票被错误执行为买入24组ETF一篮子股票，报送至订单执行系统去执行高达234亿的订单。This entry passed through the Full-Text RSS service — if this is your content and you're reading it on someone else's site, please read the FAQ at fivefilters.org/content-only/faq.php#publishers. Five Filters recommends: Massacres That Matter - Part 1 - 'Responsibility To Protect' In Egypt, Libya And SyriaMassacres That Matter - Part 2 - The Media Response On Egypt, Libya And SyriaNational demonstration: No attack on Syria - Saturday 31 August, 12 noon, Temple Place, London, UK



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