上期所拟取消FOK和FAK指令产生的异常交易行为豁免
Shanghai Futures Exchange Proposes to Cancel Exemptions for Abnormal Trading Behaviors Caused by FOK and FAK Orders

• 7月4日，上海期货交易所发布公告，拟对《上海期货交易所异常交易行为管理办法》进行修订，现向社会公开征求意见。此次修订的主要内容为取消立即成交否则自动撤销指令（FOK）和立即成交剩余指令自动撤销指令（FAK）产生的异常交 易行为豁免。
• On July 4th, the Shanghai Futures Exchange announced its intention to revise the "Administration of Abnormal Trading Behaviors Rules of the Shanghai Futures Exchange" and is now publicly soliciting opinions. The main content of this revision is to cancel the exemption for abnormal trading behaviors caused by the FAK(Fill and kill) order and the Fill-or-Kill (FOK) order.

What are FOK and FAK Orders?

FOK（Fill Or Kill）：

• 全部成、全部撤。报单手数要么全部成交，不能全部成交时立即全部撤单。

• All done, or all withdrawn. . The order quantity must be fully executed, and if it cannot be fully executed, it will be immediately canceled in its entirety.

• 部分成、部分撤。报单手数部分成交，未成交部分立即撤单。

• Partial Fulfilment and Partial Withdrawal. Part of the order quantity is executed, and the unexecuted part is immediately canceled.

• 上期所：可以使用FOK和FAK指令，需要注意（1）FOK和FAK指令应当结合上期所提供的限价指令使用；（2）FOK和FAK指令不得在集合竞价时段使用。
• 大商所、广期所：市价指令和限价指令可附加FOK和FAK两种指令属性。
• 郑商所：市价指令无FOK指令属性，但市价指令本身具有FAK的意思。限价指令无FOK指令属性，而限价指令可附加FAK指令。
• 中金所：限价指令可使用FOK、FAK指令，市价指令有特殊的指令（一档即成剩撤、一档即成剩转限价、五档即成剩撤、五档即成剩转限价）。

• Shanghai Futures Exchange: Can use FOK and FAK orders, but it is important to note: (1) FOK and FAK orders should be used in conjunction with the price limit orders provided by the Shanghai Futures Exchange; (2) FOK and FAK orders should not be used during the call auction period.
• Dalian Commodity Exchange, Guangzhou Futures Exchange: Market orders and price limit orders can be attached with FOK and FAK order attributes.
• Zhengzhou Commodity Exchange: Market orders do not have the FOK order attribute, but the market order itself has the meaning of FAK. Price limit orders do not have the FOK order attribute, but price limit orders can be attached with FAK orders.
• China Financial Futures Exchange: Limit orders can use FOK and FAK orders, and market orders have special orders (e.g., one-level immediate filled and others cancelled, one-level immediate filled and others transfer to price limit orders, five-level immediate filled and others cancelled, five-level immediate filled and others transfer to price limit orders).

• 高频CTA策略依赖于快速和精确的交易执行，以捕捉市场微小的价格变动，FOK指令能确保订单要么立即全部成交、要么立即撤销。目前投资者最高可以获得上期所1秒4次5档切片的数据，而采用FOK指令作为试探单，通过试探单的成交与否可以判断出目前盘口价格的变动，实现快人一步。若此种行为受到限制，将影响到策略的执行效率，信息优势也将有所削弱，从而影响策略的回报。

• 使用FOK和FAK指令可能触发异常交易行为的监测，那么使用这些指令可能会导致交易者面临额外的监管费用或罚款，这会直接影响到高频交易策略的净收益。

• 交易需要更加谨慎地操作，以避免触发异常交易行为。这可能需要增加合规团队的资源，以监控和报告交易活动，确保其交易活动符合交易所的规定。

• 高频策略交易者的操作工具有所限制，这种变化可能会推动管理人寻找新的交易技术和策略，以适应更严格的监管环境。这可能包括开发更复杂的算法来处理市场数据，或者以更精细的方式执行交易等。

• High-frequency CTA strategies rely on fast and precise trade execution to capture minor market price movements. The FOK order ensures that the order is either fully executed immediately or immediately canceled. Currently, investors can obtain data from the Shanghai Futures Exchange at a rate of 4 times per second with 5 price levels. By using the FOK order as a probing order, the execution or non-execution of the probing order can be used to judge the current price fluctuation at the market, achieving a step ahead. If such behavior is restricted, it will affect the execution efficiency of the strategy, and the information advantage will also be weakened, thereby affecting the strategy's return.

• Using FOK and FAK orders may trigger monitoring of abnormal trading behaviors, which could lead to traders facing additional regulatory fees or fines, directly affecting the net income of high-frequency trading strategies.

• Trading operations need to be more cautious to avoid triggering abnormal trading behaviors. This may require an increase in compliance team resources to monitor and report trading activities to ensure compliance with exchange regulations.

• The tools available for high-frequency strategy traders are limited, and this change may drive managers to seek new trading technologies and strategies to adapt to stricter regulatory environments. This may include developing more complex algorithms to handle market data or executing trades in a more refined manner.