《期货市场程序化交易管理规定（试行）》（征求意见稿）要点解读

Interpretation of Draft Provisions on Futures Program Trading

摘要

Abstract

2025年1月17日晚，证监会就《期货市场程序化交易管理规定（试行）（征求意见稿）》公开征求意见，意见反馈截止时间为2月16日。

On the evening of January 17, 2025, the China Securities Regulatory Commission (CSRC) publicly solicited opinions on the "Administrative Provisions on Program Trading in the Futures Market (Trial) (Draft for Comments)," with feedback due by February 16.

在提升中国资本市场高质量发展和稳步推进期货市场对外开放政策指引下，期货市场程序化交易管理规定的发布，长远来看有利于中国期货市场健康发展。

Under the policy guidance of enhancing the high-quality development of China's capital market and steadily advancing the opening-up of the futures market, the release of the futures market program trading management regulations is beneficial for the long-term healthy development of China's futures market.

目录

Contents

1. Background 背景概述
1.1 industry Development行业发展
1.2 Legislative Process立法过程
2. Key Points 要点解读
2.1 What is program trading and high-frequency trading?
什么是程序化交易和高频交易?
2.2 What principles do program trading follow, and who are the regulatory bodies?
程序化交易遵循原则、监管主体有哪些?
2.3 What is the reporting process for program traders?
程序化交易者的报备流程如何?
2.4 What information do program traders need to report?
程序化交易者需要报告哪些内容?
2.5 What conditions shall the trading system of program traders meet?
程序化交易者的交易系统需要具备哪些条件?
2.6 What are the requirements for trading system hosting and seat management?
对主机托管和席位管理有何要求?
2.7 What are the internal control requirements for program traders?
对程序化交易者风控制度有何要求?
2.8 What abnormal trading behaviors does the futures exchange focus on?
期货交易所重点关注哪些异常交易行为?
2.9 How is the supervision of violations of the regulations conducted?
对违反管理规定的行为如何监督管理?
3 Summary 总结

1. 背景概述

1. Background

1.1 行业发展

1.1 Industry Development

近年来随着信息技术进步，量化投资行业快速发展。2002年国内首支指数增强基金发行，成为中国量化基金元年。2006年首支阳光化量化私募产品发行。据中国证券投资基金业协会数据，截至2024年1月，中国百亿私募合计88家；其中百亿量化私募33家；百亿主观私募46家；百亿主观+量化私募9家。

Quantitative investment has developed rapidly with the advancement of information technology in recent years. In 2002, the first index-enhanced fund was launched in China, marking the beginning of Chinese quantitative fund era. In 2006, the first sunshine quantitative private fund product was launched. According to data from the China Securities Investment Fund Industry Association, as of January 2024, there are a total of 88 private funds in China with over 10-billion-yuan asset under management; among them, 33 were quantitative funds, 46 were subjective funds, and 9 were a combination of subjective and quantitative private funds.

1.2 立法过程

1.2 Legislative Process

证券和期货基本法对程序化交易均有相关规定。2019年12月，十三届全国人大常委会对《证券法》进行修订。2022年4月，第十三届全国人大常委会通过《期货和衍生品法》。证券法第四十五条规定“通过计算机程序自动生成或者下达交易指令进行程序化交易的，应当符合国务院证券监督管理机构的规定，并向证券交易所报告，不得影响证券交易所系统安全或者正常交易秩序。”期货法第二十一条规定，“通过计算机程序自动生成或者下达交易指令进行程序化交易的，应当符合国务院期货监督管理机构的规定，并向期货交易场所报告，不得影响期货交易场所系统安全或者正常交易秩序。”

The basic laws of China securities and futures market have relevant provisions regarding program trading. In December 2019, the Standing Committee of the 13th National People's Congress revised the second version of "Securities Law". In April 2022, the Standing Committee of the 13th National People's Congress passed the "Futures and Derivatives Law".

Article 45 of the Securities Law "Program trading with orders automatically generated by or placed through computer programs shall be in compliance with the regulations of the securities regulatory authority under the State Council and shall be reported to a stock exchange and shall not affect the system security of stock exchange or the normal trading order "

Article 21 of the Futures Law " Program trading with trading orders automatically generated or placed by computer programs shall comply with the regulations of the futures regulatory authority under the State Council, which shall be reported to the relevant futures trading venue, and shall not compromise the safety systems of the futures trading venue or disrupt the normal course of trading."

证券方面，2024年初部分量化机构被限制交易，5月证券市场程序化交易管理规定出台。2024年2月，沪深交易所对市场部分量化基金限制交易并进行公开谴责，认为其大量卖出期间沪深指数快速下挫，违反了交易规则。5月，证监会公告〔2024〕8号《证券市场程序化交易管理规定（试行）》发布，明确了交易监管、风险防控、系统安全、高频交易特别规定等一系列监管安排，成为国内首个量化交易新规。对于未来，证监会表示将坚持“趋利避害、突出公平、从严监管、规范发展”的十六字原则，加快推出更多务实举措。证监会还强调，按照内外资一致原则，加强与香港方面会商沟通，研究推进北向程序化交易报告制度落地的方式和路径。

In terms of securities market, at the beginning of 2024, some quantitative institutions were restricted from trading, and in May, the regulations on program trading management in the securities market were issued.

In February 2024, the Shanghai and Shenzhen Stock Exchanges restricted trading for some quantitative funds and issued a public reprimand, stating that their large-scale selling during the period caused the Shanghai and Shenzhen indices to plummet, violating trading rules.

In May, China Securities Regulatory Commission (CSRC) issued Announcement [2024] No. 8, " Administrative Provisions on Program Trading in the Securities Market (Trial) ", which clarified a series of regulatory arrangements such as trading supervision, risk prevention, system security, and special provisions for high-frequency trading, becoming the first new regulation on quantitative trading in China.

期货方面，2024年10月，国办发〔2024〕47号国务院办公厅转发中国证监会等部门《关于加强监管防范风险促进期货市场高质量发展的意见》的通知。对于期货市场未来发展，提出如下要求：一是商品期货服务实体经济，二是稳慎发展金融期货和衍生品市场，三是稳步推进期货市场对外开放。47号文提到 “强化高频交易全过程监管”，完善高频交易监管规则。具体措施有：优化特定程序化交易报备制度、取消对高频交易的手续费减收、加强期货公司席位和客户设备连接管理、规范期货公司使用期货交易所主机交易托管资源等。因此，规范期货程序化交易是期货市场风险防范和高质量发展的必然要求。

In terms of future market, in October 2024, the General Office of the State Council issued Circular No. 47 [2024] to forward the "Opinions on Strengthening Supervision, Preventing Risks, and Promoting High-Quality Development of the Futures Market" from the CSRC and other departments.

The following requirements were proposed: First, the commodity futures market should serve the real economy; second, the financial futures and derivatives market should be developed steadily and prudently; third, the opening up of the futures market should be advanced steadily.

Document No.47 mentioned "strengthening the whole-process supervision of high-frequency trading" and improving high-frequency trading regulatory rules. Specific measures include optimizing the reporting system for specific program trading, canceling the reduction of fees for high-frequency trading, strengthening the management of connections between futures company seats and client devices, and regulating the use of futures exchange host trading custody resources by futures companies. Therefore, regulating program trading is an inevitable requirement for risk prevention and high-quality development in the futures market.

2. 要点解读

2.Key Points

2025年1月17日晚，证监会就《期货市场程序化交易管理规定（试行）（征求意见稿）》（下称“期货程序交易规定”）公开征求意见，意见反馈截止时间2月16日。规定适用于“在中华人民共和国境内期货市场的程序化交易相关活动”。对以程序化交易方式从事做市业务的做市商，由期货交易所根据本规定原则另行规定。此前，《证券市场程序化交易管理规定（试行）》于2024年4月12日征求意见、4月27日截止反馈、5月11日正式发布、10月8日开始实施。

On the evening of January 17, 2025, the China Securities Regulatory Commission (CSRC) publicly solicited opinions on the "Administrative Provisions on Program Trading in the Futures Market (Trial) (Draft for Comments)," (hereinafter referred to as the "Futures Program Trading Provisions")，with feedback due by February 16. The provision applies to "program trading-related activities in the futures market within the People's Republic of China." For market makers engaged in market-making activities through program trading, the futures exchange will make separate provisions based on the principles of these provisions.

Previously, the " Administrative Provisions on Program Trading in the Securities Market (Trial)," began solicited opinions on April 12, 2024, closed feedback on April 27, officially released on May 11, and implemented on October 8.

2.1 什么是程序化交易和高频交易？

2.1 What is program trading and high-frequency trading?

1）程序化交易，是指通过计算机程序自动生成或者下达交易指令在期货交易所进行期货交易的行为。相较于《证券市场程序化交易管理规定（试行）》，两者对于程序化交易的定义基本一致。

2）高频交易指具备以下一项或者多项特征的程序化交易：①短时间内报单、撤单的笔数、频率较高；②日内报单、撤单的笔数较高；③中国证监会认定的其他特征。

3）高频交易具体标准由期货交易所制定。

解读：可以参考各交易所发布的特定程序化报备客户不参与手续费减收名单。

1） Program trading refers to the behavior of automatically generating or executing trading instructions through computer programs to conduct futures trading on a futures exchange. Compared to the " Administrative Provisions on Program Trading in the Securities Market", the definitions of program trading are basically consistent.

2）High-frequency trading refers to program trading with one or more of the following characteristics: ① high amount and frequency of order placements and cancellations in a short period; ② high amount of order placements and cancellations within a day; ③ other characteristics recognized by the CSRC.

3）The specific standards for high-frequency trading are set by the futures exchange.

Interpretation: Refer to the specific program trading reporting customer lists published by each exchange for non-participation in fee reductions.

2.2 程序化交易遵循原则、监管主体有哪些？

2.2 What principles do program trading follow, and who are the regulatory bodies？

1）程序化交易应受到“相关法律法规和期货交易所、行业协会业务规则”的规范，同时强调公平原则，明确不得影响交易所系统安全和正常交易秩序。

2）从监管主体来看：一是，证监会对程序化交易相关活动实行监督管理；二是，期货交易所、期货业协会制定相关业务规则，实行自律管理，其中期货交易所建立程序化交易报告制度并明确内容、方式、核查要求等；三是，期货市场监控中心对程序化交易进行监测监控。

解读：监管机构多位一体形成综合监管体系。

1）Program trading should be regulated by "relevant laws, regulations and rules of futures exchanges and industry associations," while emphasizing the principle of fairness and clearly stating that it shall not affect the security of the exchange system and normal trading order.

2）Regarding regulatory bodies: First, the CSRC supervises and manages program trading-related activities; second, futures exchanges and the China Futures Association formulate relevant business rules and implement self-regulation, with futures exchanges establishing program trading reporting systems and clarifying content, methods, and verification requirements; third, the futures market monitoring center monitors program trading.

Interpretation: Multiple regulatory bodies coordinate to form a comprehensive regulation system.

2.3 程序化交易者的报备流程如何？

2.3 What is the reporting process for program traders?

1) 期货公司接受客户程序化交易委托前，应当与客户签订程序化交易委托协议，约定双方权利、义务等事项，明确报告管理、风险控制等要求。委托协议的必备条款由中国期货业协会制定。

2) 期货公司客户从事程序化交易前，应当向期货公司报告有关信息，由期货公司核查客户报告信息是否符合本规定和期货交易所要求。核查无误的，期货公司需要向期货交易所报告，并在收到期货交易所反馈后向客户确认。客户收到期货公司确认后，才可从事程序化交易。

3) 非期货公司会员不得从事高频交易。

解读：此前主要采用报备模式。此次要求必须收到反馈确认后才可开始交易。

1）Before accepting a client's program trading business, a futures company shall sign an program trading agreement with the client, stipulating the rights and obligations of both parties and clarifying reporting management and risk control requirements. The necessary clauses of the agreement are formulated by the China Futures Association.

2）Before engaging in program trading, a client of a futures company shall report relevant information to the futures company, which will verify whether the client's reported information complies with these provisions and the requirements of the futures exchange. If the verification is correct, the futures company shall report to the futures exchange and confirm with the client after receiving approval from the exchange. The client can only engage in program trading after receiving approval from the futures company.

3）Non-futures company members are not allowed to engage in high-frequency trading.

Interpretation: Previously mainly adopt the reporting system. In the proposed article, approval shall be received before trading can begin.

2.4 程序化交易者需要报告哪些内容？

2.4 What information do program traders need to report?

1）程序化交易者需报告的信息有：①账户基本信息，包括交易者名称、交易编码、委托的期货公司、产品管理人等；②交易和软件信息，包括交易指令执行方式和交易软件名称、基本功能、开发主体等；③期货交易所要求的其他信息。

2）此外，高频交易者还应当报告：交易策略类型及主要内容、最高报撤单频率、单日最高报撤单笔数、服务器所在地、技术系统测试报告、应急方案、风险控制措施等信息。

3）若是程序化交易者的报告信息发生改变，需要及时进行变更报告。

解读：程序化交易报告内容、方式、核查要求等，由各期货交易所制定。

1）Program traders shall report the following information: ① basic account information, including the trader's name, trading code, entrusted futures company, product manager, etc.; ② trading and software information, including the method of executing trading instructions and the name, basic functions, and developer of the trading software; ③ other information required by the futures exchange.

2）Additionally, high-frequency traders shall report: the type and main content of trading strategies, the highest frequency of order placements and cancellation, the highest amount of order placements and cancellations per day, the server location, technical system test reports, emergency plans, risk control measures, etc.

3）If there is a change in the reported information of an program trader, a change report shall be submitted in a timely manner.

Interpretation: Article 29 supplements that the content, methods, and verification requirements of program trading reports shall be formulated by each futures exchange.

2.5 程序化交易者的交易系统需要具备哪些条件？

2.5 What conditions shall the trading system of program traders meet?

1）程序化交易者使用的技术系统，应当符合期货交易所规定，具备有效的异常监测、阈值管理、错误防范、应急处置等功能。客户系统在接入期货公司交易信息系统前，需由期货公司进行测试。

2）程序化交易者不得利用系统对接非法经营期货业务，不得招揽交易者或者处理第三方交易指令，不得转让、出借自身技术系统或者为第三方提供系统外部接入。

解读：明确技术系统外接要求、功能要求、测试要求、禁止行为。

1）The technical system used by program traders shall comply with the regulations of the futures exchange, and have effective functions for anomaly monitoring, threshold management, error prevention, and emergency response, etc. The client's technical system shall be tested by the futures company before connecting to the futures company's trading information system.

2）Program traders shall not use the system to engage in illegal futures business, solicit traders, or process third-party trading instructions, nor transfer, lend their technical systems, or provide external system access to third parties.

Interpretation: Clarifies requirements for external system connections, functional requirements, testing requirements, and prohibited behaviors.

2.6 对主机托管和席位管理有何要求？

2.6 What are the requirements for trading system hosting and seat management?

1）期货公司应当建立主机交易托管资源管理制度、交易席位管理制度，并按规定向期货交易所报告程序化交易客户使用主机交易托管资源的情况、程序化交易客户使用交易席位的情况。

2) 对频繁发生异常交易行为、技术系统出现重大技术故障或者违反期货交易所相关规定的程序化交易客户，期货公司不得向其提供主机交易托管服务。

解读：新增对期货公司报告主机托管资源和交易席位使用情况的要求。

1）Futures company shall establish a management system for trading system hosting resources and trading seats; and report the allocation of trading system hosting resources, and the allocation of trading seats to program trading clients to the futures exchange as required.

2）Futures companies shall not provide trading system hosting services to program trading clients who frequently engage in abnormal trading behavior, have significant technical failures in their technical systems, or violate relevant regulations of the futures exchange.

Interpretation: Adds requirements for futures companies to report the usage of hosting resources and trading seats.

2.7 对程序化交易者风控制度有何要求？

2.7 What are the internal control requirements for program traders?

从事程序化交易的法人和非法人组织，应当建立并有效执行程序化交易内部控制、风险管理、合规管理等制度。负责合规和风险管理的责任人员应当对程序化交易的合法合规性、风险管理有效性进行监督和检查，并不得兼任与前述职责存在利益冲突的职务。

解读：新增交易者建立程度化交易内部控制/风险管理/合规管理的直接要求。

Legal entities and non-legal entities engaged in program trading shall establish and effectively implement internal control, risk management, and compliance management systems for program trading. Personnel responsible for compliance and risk management shall supervise and inspect the legality, compliance, and effectiveness of risk management of program trading and shall not concurrently hold positions with conflicts of interest.

Interpretation: Add direct requirements for trading entities to establishing internal controls, risk management, and compliance management system for program trading.

2.8 期货交易所重点关注哪些异常交易行为？

2.8 What abnormal trading behaviors does the futures exchange focus on?

1）主要有四种：①短时间内报单、撤单的笔数、频率达到一定标准，或者日内报单、撤单的笔数达到一定标准；②短时间内报单、撤单的笔数和报撤单成交比达到一定标准，或者日内报单、撤单的笔数和报撤单成交比达到一定标准；③短时间内大笔、连续或者密集报单，成交达到一定标准，且期货交易价格或者交易量出现明显异常；④期货交易所认为需要重点监测监控的其他情形。

2）期货交易所可以建立报撤单收费、交易限额等制度，适时调整报撤单收费标准、交易限额标准等，并对高频交易手续费实施差异化管理。

解读：异常交易行为具体标准由各期货交易所制定。

1）There are mainly four types: ① Amount and frequency of order placements and cancellations reach a certain threshold within a short period, or the amount of order placements and cancellations within a day reaches a certain threshold; ② Amount and ratio of order placements and cancellations to trades reach a certain threshold within a short period, or the amount and ratio of order placements and cancellations to trades within a day reach a certain threshold; ③ Large, continuous, or intensive order placements within a short period reach a certain threshold and the futures trading price or volume shows significant anomalies; ④ Other situations that the futures exchange deems necessary to monitor closely.

2）The futures exchange can establish systems for charging order fees for order placements and cancellations, setting trading limits, adjust the standards for order cancellation fees and trading limits as needed, and implement differentiated management of high-frequency trading fees.

Interpretation: Specific standards of abnormal trading behavior are set by futures exchanges.

2.9 对违反管理规定的行为如何监督管理？

2.9 How is the supervision of violations of the regulations conducted?

1）程序化交易相关机构和个人违反有关规定的，期货交易所和中国期货业协会按照业务规则采取自律管理措施。

2）程序化交易相关机构和个人违反本规定的，中国证监会及其派出机构可以依照《期货和衍生品法》等采取行政监管措施。

3）违反本规定从事程序化交易，构成影响期货交易所系统安全或者正常交易秩序的，依照《期货和衍生品法》第一百二十九条处罚；构成操纵期货市场、内幕交易等违法行为的，依照《期货和衍生品法》第一百二十五条、第一百二十六条等处罚。违反本规定，情节严重的，依照《期货和衍生品法》第一百五十条对有关责任人员采取期货市场禁入措施。

解读：按照自律管理、行政监管、法律责任等进行分层监督管理。

1）For institutions and individuals involved in program trading who violate relevant regulations, the futures exchange and the China Futures Association will take self-regulatory measures according to business rules.

2）For institutions and individuals involved in program trading who violate above provisions, the China Securities Regulatory Commission (CSRC) and its dispatched offices may take administrative regulatory measures in accordance with the Futures and Derivatives Law and other relevant laws.

3）Engaging in program trading in violation of these regulations, which affects the system security or normal trading order of the futures exchange, will be punished in accordance with Article 129 of the Futures and Derivatives Law. If it constitutes market manipulation, insider trading, or other illegal activities, it will be punished in accordance with Articles 125 and 126 of the Futures and Derivatives Law. For serious violations of these regulations, measures to prohibit entry into the futures market will be taken against the responsible personnel in accordance with Article 150 of the Futures and Derivatives Law.

Interpretation: Supervision and management are conducted in multiple layers of self-regulation, administrative regulation, and legal responsibility.

3. 总结

3. Summary

1）在提升中国资本市场高质量发展和稳步推进期货市场对外开放的政策指引下，期货市场程序化交易管理规定的发布，从长远来看有利于中国期货市场健康发展。

2）本规定为征求意见稿，正式发布稿可能存在不同。后续细则仍有待期货交易所、期货业协会、期货市场监控中心等机构发布相关具体制度。

3）做市商以程序化交易方式从事做市业务的，由期货交易所按照本规定的原则另行规定。

1）Under the policy guidance of enhancing the high-quality development of China's capital market and steadily advancing the opening-up of the futures market, the release of the futures market program trading management regulations is beneficial for the long-term healthy development of China's futures market

2）This regulation is a draft for comments, and the officially released version may differ. Further detailed rules are yet to be issued by futures exchanges, China Futures Association, and the futures market monitoring center, etc.

3）For market makers engaging in market-making activities through program trading, the futures exchange will make separate provisions based on the principles of these regulations.