In May this year, the Trading Door reported that a large participant had been blamed for hitting its rivals precisely because of its operation in the iron ore futures market. Some of the trading teams pointed out that large traders, through large amounts of money and single bills, created "traps" for people. They believe that the way of manipulating will destroy the market.

The article points out that the reader's attitude can be roughly divided into three groups, a kind of trading team that agrees with the voice protest; one thinks that the trading strategy has the life cycle, the strategy is invalid, the new strategy is developed quickly, the market is snatched back; the third kinds of people show no idea.

Recently, the volume of iron ore has been declining and the market has been shrinking rapidly. Trading Door received a letter from a number of trading teams. In their view, the continued decline in the amount of iron ore trading confirms their previous judgment, allowing large participants to destroy the Great Wall would eventually dry out the liquidity of the market.

Trading team A,

Comparing the volume of the iron ore index and the rebar index, we can find that the ratio of the volume of the two varieties remained around 0.7 in January and February. We counted the situation in the first half of June, which has reached a historical low of about 0.5. That is to say, after entering June, the activity of iron ore relative to screw steel has dropped by about 30% compared with the first quarter.

Combined with the market situation, we believe that this is due to the iron ore intraday market continuity has undergone major changes. We take the quotations of June 12th as an example. The two historical correlations of rebar and iron ore are as high as 80%. The price trend of rebar is relatively continuous and smoother. On the contrary, the price trend of iron ore, a large price limit clip caused "man-made consolidation", a large market price list suddenly pulled down, resulting in "man-made fluctuations".

For almost all traders, whether manual or programmed, the iron ore market is impossible to predict. The enthusiasm of traders to participate in iron ore decreased significantly. For long-term traders, or for the newly added hedging traders after the internationalization, this discontinuous diurnal market also increases the difficulty of selecting and entering.

On the other hand, iron ore is the thickest of all black future contracts varieties in China. Iron ore has a normal market depth of about 6 times than that of rebar. When sudden and unpredictable ups and downs occur, the first is that orders from market makers with thousands or even tens of thousands of hands to provide market depth are traded and lost. The market maker who originally provided the depth of the bill consistently used the market price to stop the loss and magnified the earnings of the attacker at one time.

In other words, unlike the other black strain future contracts, the most damaging act of sudden aggression hurt short-term speculators who make false following up decision. For iron ore with an average hanging list of 2,000 lots, the market maker who provides the market depth is the most damaged by sudden aggression. Every time a jump is launched, there will be nearly 2000 lots to provide the market depth of the list will be floated.

Trading team B

This is essentially a market manipulation. The tick size of iron ore is very large relative to fluctuation, and the large volume of active transactions usually means strong trading confidence. The manipulator drives prices to move at least one price (usually more) with a large turnover by placing large quotations on counters and further prices. Take the sell order as an example, the big sell order implies that the long-term of short information that will give the market a strong bearish signal. Just because of the fact that the company is forced to stop the loss, together with the trend traders, to promote more active short order to enter the market.

As a participant with asymmetric information, the operator is the only one who knows that the market falls and does not have long or basic factors. By placing buy orders ahead of time, they deal with these newly entered short orders, and retain the vacant pressure of the limited price short orders in this process to attract more traders at the same price. When the cumulative orders are enough to make the operator to close position, the operator cancels all its own limit short orders, reverse operation with large amount of buy orders, and repeat the above operation in many ways. This approach is basically consistent with the sitting behavior in the stock market, which is to attract other normal traders to follow through by pushing up or depressed prices, thereby making profits.

These transactions do not increase market efficiency or promote price discovery, but substantially increase the transaction costs of normal traders. Over time, the normal traders gradually withdraw from the market, liquidity weakened, and further increase transaction costs, such a cycle. Manipulators will also reduce the volume of trading due to the reduction of opponents.

The ultimate result is a decline in market activity, an increase in irregular fluctuations, a loss of price discovery and a loss of overall market value.

Is the volume of the market really so-bad? The trading door interviewed some senior traders and researchers in the circle.

Guo Feng, a senior futures investor, said changes in turnover reflected mainly capital in and out. About the recent turnover of iron ore, there is a factor to be considered, the standard issue of iron ore delivery. The 1809 contract begins a new standard, investors have a certain view of the mood.

Chen Mengyu, a senior researcher, said that compared to the various black varieties, the volume of iron ore turnover is more obvious this year, and coke, coking coal and iron alloys will be more active. The core problem is that the black contradiction this year is not in the iron ore, but in the supply and demand relationship of the steel. There are many conjectures and games about how the demand changes under the changeable domestic and foreign environment. This uncertainty makes the steel end especially thread varieties attract more capital. And iron ore surplus, storage, replenishment and other issues, compared with previous years, there are not too many variables or controversies, volatility has also dropped.

In her view, the supply side of iron ore is relatively simple, and information is becoming more transparent. Fewer and fewer people make big mistakes. And other varieties, such as thread, are related to the transfer of electricity, molten iron flow and profit adjustment. Another reason is that the number of traders in the iron ore period is increasing, and spot price transactions are increasing. Trading in the spot market is often determined by a certain range of the spot price, and the activity of spot trading makes it difficult to deviate significantly from the spot price. "It can be seen from the base."

今年5月份，交易门曾报道某大户因在铁矿石期货市场的操作，被指责精准打击交易对手，该文引发圈内广泛关注。有部分交易团队指出，交易大户不断通过大资金量，单笔挂单，给人制造“陷阱”。他们认为大户的手法有操纵市场之嫌，会破坏市场。
文章发出来，读者的态度大致可以分为三派，一种赞同发声抗议的交易团队；一种认为交易策略都有生命周期，策略失效，就赶紧开发新策略，把市场抢回来；第三种人纯粹打酱油。
近期，铁矿石交易量持续下滑，市场急剧萎缩。交易门收到多个交易团队的来信。在他们看来，铁矿石交易量持续下滑印证了他们此前的判断，允许大户这种行为的存在，就是自毁长城，最后把市场的流动性抽干。

交易团队A
比较铁矿石指数和螺纹钢指数的成交量，我们可以发现，两个品种成交量的比值在今年1、2月份保持在0.7左右。我们统计了6月上半月的情况，这个比值已经达到历史低点，仅为0.5左右。也就是说，进入6月以后，铁矿石相对于螺纹钢的活跃度，已经比第一季度下降了约30%。
结合行情来看，我们认为，这是由于铁矿石日内行情的连续性发生了重大的改变。我们以6月12日的行情为例。螺纹钢和铁矿石这两个历史相关度高达80%的品种，出现了完全不同的日内形态。螺纹钢的价格走势相对比较连续，比较平滑。反观铁矿石的价格走势，大的限价单夹击造成“人造盘整”，大的市价单突然的拉砸，造成“人造波动”。
对于几乎所有交易者来说，不管是手工还是程序化，铁矿石这种行情是没有任何预测可能的。交易者参与铁矿石的积极性明显降低。对于长线交易者来说，或者对于铁矿石国际化后新增的套保交易者来说，这种不连续的日内行情也增加了其选择进出场点位的难度。
另一方面，在国内所有黑色系品种中，铁矿石是平均挂单最厚的品种。铁矿石正常的市场深度大约是螺纹钢的6倍。出现突然性的毫无预兆的涨跌时，首先是提供市场深度的大几千手甚至上万手的做市商订单被成交，并形成浮亏。原本提供挂单深度的做市商会一致性地采用市价单止损，一次性放大攻击者的盈利。
换句话说，对于其它所有黑色系品种来说，突然性的攻击行为，受伤害最大的是陆续进行错误跟单的短线投机者。唯独对于平均每档挂单2000手的铁矿石，突然性的攻击行为下，受伤害最大的是提供市场深度的做市商。每被攻击一跳，就会有近2000手提供市场深度的挂单会发生浮亏。

交易团队B
这本质上是一种操纵市场行为。铁矿石的tick size相对于波动来说非常大，而大额的主动成交通常意味着强烈的交易信心。操纵者通过向对手价及更远价位下大额限价单，推动价格移动至少一个价位（通常更多）并附带大额成交。以空单为例，大额空单暗示有掌握信息优势的较长线空单，给于市场强烈的看空信号。适才被成交的多单因此被迫止损，连同趋势交易者参与，推动更多主动空单进入市场。
操纵者作为拥有不对称信息优势者，他们是唯一知道市场下跌并没有长线或基本面因素的人，通过提前埋伏好的多单与这些新进入的空单成交，并在这个过程中保留适才放置的限价空单保持空方压力，吸引更多交易者在同样价位挂空单。当累积的限价及市价空单足以让操纵者平仓时，操纵者取消自己的所有限价空单，反向操作，下大额多单，并在多方重复上述操作。这种手法和股票市场中的坐庄行为基本一致，都是通过哄抬或打压价格吸引其他的正常交易者跟随，从而获利。
这些交易并没有增加市场效率或促进价格发现的作用，却凭空大幅增加正常交易者的交易成本。长此以往，正常交易者逐步退出市场，流动性减弱，进一步增加交易成本，如此循环。而操纵者也会因为对手方减少而减少交易量。
最终的结果，就是市场活跃度下降，不规律波动增加，价格发现能力丧失，整体市场价值丧失。
市场的成交量真是这么没了吗？交易门采访了圈内一些资深交易员、研究员，大家各有看法。
资深期货投资者郭峰表示，成交量变化，主要反映资金进出。铁矿石近期成交量变化，有一个因素需要考虑，就是铁矿石品种交割的标准问题，1809合约开始新的标准，投资者有一定的观望情绪。
资深研究员陈萌妤表示，比较黑色系各个品种，今年铁矿石成交量下降比较明显，焦炭、焦煤、铁合金的成交持仓都会更为活跃。最核心的问题是，今年黑色的矛盾不在铁矿这里，而在钢材端的供需关系上。供应有春季复产、环保加码、电弧炉投产，需求在国内外环境多变的情况下如何变化，这里面有很多猜想和博弈。这种不确定性使得钢材端尤其螺纹品种吸引更多资金。而铁矿的过剩、港存、补库等问题，和前几年相比没有太多的变量或者说争议，波动率也下降了。
陈萌妤大学毕业就进入钢铁行业，先后在资讯领域、期货研究院及投资公司任职，有超过10年的行业经历。在她看来，铁矿石供应端相对简单，信息越来越透明，犯大错的人越来越少。而其它品种比如螺纹，关系到中转电、铁水流动、调坯利润等，分析起来要复杂得多。另一个原因是，铁矿期现贸易商增多，点价交易增多，磨平了波动。现货市场的交易经常以盘面价格±一定幅度来确定，期现交易的活跃使得盘面很难大幅背离现货。“这点从基差上也可以看到。”
铁矿石成交量真的是因为大户打垮做市商，抽干了流动性吗？你怎么看？

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