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Abnormal Trading of INE, DCE, ZCE

Fang submitted 2019-08-12 19:10:35

INE DCE ZCE
(1) multiple trades between one’s own accounts (self trades); (1) multiple trades between one's own accounts by acting as its own counterparty; (1) self-matching. Namely a member or client, by acting as its own counterparty, sells and buys the same futures contract;
(2) multiple trades between Clients within a group of accounts with actual control relationship; (2) multiple trades within a group of accounts with actual control relationship as identified by the Exchange; The trading activities among the clients within the same group of accounts involving actual controlling ownerships shall be deemed as self-matching
(3) frequent cancellation of orders within the same day, which may affect the futures trading price or mislead other market participants into futures trading (“frequent order cancellation”); (3) frequent submission and cancellation of orders; (2) frequently placing and cancelling orders;
(4) frequent cancellation of large-amount orders within the same day, which may affect the futures trading price or mislead other market participants into futures trading (frequent large-amount order cancellation); (4) cancellation of large-amount orders; (3) placing and cancelling large orders. Namely a member or client places and cancels large orders for many times;
(5) the combined size of positions within a group of accounts with actual control relationship has exceeded the position limit prescribed by the Exchange; (5) the aggregated positions within a group of accounts with actual control relationship as identified by the Exchange and having exceeded the position limit prescribed by the Exchange; (4) aggregated positions in the actually controlling accounts exceeded the position limit. Namely the quantity of the aggregated positions in a group of accounts involving actual controlling relationship being identified by the Exchange exceeds the position limit prescribed by the Exchange;
(6) the open position volume in a listed product or futures contract in a single trading day has exceeded the intraday open position volume prescribed by the Exchange;
(7) placing trading orders via program trading in a manner that may adversely affect system security or the normal trading order of the Exchange; and (6) undermining system security or the normal trading order of the Exchange by using computer programs to automatically place batch orders or place orders rapidly; (5) program trading which may disrupt normal trading practice. Namely a member or client uses computer programs to place orders which may adversely affect the security of the Exchange’s system or the normal trading practice at the Exchange;
(8) any other situation prescribed by the China Securities Regulatory Commission (hereinafter referred to as the “CSRC”) or identified by the Exchange. (7) other circumstances identified by the Exchange. (6) other behaviors prescribed by China Securities Regulatory Commission or identified by the Exchange.
(a).Five (5) or more self-trades in the same contract in one (1) trading day would be regarded as mutiple self-trades (a) Five (5) or more self-trades in the same contract on a single day by a client or Non-Futures Company Member, shall constitute the abnormal trading behavior of "multiple trades between one's own accounts by acting as its own counterparty("self-trade")". (a)conducting self-matching for 5 times or more in the same contract within one trading day would be regarded as mutiple self-matching;
(b).Five hundred (500) or more order cancellations in the same contract in one (1) trading day would be regarded as frequent order cancellation. (b) Five hundred (500) or more times of order cancellations in the same contract on a single day by a client or Non-Futures Company Member, shall constitute the abnormal trading behavior of "frequent submission and cancellation of orders". (b) cancelling orders for more than 500 times in the same contract within one trading day; or cancelling buy (sell) orders at the limit up (down) price for more than 100 times when the contract reaches the price limit on a trading day; would be regarded as frequently placing and cancelling orders
(c).Fifty (50) or more large-amount order cancellations in the same contract in one (1) trading day. One “large-amount order cancellation” means cancellation of three hundred (300) lots or more in a single instruction would be regarded as frequent large-amount order cancellation. (c) Four hundred (400) or more times of order cancellations in the same contract on a single day by a client or Non-Futures Company Member, with the lots of a single cancelled order exceeding eighty percent (80%) of the largest order placed under this contract, shall constitute the abnormal trading behavior of "cancellation of large-amount orders". (c)cancelling orders for more than 50 times in the same contract within same trading where the order volume is more than 800 lots would be regarded as placing and cancelling large orders.
With respect to any listed product or futures contract, if the position opening volume of a Client or the aggregate position opening volume of a group of accounts with actual control relationship exceeds the intraday open position volume prescribed by the Exchange, such a situation shall be deemed as an abnormal trading behavior. When calculating the times of self-trade, frequent submission and cancellation of orders and cancellation of large-amount orders by a client or Non-Futures Company Member, the order cancellation and self-trade arising out of the market orders, stop-loss (profit) orders, spread orders, fill or kill ("FOK") orders and fill and kill ("FAK") orders will not be counted. Behaviors such as self- matching, frequently placing and cancelling orders and placing or cancelling large orders for hedging purpose shall not be deemed as abnormal trading behaviors.
Where the combined size of general positions and arbitrage positions held by a group of accounts with actual control relationship exceeds the sum of the prescribed general position limit and the aggregate size of approved arbitrage quota, such overage (“combined position over-limit”) will constitute an abnormal trading behavior. The self-trading, frequent submission and cancellation of orders and cancellation of large-amount orders resulting from the arbitrage trading and hedge trading will not be deemed as abnormal trading behaviors. Behaviors such as self-matching, frequently placing and cancelling orders and placing or cancelling large orders due from market orders and calendar spread orders shall not be deemed as abnormal trading behaviors. Behaviors such as self-trading, frequently placing and cancelling orders and placing or cancelling large orders due from fill-or-kill (FOK) orders and fill-and-kill (FAK) orders shall not be deemed as abnormal trading behaviors.
Trades executed among Clients within a group of accounts with actual control relationship will constitute an abnormal trading behavior. The frequent submission and cancellation of orders resulting from market making for options will not be deemed as abnormal trading behaviors. Behaviors such as frequently placing and cancelling orders due from market-making trades shall not be deemed as abnormal trading behaviors.
Activities such as self trading, frequent order cancellation, and large-amount order cancellation resulting from such transactions as fill-or-kill (FOK) orders, fill-and-kill (FAK) orders, and hedging trades will not be deemed as abnormal trading behaviors. In case the self-trade, frequent submission and cancellation of orders or cancellation of large-amount of orders by a client or Non-Futures Company Member in multiple futures or option contracts on a single day has reached the regulatory standards prescribed by the Exchange, the same kind of abnormal trading behavior in relation to all these futures contracts or all these option contracts will be deemed as a single occurrence of that abnormal trading behavior respectively. If a client or actual controlling owner of a group of accounts conducted behaviors such as self-matching, frequently placing and cancelling orders and placing , cancelling large orders in two (2), more contracts in a single trading day or the aggregated positions of such clients or those accounts exceed the position limits on two or more contracts with behaviors recognized by exchange as abnormal trading behaviors, then the same kind of abnormal trading behaviors conducted in these different contracts shall be deemed as a single occurrence of abnormal trading behaviors.
If on a single trading day a Client or a group of accounts with actual control relationship on an aggregate basis meets the criteria of the Exchange to take actions for self trade, frequent order cancellation, or large-amount order cancellation with respect to its activities in two (2) or more contracts, the same kind of abnormal trading behavior in relation to these different contracts will be deemed as a single occurrence of that abnormal trading behavior. The Exchange shall make statistics for and handle self-trade, frequent submission and cancellation of orders and cancellation of large-amount orders in respect of the futures and those of option contracts separately.
If on a single trading day a group of accounts with actual control relationship meets the criteria of the Exchange to take actions for combined position over-limit with respect to its positions in two (2) or more contracts, the combined position over-limit in all these contracts will be deemed as a single occurrence of abnormal trading behavior. The Exchange shall calculate the self-trade, frequent submission and cancellation of orders, cancellation of large-amount orders and other abnormal trading behaviors of the accounts with actual control relationship on a consolidated basis, the regulatory standards for which are the same as those for clients and Non-Futures Company Members.


INE DCE ZCE
(一)以自己为交易对象,多次进行自买自卖的行为(自成交); (一)以自己为交易对象,多次进行自买自卖; (一)自成交行为,即以自己为交易对象进行自买自卖的行为;
(二)一组实际控制关系账户内的客户之间多次进行相互为对手方的交易; (二)交易所认定的实际控制关系账户组内发生的多次互为对手方的交易; 一组实际控制关系账户内的客户之间相互成交视为自成交。
(三)日内出现频繁申报并撤销申报,可能影响期货交易价格或者误导期货市场其他参与者进行期货交易的行为(频繁报撤单); (三)频繁报撤单行为; (二)频繁报撤单行为,即频繁申报并撤销定单的行为;
(四)日内出现多次大额申报并撤销申报,可能影响期货交易价格或者误导期货市场其他参与者进行期货交易的行为(大额报撤单); (四)大额报撤单行为; (三)大额报撤单行为,即多次申报并撤销大额定单的行为;
(五)一组实际控制关系账户合并持仓超过上期能源持仓限额规定的; (五)交易所认定的实际控制关系账户组合并持仓超过交易所持仓限额规定; (四)实际控制关系账户合并持仓超限行为,即被交易所认定为具有实际控制关系的一组账户持仓合并计算后超出交易所规定持仓限额的行为;
(六)单个交易日在某一上市品种或者期货合约上的开仓交易数量超过上期能源制定的日内开仓交易量的;
(七)采取程序化交易方式下达交易指令,可能影响上期能源系统安全或者正常交易秩序的行为; (六)通过计算机程序自动批量下单、快速下单影响交易所系统安全或者正常交易秩序; (五)程序化交易扰乱交易秩序行为,即采取程序化交易方式下达交易指令,可能影响交易所系统安全或者正常交易秩序的行为;
(八)中国证监会规定或者上期能源认定的其他情形。 (七)交易所认定的其他情形。 (六)中国证监会规定或者交易所认定的其他行为。
1.单个交易日在某一合约上的自成交次数达到5次及以上的,达多次自成交标准 1.客户或非期货公司会员单日在某一合约上的自成交次数达到5次(含5次)以上的,构成“以自己为交易对象,多次进行自买自卖”的异常交易行为。 1.单个交易日在某一合约自成交5次以上;达多次自成交标准
2.单个交易日在某一合约上的撤单次数达到500次及以上的,达频繁报撤单标准 2.客户或非期货公司会员单日在某一合约上的撤单次数达到500次(含500次)以上的,构成“频繁报撤单”的异常交易行为。 2.单个交易日在某一合约撤销定单次数500次以上;或者当某个交易日某一合约出现涨(跌)停板后,当日在该合约涨(跌)停板价位买(卖)单撤销定单次数100次以上;构成“频繁报撤单”的异常交易行为。
3.单个交易日在某一合约上的大额撤单(单笔撤单的撤单量达到300手及以上)次数达到50次及以上的,达大额报撤单标准 3.客户或非期货公司会员单日在某一合约上的撤单次数达到400次(含400次)以上的,且单笔撤单的撤单量超过合约最大下单手数的80%,构成“大额报撤单”的异常交易行为。 3.单个交易日在某一合约撤销定单次数50次以上且每次撤销定单量800手以上;构成“大额报撤单”的异常交易行为。
4.客户或者一组实际控制关系账户合并计算后,在某一上市品种或者期货合约上的开仓交易数量超过上期能源制定的日内开仓交易量的,构成异常交易行为。 4.在统计客户和非期货公司会员自成交、频繁报撤单和大额报撤单次数时,市价指令、止损(盈)指令、套利指令、附加立即全部成交否则自动撤销(FOK)和立即成交剩余指令自动撤销(FAK)指令属性形成的撤单和自成交不计入在内。 4.一组实际控制关系账户持仓合并计算后超出交易所规定的持仓限额。
5.一组实际控制关系账户一般持仓及套利交易持仓合并计算后超过一般持仓限额和其获批的套利交易持仓额度总和的,构成异常交易行为。 5.由于套利交易、套保交易所产生的自成交行为、频繁报撤单行为、大额报撤单行为不作为异常交易行为。 5套期保值交易产生的自成交、频繁报撤单、大额报撤单行为不构成异常交易行为。
6.一组实际控制关系账户内的客户之间发生成交的,构成异常交易行为。 6.由于期权做市交易所产生的频繁报撤单行为不作为异常交易行为。 6.市价指令、套利指令产生的自成交、频繁报撤单、大额报撤单行为不构成异常交易行为。附加立即成交剩余指令自动撤销(FAK)、立即全部成交否则自动撤销(FOK)指令属性的交易指令产生的自成交、频繁报撤单、大额报撤单行为不构成异常交易行为。
7.因套期保值交易、立即全部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)等产生的自成交、频繁报撤单、大额报撤单等行为不构成异常交易行为。 7.客户、非期货公司会员单日在多个期货合约或者多个期权合约上自成交、频繁报撤单或大额报撤单行为达到交易所处理标准的,分别认定为出现一次自成交、频繁报撤单、大额报撤单行为达到交易所处理标准。 7.做市交易产生的频繁报撤单行为不构成异常交易行为。
8.客户或者一组实际控制关系账户合并计算后,单个交易日在两个及以上合约因自成交、频繁报撤单、大额报撤单达到上期能源异常交易行为处理标准的,同一种异常交易行为按照发生一次异常交易行为认定。 8.交易所对期货、期权合约上的自成交、频繁报撤单、大额报撤单行为分别统计和处理。 8.客户或者一组实际控制关系账户单个交易日在两个以上合约因自成交、频繁报撤单、大额报撤单或者实际控制关系账户合并持仓超限达到异常交易行为处理标准的,同一种异常交易行为按照发生一次认定。
9.一组实际控制关系账户单个交易日在两个及以上合约因合并持仓超过持仓限额达到上期能源处理标准的,按照发生一次异常交易行为认定。 9.交易所对实际控制关系账户的自成交、频繁报撤单、大额报撤单等异常交易行为合并计算,其监管标准与客户、非期货公司会员相同。

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