On September 1, 2023, SZSE issued the Circular on Matters Relating to the Reporting of Stock Program Trading and the Circular on Matters Relating to Strengthening the Management of Program Trading with official effect from October 9, 2023, establishing the special reportingsystem and corresponding regulatory arrangements for quantitative trading. With joint efforts of all market participants, the above system has been smoothly implemented. The existing investors have completed the reporting on schedule as required, while new investors have carried out the provisions of “reporting before trading” and their reporting quality has generally met the requirements, laying the foundation for further strengthening and improving the regulation of quantitative trading. SZSE will, based on the reported information, continue to intensify the monitoring and analysis of quantitative trading, especially high-frequency trading and dynamically evaluate and improve the reporting system.

With the wide application of new information technologies, quantitative trading has recently become an important way of trading. It helps provide liquidity to the market and facilitates price discovery. Compared with small and medium-sized investors, quantitative trading, especially high-frequency trading, has obvious advantages in technology, information and speed, but at some time points, also shows problems such as strategy convergence, trading resonance and increase in market volatility. From the perspective of international experience, overseas markets generally implement the stricter regulation on quantitative trading, especially high-frequency trading, to prevent negative impact on market order. In the next step, SZSE will adhere to the investor-oriented approach, take the maintenance of fairness as the starting point and goal of its work, learn from international regulatory practices, seek advantages and avoid disadvantages. SZSE will establish sound regulatory arrangements for quantitative trading, including strict implementation of the reporting system and clear access arrangements of “reporting before trading”; strengthen the authorization management of market data for quantitative trading and perfect the differentiated charging mechanism; improve monitoring standards for abnormal trading and reinforce the regulation on abnormal trading and abnormal order reporting and withdrawal; strengthen the monitoring and regulation of leverage-type quantitative products and the joint regulation of futures and spot goods. Meanwhile, SZSE will further clarify customer management responsibilities of securities companies, perfect the self-regulatory management cooperation mechanism with the Securities Association of China and the Asset Management Association of China and intensify the regulation on trading of quantitativeand private institutions. In addition, SZSE will increase communication with HKEX and under the principle of equal treatment for domestic and foreign capital, clarify reporting arrangements for northbound investors under the Shenzhen-Hong Kong Stock Connect and include quantitative trading by northbound investors in the reporting scope. SZSE will resolutely take self-regulatory measures against abnormal trading that affects the market order and report those suspected of violating laws and regulations and having serious circumstances to the CSRC for investigation and punishment.