2024-08-05 Interactive Brokers.Rulemaking Suggestions in Light of the Events of June 3, 2024

2024-08-05 Interactive Brokers.Rulemaking Suggestions in Light of the Events of June 3, 2024

Via Email 
 
Haoxiang Zhu 
Director, Division of Trading & Markets 
U.S. Securities & Exchange Commission 
100 F Street, NE 
Washington, DC 20549 
 
 
Re: Rulemaking Suggestions in Light of the Events of June 3, 2024 
 
Dear Mr. Zhu: 
 
We write on behalf of Interactive Brokers LLC (“IBKR”)  to provide our perspective on needed rule improvements in light of the events surrounding the wild price-action in Berkshire Hathaway Class A shares (“BRK A”) on June 3, 2024, immediately following its resumption of trading after a nearly two-hour regulatory halt.
我们谨代表 Interactive Brokers LLC（“IBKR”）撰文，就 2024 年 6 月 3 日伯克希尔哈撒韦 A 类股份（“BRK A”）在经历近两小时监管停牌后复牌即出现剧烈价格波动一事，提出我们对相关规则改进的看法。

In briefest summary, the following extraordinary events happened on June 3:
简要概述，6 月 3 日发生了以下异常事件：

• The New York Stock Exchange (“NYSE”) had to suspend trading in as many as 40 symbols less than 30 minutes after the open as a result of a technical issue.
由于技术故障，纽约证券交易所（“NYSE”）在开盘后不到 30 分钟就被迫暂停多达 40 只股票的交易。

In connection with that technical issue, the price of BRK A – the most expensive NMS stock – fell more than 99.97 % in the space of a few seconds, from approximately \$622,000 to approximately \$185.
受该技术故障影响，作为最昂贵的全国市场系统（NMS）股票，BRK A 的价格在数秒内暴跌逾 99.97 %，从约 622,000 美元跌至约 185 美元。

• BRK A was then halted from trading for nearly a third of the trading day.
随后，BRK A 被停牌，时间长达整个交易日的三分之一。

• Nearly two hours later, with no news in between, and with an apparently massive unaddressed buy-side order imbalance now on NYSE’s book from retail customers who placed market orders during the halt thinking they could buy BRK A at \$185, BRK A reopened at \$648,000, nearly 4.2 % higher than its fair market value immediately prior to the halt.
近两小时后，在期间没有任何消息发布的情况下，NYSE 的订单簿上出现了大量尚未匹配的买方订单——这些散户在停牌期间以为可以 185 美元买入 BRK A 而挂出的市价单——导致 BRK A 以 648,000 美元复牌，比停牌前的公允价值高出近 4.2 %。

In less than two minutes, the price then proceeded to climb an additional \$94,000 – an increase of an additional 14.5 % over the re-opening price.
复牌后不到两分钟，价格又进一步上涨 94,000 美元，相较复牌价再涨 14.5 %。

It then fell more than \$100,000 within 3 seconds and closed at \$631,110 at the end of the day.
随后股价在 3 秒内下跌逾 100,000 美元，最终以 631,110 美元收盘。

These events have highlighted deficiencies in two areas:
这些事件凸显了两个方面的缺陷：

1. The Limit Up-Limit Down Plan (the “LULD Plan”):
限涨限跌机制（“LULD 计划”）：

a. The LULD price-band applied to extremely high value stocks (such as BRK A) is too wide; and
对于价值极高的股票（如 BRK A）适用的 LULD 价格区间过于宽泛；以及

b. The Reference Price is calculated in a manner that is too reactive, following a reopening event, to price action in the moments following the reopening.
在复牌后，基准价格的计算方式过于追随复牌后的即时价格波动。

2. The clearly erroneous execution rules (“CEE Rules”) of the various national securities exchanges eliminate discretion to review a trade as clearly erroneous if the trade occurred within the published LULD band.
各全国性证券交易所的明显错误交易规则（“CEE 规则”）规定，只要交易价格落在已公布的 LULD 区间内，就没有酌情权将其认定为明显错误交易。

Before getting into specifics, however, we think it is worth reviewing in slightly more detail our understanding of the facts surrounding the events of June 3.
然而，在进入具体细节之前，我们认为有必要更详细地回顾我们对 6 月 3 日相关事实的理解。

I. Background: Trading in BRK A on the Morning of June 3
背景：6 月 3 日早晨 BRK A 的交易情况

On the morning of Monday, June 3, 2024, at approximately 9:50 am, the price of BRK A suddenly plummeted in the space of a few seconds from approximately \$622,000 per share to approximately \$185 per share, a decrease of over 99.97%.  This occurred in connection with an unspecified technical issue at NYSE and/or the Securities Industry Automation Corporation (“SIAC”, an affiliate of NYSE).  This technical issue and dramatic price event led NYSE to promptly halt BRK A from trading.
2024 年 6 月 3 日（星期一）上午约 9:50，BRK A 的价格在短短几秒内从每股约 622,000 美元骤降至约 185 美元，跌幅超过 99.97%。此事与纽约证券交易所（NYSE）及/或证券业自动化公司（“SIAC”，NYSE 的关联机构）出现的未指明技术问题有关。该技术问题及其引发的剧烈价格波动促使 NYSE 立即暂停 BRK A 交易。

News of BRK A’s anomalous price move quickly spread across social media.  Many retail traders, including some of our clients, in an ill-advised attempt to take advantage of this “opportunity”, unwisely submitted market orders to their brokers during the trading halt, presumably expecting those orders to be filled at approximately \$185/share when trading resumed.
BRK A 异常价格波动的消息迅速在社交媒体上传播。许多散户交易者（包括我们的部分客户）企图利用这一“机会”，在停牌期间向其经纪商提交市价单，显然预期复牌后这些订单能够以约 185 美元/股的价格成交，这种做法并不明智。
Idea
应该提交185美元以上的限价单，这些人担心限价单买不到。
This influx of buying interest during the halt led to a substantial buy-side order imbalance in NYSE’s limit order book for BRK A.  We have limited visibility to what the Designated Market Maker (“DMM”) for BRK A at NYSE may have done to attempt to resolve that imbalance prior to re-opening trading, but it is clear that the imbalance remained unresolved as of the re-open of trading.  As a result, trading resumed at approximately 11:35:54 am with a reopening cross at \$648,000.  This is particularly notable in that it is:
停牌期间涌入的买盘兴趣导致 NYSE 的 BRK A 限价簿出现了显著的买方订单失衡。我们对 NYSE 指定做市商（“DMM”）在复牌前为解决该失衡可能采取的措施所知有限，但显而易见，在复牌时该失衡仍未得到解决。因此，交易于约 11:35:54 以 648,000 美元的复牌交叉价恢复。这一点尤为值得注意，因为该价格：

• nearly 4.2% higher than the fair value price of approximately \$622,000 that BRK A had been trading at immediately prior to the technical issues that morning, without any intervening news regarding the company’s fortunes; and
比当日上午技术问题发生前 BRK A 的公允价值约 622,000 美元高出近 4.2%，期间并无影响公司基本面的消息；以及

• more than 2.5% higher than the highest price (approximately \$632,000) at which BRK A had traded in the prior month.
比 BRK A 在此前一个月内的最高交易价（约 632,000 美元）高出逾 2.5%。

Over the course of the next 98 seconds, the price of BRK A climbed an additional \$94,000, rising to as high as \$741,971.39 per share.  That \$94,000 represented an increase of approximately 14.5% over the re-opening price less than two minutes earlier and an additional approximately 15.1% (on top of the 4.2% increase at the reopen) over the most recent fair market value of \$622,000 prior to the beginning of the system issue that morning.
在接下来的 98 秒内，BRK A 的价格又上涨了 94,000 美元，最高升至每股 741,971.39 美元。这 94,000 美元相当于复牌价在不到两分钟内再涨约 14.5%，并且比该日上午系统问题出现前最近一次的公允价值 622,000 美元再高约 15.1%（加上复牌时的 4.2% 涨幅后）。

After peaking at over \$741,000, the price then fell even more precipitously over the next 5 seconds, dropping over \$100,000 in a single tick.  Ultimately, BRK A closed at \$631,110 that day.
在超过 741,000 美元的高点后，股价在接下来的 5 秒内更为急剧地下跌，在单笔成交中下滑逾 100,000 美元。最终，BRK A 当日收于 631,110 美元。

Many of the retail traders that had placed market orders during the trading halt were filled in the re-open or at various prices during the run-up to the peak, including some who were filled at the peak price.  IBKR – and we presume a number of other broker-dealers – promptly filed petitions with NYSE and the other exchanges seeking to have these anomalously high-priced trades busted as clearly erroneous.  NYSE (and the other exchanges) determined that they lacked authority to review these trades as clearly erroneous because they had occurred within the disseminated LULD bands, and thus declined to act on these petitions.
许多在停牌期间提交市价单的散户交易者在复牌或股价冲高过程中以不同价格成交，其中一些人在峰值价位成交。IBKR（我们也相信还有其他多家券商）迅速向 NYSE 及其他交易所提出申请，要求将这些明显过高的成交认定为明显错误并予以取消。然而，NYSE（及其他交易所）认为其无权将这些成交视为明显错误，因为成交价格位于已发布的 LULD 区间内，因而拒绝了这些申请。

As a result, traders (or their brokers who compensated them) and NYSE/SIAC (which, after an outcry from street participants, compensated some firms for losses under NYSE Rule 18) suhered tens of millions of dollars in losses in connection with trades that never should have occurred in the first place and never should have been allowed to stand if they did occur.
结果，交易者（或补偿他们的经纪商）以及 NYSE/SIAC（在市场参与者强烈抗议后，依据 NYSE 规则 18 向部分公司补偿损失）因本不应发生、即便发生也不应维持的交易蒙受了数千万美元的损失。
Warning
看到异常了没有暂停交易，自身的风险控制有更大的问题。
In light of those events, we now address the rule deficiencies that we believe they made plain.
鉴于上述事件，我们现就我们认为已充分暴露出的规则缺陷予以阐述。

II. Deficiencies in the LULD Plan
LULD 计划的缺陷

A. The defined LULD bands are a poor fit for extremely high-value stocks.
既定的 LULD 区间并不适用于极高价值股票。

The LULD Plan divides all securities subject to the plan into two tiers. BRK A, as a Tier 2 NMS stock (since it is not an S\&P 500 or Russell 1000 constituent or one of a select set of ETPs), is subject to a Percentage Parameter band of 10% relative to the calculated Reference Price.
LULD 计划将所有受该计划约束的证券分为两个层级。BRK A 作为二级 NMS 股票（因为其既非 S\&P 500 或 Russell 1000 成分股，也非特定一组 ETP 之一），适用的百分比参数区间为相对于计算所得参考价±10%。

This may be appropriate for most non-S\&P 500 stocks or Russell 1000 stocks. But unfettered freedom to trade up to 10% in either direction on a stock trading at well over \$600,000 per share (i.e., a more than \$60,000 price move in either direction) is clearly inappropriate.
该区间对大多数非 S\&P 500 或 Russell 1000 股票或许合适，但对于一只每股逾 600,000 美元的股票而言，允许其价格在任一方向自由波动 10%（即上下逾 60,000 美元）的幅度显然并不合理。

By comparison, under the price bands set forth in the various exchange CEE Rules (e.g., NYSE Rule 7.10), if the LULD plan had not applied, the applicable price band (relative to the reference price) would have been only 3%.
相比之下，根据各交易所明显错误执行规则（CEE 规则）（例如 NYSE 规则 7.10）规定的价格区间，如果未适用 LULD 计划，参考价的允许波动仅为±3%。

Put another way, the reopening price itself (which was nearly 4.2% away from the last reasonable reference price that morning) would have already been outside of the clearly erroneous execution band, and the immediately-subsequent 14+% rise would have only punctuated the point.
换言之，复牌价本身（较当日上午最后一个合理参考价高出近 4.2%）已超出明显错误执行区间，而紧随其后的 14% 以上涨幅更凸显了问题。

B. The Reference Price under the LULD Plan is inappropriately reactive, especially immediately following a reopening.
LULD 计划下的参考价过于敏感，尤其在复牌后的初期。

Under the LULD Plan, the Reference Price is calculated as the arithmetic mean of prices reported to the consolidated tape over a window of not more than five minutes. Immediately following a reopening, that window is even shorter (since there is less than five minutes of prices to incorporate).
按照 LULD 计划，参考价取的是过去不超过五分钟内报告至综合行情系统的成交价算术平均值。复牌刚开始时，该时间窗更短（因为可纳入的成交价不足五分钟）。

As a result, there is little to prevent the Reference Price from virtually tracking the market move-for-move during those first critical minutes following a re-opening.
因此，在复牌后最关键的几分钟里，参考价几乎会随行就市，难以抑制市场价格的同步剧烈波动。

Indeed, such a short sliding window for calculation of the Reference Price provides little drag on the ability of the market to gyrate to wildly inappropriate prices; it may prevent flash crashes that occur in seconds, but it does little more than that.
事实上，如此短的滑动时间窗对市场价格冲向极端不合理水平几乎没有遏制作用；它或许能阻止数秒内的闪崩，却难以发挥更多功效。

III. Lack of Discretion for Exchanges to Review Clearly Erroneous Trades
交易所缺乏对明显错误交易进行审查的酌情权

The above deficiencies might not be a problem if the LULD Plan formed just one part of a multi-layered array of tools in the exchanges’ toolbox to address transient, wild price action.
如果 LULD 计划只是交易所为应对瞬时剧烈价格波动所设多层工具中的一环，上述缺陷或许不足为患。

Indeed, if the exchanges’ CEE Rules currently existed in the same form they had prior to the adoption of the LULD Plan, the exchanges would still have a second tool available to them in the unusual circumstances where the LULD Plan was inadequate to curtail unnatural price action.
的确，若交易所的 CEE 规则仍保持在实施 LULD 计划之前的形态，当 LULD 计划不足以遏制非正常价格行为时，交易所仍可借助这第二道防线。

Yet the current CEE Rules of the various national securities exchanges prohibit them from taking any action to bust trades occurring during regular trading hours if the LULD bands are in effect and the trade happened within those bands, i.e., if:
然而，目前各全国性证券交易所的 CEE 规则规定，在 LULD 区间生效且成交价落于该区间内时，交易所不得对常规交易时段的成交采取撤销措施，即当：

• the relevant symbol is subject to the LULD Plan;
相关证券受 LULD 计划约束；

• the LULD bands were being disseminated at the time of the trade; and
成交时 LULD 区间正在发布；并且

• the trade occurs within the LULD price bands.
成交价位于 LULD 区间之内。

This unfairly and unnecessarily leaves market participants to bear losses as a result of particularly disorderly markets that the LULD Plan was inadequate to prevent – losses that could have been avoided entirely if the trades at spurious prices were simply busted as the traditional clearly erroneous price bands (as found in NYSE Equities Rule 7.10(c)(2)) would allow.
这使市场参与者被迫承担 LULD 计划未能防范的极端混乱市况所导致的损失，而如果按传统明显错误价格区间（如 NYSE 股票规则 7.10(c)(2) 所列）直接撤销伪价成交，这些损失本可完全避免。

The sheer complexity and interconnectedness of modern markets and trading systems, both automated and otherwise, makes it impossible to envision in advance every set of circumstances that could result in extreme, erroneous price moves, or to design a system that will always prevent them. Returning discretion to the exchanges and allowing them the flexibility to promptly address unexpected events and outcomes, including with trade busts where appropriate, is the necessary cure.
现代市场及其自动化和其他交易系统的复杂性与高度互联性，意味着不可能预先设想所有可能导致极端错误价格变动的情形，也不可能设计出永远能防止此类情况的系统。将酌情权归还交易所，并赋予其灵活性，以便在必要时通过撤销成交等方式迅速应对突发事件和结果，才是解决之道。

IV. Conclusion
结论

Accordingly, we urge the Commission and Stah, in conversation with the various exchanges and the LULD Plan Advisory Committee, to:
因此，我们敦促委员会及其工作人员在与各交易所及 LULD 计划顾问委员会沟通时，采取以下措施：

• Restore discretion to the exchanges to bust trades occurring within the LULD bands under extraordinary circumstances.
在特殊情况下，恢复交易所在 LULD 区间内取消成交的酌情权。

• For LULD Plan Tier 2 stocks trading at over \$10,000/share,  narrow the LULD Percentage Parameter to the lesser of:
对于价格超过 10,000 美元/股的 LULD 计划二级股票，将 LULD 百分比参数收窄至以下较低者：
 o 5% (the same as it would be if it was a Tier 1 stock); and 
5%（与一级股票相同）；以及
o \$25,000 (so that the maximum price swing within the band cannot grow without bound as the price of the stock grows).
25,000 美元（使区间内的最大价格波动不会随着股价上涨而无限扩大）。

• Make the LULD Plan Reference Price calculation less reactive under circumstances surrounding a re-open in connection with an exchange system issue. 
在涉及交易所系统问题导致复牌的情况下，使 LULD 计划参考价的计算不那么敏感。

o One way to do that would be to require an officer of the listing exchange to set a “Prior Fair Price”, based on the last orderly trade price before the halt, and incorporate that Prior Fair Price into the Reference Price in a way that:
一种做法是要求挂牌交易所的负责人设定“先前公允价”，该价格基于停牌前最后一次有序成交价，并以以下方式将其纳入参考价：

§ gives it substantial weight at the time of the reopen, and
复牌时赋予其较大的权重；以及

§ decays that weight down to zero over a period of 5-10 minutes.
在 5–10 分钟内将该权重逐渐降至零。

We would be happy to discuss any of these ideas with the Commission, Stah, LULD Plan Advisory Committee, or the Stah of the various exchanges at your convenience.
我们乐意在您方便时与委员会、工作人员、LULD 计划顾问委员会或各交易所工作人员讨论上述任何建议。

 Milan Galik Scott M. Litvinoh 
Chief Executive Ohicer Chief Regulatory & Product Counsel 
Interactive Brokers Group Interactive Brokers Group 

Cc: Megan Barbero, General Counsel 
Andrea Orr, Deputy Director, Division of Trading & Markets 
David Saltiel, Deputy Director & 
Head of the Ohice of Analytics and Research, Division of Trading & Markets David Shillman, Associate Director, Division of Trading & Markets 


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