????現實生活中鮮有巧合，這次可能也不是巧合：就在騎士資本公司（Knight Capital Group）的電腦幾乎摧毀市場、45分鐘內造成該公司損失4.40億美元的同一天，紐約證券交易所（New York Stock Exchange）推出了一套新型交易系統，目的就是為了從類似騎士公司這樣的造市商手中奪回業務。

????過去五年左右，圍繞誰來完成普通投資者的股票買賣指令展開了一場拉鋸戰。過去此類指令都是在紐約證交所的交易池內發生的。如今，個人指令幾乎沒有機會進入這家交易所進行交易。這些指令都被截流了，轉向騎士公司或其主要競爭對手Citadel公司、花旗（Citigroup）和瑞銀（UBS）的電腦系統，由這些系統對匯集的數百萬交易指令進行撮合。

????而且，這些公司從紐約證交所分流交易的速度持續加快。2009年，有約15%的交易從紐約證交所分流。如今，在紐約證交所上市的股票有約1/3的交易是在其他地方完成的。

????不清楚為何這場圍繞個人股票交易的爭奪戰如此激烈。騎士基于所謂的指令流向經紀人支付傭金，并承諾個人所獲價格略優于能在證交所獲得的價格。指令輸入騎士電腦系統后，由電腦用閃電般迅速的交易算法計算出如何在其剛剛付清的交易指令上賺錢。這就是人們所知的高頻交易的一部分。

????有些人說，造市商提供了服務。其他人說，騎士和其他公司找出個人投資者的交易指令，將這些指令視為簡易交易流，更易撮合交易。顯然，騎士和其他公司已經想出方法如何在你我的股票交易中賺錢，我們自己對此可能一無所知，但仍以某種方式為此買單。經營交易研究公司Nanex的埃里克?斯科特?亨塞德估計，過去七年造市商通過快速執行這些個人投資者和其他人的交易指令創造了50億美元的利潤。

????上周三，騎士損失4.40億美元的當天，紐約證交所推出了自己的電腦驅動交易系統“零售流動性計劃”（Retail Liquidity Program，簡稱RLP），希望藉此能奪回一些被造市商搶去的交易量。與騎士一樣，紐約證交所的RLP電腦運用算法來找出何時能提供比他人略優的價格，搶回股票交易，這次則是從騎士和其他造市商手中奪回。

????騎士稱，它遇到的電腦問題與紐約證交所的新交易系統相關，但沒有具體說明到底是什么原因。可以說明問題的是，騎士電腦執行的所有虛構交易所涉股票都是紐約證交所上市股票。可能是騎士試圖升級其自身算法，循環繞開紐約證交所的新系統。但不知怎么就搞砸了。上周三早晨9點30分，美國股市開盤，紐約證交所新系統與騎士新電腦系統同時上線，不久騎士電腦系統便開始毫無理由地瘋狂買進、賣出數百萬股股票。

????通常情況下這應當不會產生任何實際損失。這些交易都不是真實指令，因此騎士系統應該只是自買自賣。但高頻交易不同。當其他電腦系統發現交易活動增加時，它們也會參與進來。

????10點15分，騎士結束了這一錯誤算法。但此時已經產生了損失。騎士損失了4.40億美元。很多股票，包括沃倫?巴菲特的伯克希爾哈撒韋（Berkshire Hathaway）都出現了猛漲猛跌，我們對市場的信念再次遭到動搖。

????理論上我們應當從這樣的競爭中獲益，拿到越來越低的交易價格。但事實上，騎士以及如今紐約證交所提供的“價格優惠”只是以毫厘計。最理想狀況下，這些系統也只能給我們帶來一個穩定性更差的市場。最糟的情況下，這些系統會從我們口袋里偷錢。

????這起案件清楚地表明，我們需要監管機構的介入。如果它還不能說明這個問題，我不知道還有什么可以。

????譯者：早稻米

????In life there are few coincidences, and this one probably isn't either: The day Knight Capital Group's computers nearly blew up the market and lost the firm $440 million in 45 minutes is the same day that the New York Stock Exchange (NYX) launched a new trading system that was, in part, meant to take business away from Knight (KCG).

????For the past half decade or so, there has been a tug of war over who completes the buy and sell orders for stocks that average investors like you and I make. It used to happen in the pits of the NYSE. These days, almost none of the trades that folks like you and I make ever get to the exchange. Instead, they get cut off, diverted into the computer systems of Knight or its main competitors Citadel, Citigroup and UBS, which match those with the millions of other orders they collect.

????And the pace at which these firms have been able to divert traffic from the NYSE has been accelerating. In 2009, about 15% of all trades took place away from the NYSE. Now about a third of all the trades in NYSE-listed shares happen elsewhere.

????It's not clear why this battle over individual stock trades is so pitched. Knight pays brokers for its so-called order flow. And it guarantees that individuals get a slightly better price than what they would get at the exchange. Those stock trades get fed into Knight's computers, which use lightning fast trading algorithms to figure out how to make money off the orders the firm has just paid up for. This is, in part, the high frequency trading that you have heard about.

????Some say that market makers provide a service. Others say Knight and others seek out the orders of individual investors because they view those orders as so-called dumb flow and easier to trade against. What is clear is that Knight and others have figured out how to make money off the stock trades of you and me in ways that we can't detect but we probably pay for somehow. Eric Scott Hunsader, who runs trading research firm Nanex, estimates market makers have been able to generate $5 billion in profits rapidly trading the orders of individual investors and others in the past seven years.

????On Wednesday, the same day that Knight lost $440 million, the NYSE launched its own computer driven trading system, called the Retail Liquidity Program, that the exchange hopes will reclaim some of the trading volume it has lost to market makers. Like Knight, the NYSE's RLP computers use algorithms to figure out when it makes sense to offer a slightly better price than what others are offering, and snatch up stock trades, this time away from Knight and others.

????Knight says the computer problems it ran into had to do with NYSE's new trading system, but it didn't say what. Tellingly, all of the stocks that Knight's computers did bogus trades in were listed on the NYSE. It's likely that Knight tried to upgrade its own algorithm to allow its computers to do an end around the NYSE's new system. But it messed up somehow. Instead, Knight's computer system, launched at the same time as the NYSE's, went on a trading frenzy, buying and selling millions of shares for no reason shortly after both systems were switched on, at when the market opened at 9:30 Wednesday morning.

????Normally that shouldn't have produced any real losses. These weren't actual orders, so Knight's system should have just been buying and selling to itself. But that's not how the world of high frequency trading works. When other traders, i.e. computer systems, saw the spike in activity, they jumped in too.

????Knight disabled the faulty algorithm by 10:15. But by then the damage was done. Knight was out $440 million. A number of stocks, including Warren Buffett's Berkshire Hathaway (BRKB), had gyrated up and down, and our faith in the market was shaken once again.

????In theory, we should all benefit from this competition, being able to trade at cheaper and cheaper prices. But in practice the "price improvements" that Knight and now NYSE offer are fractions of a fraction of a penny. At best, what we are getting in return is a market that is less stable. At worst, we are getting a system that is picking our pockets.

????If this isn't a clear case where we need regulators to step in, I don't know what is.