1、中国外汇交易市场介绍和路透自动交易技术,中国外汇交易中心（CFETS）,http:/2005年5月18日，在原有交易品种的基础上推出的外币买卖系统是为外币对外币的即期交易提供交易、清算系统，不涉及人民币对外币的交易。 2005年8月正式推出推出外币买卖业务。 在银行间外汇市场，通过电子交易与清算平台，为境内金融机构进行外币与外币之间的交易与清算提供便利的安排。,过去与现在,过去：银行间外汇市场采用电子竞价交易系统组织交易，即会员银行通过交易终端自主报价，交易系统按 价格优先、时间优先的原则撮合成交。 现在：实行“做市商报价驱动的竞价交易模式”，即多个做市商对同一外币进行竞争性报价，系统对全部买
2、/卖报价进行最优筛选后实时发布，并由交易系统将最优的做市商报价与会员银行的交易请求按照“价格优先、时间优先”的原则进行匹配，将成交信息实时反馈给交易双方。,做市商与交易品种,汇丰银行、花旗银行、荷兰银行、荷兰商业银行、苏格兰皇家银行、德意志银行、蒙特利尔银行、中国银行和中信实业银行 欧元对美元、澳大利亚元对美元、英镑对美元、美元对瑞士法郎、美元对港币、美元对加拿大元、美元对日元和欧元对日元。 交易时间：7：00-19：00（周一到周五）,交易主体,做市商：在指定货币对中连续不断地进行买/卖双边报价，承担维持市场流动性义务的银行。 会员银行：在市场中进行点击报价、订单报价和询价交易的银行。,报价
3、方式,点击报价：希望按当时市场价格成交，且交易金额不大于流动性限额的交易，按点击时的实时汇率成交。 询价报价：希望按当时市场行情成交，且交易金额大于流动性限额的交易，有可能获得大额交易的优惠价格。 订单报价：希望按指定的价格成交，且交易金额不大于流动性限额的交易，可根据自己对市场未来走势判断下单，下单后无须实时看盘。,风险控制,最小报价金额：会员银行的最小报价金额10万美元，非美元货币对按实时汇率折算美元计算。 流动性限额：各做市商在某一价位上可提供的流动性是有限的，相应地整个市场在某一价位上的流动性也是有限的。交易系统中设置了流动性限额1000万美元或等值其他货币，超出流动性限额的交易请求只
4、能进行询价交易。 交易系统对所有做市商和会员银行都设置交易额度。会员银行的交易限额等同于清算限额。,资金清算,集中：做市商、会员银行以中国外汇交易中心为清算对手，达成交易后的资金清算均与中国外汇交易中心办理 差额：做市商、会员银行按同一币种同一起息日交易金额的净差额与中国外汇交易中心进行资金清算。清算速度为T+2，与加元相关的交易为T+1。,价格限制,交易员应在规定的价格浮动范围内进行报价，超过浮动范围的报价无效。美元每笔报价须在上一笔成交价上下各100个基点以内，当日报价须在中国人民银行公布的当日中间价上下各3以内。 港币每笔报价须在上一笔成交价上下各100个基点以内，当日报价须在中国人民银
5、行公布的当日中间价上下各1%以内。 日元每笔报价须在上一笔成交价上下各1000个基点以内，当日报价须在中国人民银行公布的当日中间价上下各10%以内。,RET-AD - 业内领先的自动交易平台产品,* 欧洲货币杂志2004年调查,单一银行平台,专用标签解决方案,银行到分支行，子公司及/或客户的外汇和资金市场 e 商务交易平台大批量小额买卖的自动化通过实时直通处理连接中后台，提高效率在客户端便利实施（零维护成本）控制成本同时增加交易处理能力 基于客户信用、买卖量、货币汇对的多种保证金买卖模块国际银行加强在华业务并构成竞争,路透电子买卖 自动交易系统,银行资金部总中心,后台系统,互联网 /内部网,案
6、例单一银行平台,UBS 专用标签解决方案,领先的外汇银行新技术重新介定UBS的业务模式每天5万个询价请求在线上执行交易量，平均每天一万宗百分之95的交易是自动完成连通前台头寸管理系统的直通处理,路透电子买卖自动交易,RET-AD 价格引擎,The spot panel,Spot Value Date,Stop / Go button:Go = autodealableStop = non-autodealable,Market Conditions:Switching from normal to volatile to highly volatile will widen the sprea
7、ds on this rate.,Market Maker rate (with spreads applied),Pricing model selection,Time the rate was published,Colour status:Green = autodealable rateRed = non autodealable rate,Float / unfloat button,View spikes in the market when they happen.,Override section,Skew left / right,narrow,widen,Raw rate
8、 from the feed,Panel number. Hit this number to activate this panel.,Spot Intervention,Hit the panel number you want to intervene on, eg, 1. This will activate the first panel on your screen:,The left-hand pips are highlighted.,Hit ENTER to publish your rate.,All traders logged into this panel will
9、see the name of the person who overrode the rate.,After a configurable number of seconds (see your administrator), the override will time-out as a safety measure, and the rate will be staled and taken off the autotrader.,Crosses go stale when components are stale,GBP.CHF is crossed via USD.When eith
10、er GBP.USD or USD.CHF goes stale, the GBP.CHF rate goes stale too.,Switching Pricing Model,In the Model drop-down list, you may find multiple models. Each model is set up to run at particular times of day.In this example, the “London hours” model runs during European trading hours.It is possible to
11、switch to another pricing model at any moment by selecting another model from the drop-down list.,In this example, there are 3 models:London HoursNY hoursSingapore hoursIf you wish to return to the model which would normally be running at the present time, then select default.,It may be the case tha
12、t rates are not available for certain models. If so , you will see this message:,Switching Volatility Levels,There are 3 market condition settings. If you hover your mouse over any of these, a tooltip will display the spread values associated with this condition.,In this example, moving to Volatile
13、puts a spread of 2 on the bid, + 2 on the ask,Any related crosses will also get updated with the same volatility level. Here, EUR.GBP is crossed via USD. As a result, when EUR.USD is set to volatile, so too is EUR.GBP.,Rate Skewing,It is possible to skew a rate left or right using the arrow keys on
14、your keyboard.,Example: press the right arrow twice: you will see,.and the rate will become 0.67495 / 535,All subsequent rates coming in from the feed will be skewed 2 pips to the right.,Using the left arrow key, you will see, e.g. :,.and the rate in the screenshot would become 0.67455 / 0.67495,It
15、is also possible to widen / tighten the spread on the rate by using the Up,All subsequent rates coming in from the feed will be skewed 2 pips to the left.,Clicking the key once would cause the rate in the screenshot to become 0.67465 / 525,Clicking the key once would cause the rate in the screenshot
16、 to become 0.67485 / 505,All subsequent rates coming in from the feed will be widened by one pip.,All subsequent rates coming in from the feed will be tightened by one pip.,and ,keys.,Tolerance Checking,When the Tolerance status is shown, this means that a spike in the market feed has been caught. T
17、o view spike rates coming in from the feed, click on the,icon.,The currently published rate goes stale.,If you wish to publish any of these spike rates, you can select the row by clicking on it and click Set Baseline.The selected row will be moved into the Published Row, and the rate will go green (
18、LIVE, auto-dealable).,从多个价格源取价格,RET-AD价格引擎,银行系统,路透(成交价),内部 价格源,其他银行,多个价格源,API 实时提供价格,混合，人工及发布,你可以利用API实时提供价格至银行内部系统,RET-AD 强大功能,RET-AD价格引擎,银行系统,路透(成交价),内部价格源,其他银行,多个价格源,混合，人工及发布,专线,互联网,CFETS,API实时提供价格,机构客户,Local Bank Node (LBN) APIs（其它开放接口支持）,APIs,高安全，双向安全网关LBN API 具备信用确认功能来检查信用额度LBN API可以发送交易信息 去清算
19、和结算系统LBN API而且可以将交易信息发送到统计报表数据库,RET-AD 系统,信用核实 系统,LBN API,结算 / 中枢银行系统,LBN API,银行可用LBN接口进行信用核实,银行可用LBN接口与 清算及统算系统连接,客户,CFETS,专线,会员银行,所有做市商都需要一个价格引擎,自动交易,CFETS 适配器,价格引擎,RET-AD,握手,优点 与CFETS直接连网 现成的适配器 及时的解决方案,连接CFETS的路透RET-AD解决方案,多个价格源,AutomatedDealing,CFETS,Adapters,Member Banks,Reuters Hosted RET-AD,Reuters Trading for FX,Access to multiple sales channels,Reuters dealt rates,Bank rates eg. UBS,RTFX Reuters Trading for FX (3000Xtra),RTFX FX Trading on the 3000Xtra desktop,RTFX Deal Input (one way or two way pricing),RTFX Deal Confirmation,RTFX Deal Ticket,
