探討臺灣股市邁向「逐筆撮合」交易制度下證券商的IT服務策略

國際上不僅紐約、倫敦、東京、香港、新加坡、上海等國際金融中心的集中交易市場是採用「逐筆交易」，連泰國、馬來西亞、印尼許多新興國家也都是用這個制度。因為「逐筆交易」是投資人新下一筆委託單後，便立即與委託庫中進行撮合。如買賣單各有不同的價位，進行「逐筆撮合」時，只要買賣單符合所需的價格，便立即成交。因此成交價格會出現較連續、價格波動變小，成交筆數也將大幅增加。從民國100年開始，臺灣就開始規劃改採用「逐筆交易」，但因當時是採用20秒撮合一次的「集合競價」，股市中散戶比重也有六成，馬上轉換恐將會造成嚴重的衝擊，因此就逐漸縮短撮合時間。7年過去，目前時機已成熟，該是落實規劃讓臺灣資本市場與國際接軌的時刻了。「逐筆交易」的實施將會增加臺灣股市的交易量，「高頻交易」的量勢必大幅增加，只要市場上有買進的委買單，所有的人都會在第一時間看到這張單子是用多少價位買進及買進多少張，接著，就是比券商替投資人的搶單的速度。所以券商的下單處理速度和主機的容量也需要能夠更快速，如此才能因應市場成長快速的交易量，不過這也才是證券業的第一輪的生存競爭賽，接下來，如何提供投資人更多差異化的資訊服務，更是券商在未來市場上競爭的主要實力，所以因應「逐筆撮合」的上路，券商IT將面臨不同以往的挑戰。本論文主要探討探討臺灣股市邁向「逐筆撮合」交易制度下證券商的IT服務策略，各個券商的主機系統的配置、程式使用的演算法和風控的處理，都相互影響、環環相扣的，如果只是連線及主機的速度是最快的，並不能代表就會贏，還要有後端的交易處理程式以及對於風控檢核的過程也要搭配夠快，才會有贏的機會，才能夠在最短的時間內將高頻率的交易量快速消化。券商如何做才能維持其市場競爭的優勢，經本研究深入探討後其策略上大致可以整理出來幾個重要的方向，其中包括客戶分群管理、主機及線路的設備升級、應用系統及風險控管處理程式的優化、網路分流等的規劃。

關鍵字

台股交易；集合競價；逐筆交易；高頻交易；證券交易所；股市；券商；法人

並列摘要

Not only the centralized trading markets of international financial centers such as New York, London, Tokyo, Hong Kong, Singapore, and Shanghai are adopting “Continuous Trading”, this system is also used in many emerging countries, including Thailand, Malaysia, and Indonesia. After the investor has placed a new order, it will immediately match the entrusted database. If there are different price points for the purchase and sale orders, the "Continuous Trading" will be completed as soon as the purchase order meets the required price. Therefore, the transaction price will appear more continuously, the price fluctuation will become smaller, and the number of transactions will increase significantly. Since 2011, Taiwan authority decided to change the "Continuous Trading". However, because it was a "Call Auction" that took 20 seconds to match, the proportion of individual investors in the stock market is 60%. Switching immediately will cause serious shocks, so the convergence time is gradually shortened. Seven years later, the time is ripe, and it is time to implement the plan to bring Taiwan’s capital market in line with international standards. The implementation of "Continuous Trading" will increase the trading volume of Taiwan's stock market. The amount of "high-frequency trading" will increase sharply. As long as there are buy-in buy orders in the market, everyone will see how much the price of this list is to buy and how many they are, and then, how soon the securities firm can grab the orders for investors. Therefore, the processing speed of the broker's order and the capacity of the host need to be faster, so that it can respond to the rapid growth of the market, but this is the first round of the competition in the securities industry. Next, how to provide investment more differentiated information services are the main strength of brokers' competition in the future market. Therefore, in response to the "Continuous Trading" approach, brokerage IT will face different challenges. Therefore, this thesis mainly discusses the IT service strategy of the securities firms in Taiwan's stock market moving towards the "Continuous Trading" trading system. The configuration of the host system of each broker, the algorithm used by the program and even the handling of risk control have mutual influence and interconnection, if only the speed of the connection and the host is the fastest, it does not mean that it will win, but the back-end transaction processing program and the process of the risk control check should be matched fast enough to win, in the shortest possible time will be able to quickly digest the volume of high-frequency transactions. How can a brokerage firm maintain its competitive edge in the market? After an in-depth study of this research, its strategy can roughly organize several important directions, including customer group management, equipment upgrade of host and line, application system and risk control processing program, optimization of network offloading, etc.

並列關鍵字

Taiwan Stock Trading ； Call Auction ； Continuous Trading ； High-Frequency Trading ； Stock Exchange ； Stock Market ； Securities Firm ； Institutional investors