(Art. 30 FinMIA)
1 The trading venue must be able to identify the following:
- a.
- orders generated by algorithmic trading;
- b.
- the different algorithms used for the creation of orders;
- c.
- the participants' dealers who initiated these orders in the trading facility.
2 It shall require participants that pursue algorithmic trading to flag the orders generated in this manner, record all entered orders, including order cancellations, and in particular to possess effective precautions and risk controls that ensure that their systems:
- a.
- are robust and equipped with sufficient capacity to deal with peak volumes of orders and announcements;
- b.
- are subject to appropriate trading thresholds and upper limits;
- c.
- do not cause or contribute to any disruptions in the trading venue;
- d.
- are effective for preventing violations of Articles 142 and 143 FinMIA;
- e.
- are subject to appropriate tests of algorithms and control mechanisms, including precautions to:
- 1.
- limit the proportion of unexecuted trading orders relative to the number of transactions that can be entered into the system by a participant,
- 2.
- slow down the flow of orders if there is a risk of the capacity of the system being reached, and
- 3.
- limit and enforce the minimum tick size that may be executed on the trading venue.
3 In order to take account of the additional burden on system capacity, the trading venue may make provision for higher fees for:
- a.
- the placement of orders that are later cancelled;
- b.
- participants placing a high proportion of cancelled orders;
- c.
- participants with:
- 1.
- an infrastructure intended to minimise delays in order transfer,
- 2.
- a system that can decide on order initiation, generation, routing or execution, and
- 3.
- a high intraday number of price offers, orders or cancellations.