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Stats › Global markets and exchanges › Algo rules and you

The European algorithmic trading rules bind investment firms, and reach a retail trader through the broker

RequirementApplies toTriggerNote
Testing and conformance testingInvestment firmsAny algorithmic tradingBefore deployment and after material change
Kill functionalityInvestment firmsAny algorithmic tradingAbility to cancel unexecuted orders immediately
Annual self assessmentInvestment firmsAny algorithmic tradingAgainst a prescribed list of criteria
Stress testingInvestment firmsAny algorithmic tradingAgainst twice the highest message and order volume of the previous six months
Market making obligationsAny firm meeting the testFirm two way quotes, own account, 50% of hours, half the days in a monthQuote sizes must not diverge by more than 50%
Five year order record retentionFirms using high frequency techniquesAutomatic on the techniqueIncludes orders that never executed

From the directive and its technical standards. The own account exemption that would otherwise cover a person trading their own money is withdrawn from anyone who is a venue member or participant, who makes markets, or who applies a high frequency algorithmic trading technique, and the first limb of that definition covers high speed direct electronic access.

The testing, kill functionality and annual self assessment duties apply to investment firms. A retail client trading an automated strategy through a broker meets them indirectly, through the direct electronic access rules the broker must apply to that client.

Investment firmsWho the testing and kill functionality duties bind
Through the broker's direct access controlsHow a retail client meets them
50% of continuous trading hoursQuoting time that triggers market making obligations
5 yearsOrder record retention for high frequency techniques

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