MiFID II: What Are the Testing Implications for Algorithmic Trading, and What Are TT’s Solutions?

MIFID II: BLASTING THROUGH THE DIRECTIVE’S ALGORITHMIC DRAG

WHAT ARE THESE COMBINED TESTS AND HOW ARE THEY APPLIED?

  1. Exchange Latency
    Determines algorithm performance and behavior subjected to trading venue slowness and delays. These include and not limited to impacts such as high volumes, impairment of systems or member/participant activities.
  2. Disconnection Tests
    Determines algorithm performance and behavior impacted by exchange disconnects and reconnects at random time intervals.
  3. Erroneous Orders and Transactions
    Determines algorithm performance and behavior subjected to exchange-induced trade busts executed by the algorithm concerned.
  4. Price Volatility Stress
    Determines algorithm performance and behavior subjected to extremely volatile market conditions that involve significant short-term market volume and price volatility deltas.
  5. Message Rate Stress Tests
    Determines algorithm performance and behavior subjected to specifically high message loads generated by the trading firm’s own activity.
  • “Running high messaging volume tests using the highest number of messages received and sent during the previous six months, multiplied by two.”
  • “Running high trade volume tests using the highest volume of trading reached during the previous six months, multiplied by two.”

ADL®: TESTING CUSTOMER-CREATED ALGORITHMS IN X_TRADER

Assemble, Test, Approve and Launch

Algorithm Management Workflows in TT

TT’S PACT: PREEMPTIVE ALGORITHM COMPLIANCE TESTING

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