Entire Section

  • AMI A1.3.1 AMI A1.3.1

    (1) An Authorised Market Institution must implement standardised conformance testing procedures to ensure that the systems which its Members are using to access facilities operated by it have a minimum level of functionality that is compatible with the Authorised Market Institution's information technology systems and will not pose any threat to fair and orderly conduct of its facilities.
    (2) An Authorised Market Institution must also require its Members, before commencing live operation of any electronic trading system, user interface or a trading algorithm, including any updates to such arrangements, to use adequate development and testing methodologies to test the viability and effectiveness of their systems.
    (3) For the purposes of (2), an Authorised Market Institution must require its Members:
    (a) to adopt trading algorithm tests, including tests in a simulation environment which are commensurate with the risks that such a strategy may pose to itself and to the fair and orderly functioning of the facility operated by the Authorised Market Institution; and
    (b) not to deploy trading algorithms in a live environment except in a controlled and cautious manner.
    Derived from RM118/2013 [VER15/07-13]

    • AMI A1.3.1 Guidance

      When assessing whether the trading algorithm testing plan of its Members is adequate and appropriate and implemented effectively, an Authorised Market Institution should consider whether:

      a. it includes testing where the markets in which the algorithm is to be used change in structure;
      b. the Member has taken into account any limits that are being placed on the number of Investments to be traded on, and the value and number of orders to be sent to, the facility operated by the Authorised Market Institution;
      c. the algorithm works effectively in stressed market conditions, including whether it can be switched off in appropriate circumstances; and
      d. it includes adequate independent auditing of the Member's testing procedures.
      Derived from RM118/2013 [VER15/07-13]