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]