ESMA Consults On Algo Trading Impact
The European Securities acOnd Markets Authority (ESMA), the EU’s securities markets regulator, has today launched a consultation seeking input from market participants on the impact of requirements under MiFID II/MiFIR regarding algorithmic trading, including high-frequency algorithmic trading.
— ESMA – EU Securities Markets Regulator 🇪🇺 (@ESMAComms) December 18, 2020
The Consultation Paper covers the overall approach towards algorithmic trading, in particular:
- the authorisation regime;
- provisions for algorithmic and high-frequency traders; and
- provisions applicable to trading venues allowing or enabling these market participants.
Furthermore, the consultation paper addresses crisis-related issues, such as circuit breakers, and contemporary issues closely linked to algorithmic trading, including the deployment of speedbumps and the sequence of trade confirmations to individual participants versus the public disclosure of transactions.
MiFID II/MiFIR requires the European Commission (EC) to present a report to the European Parliament and the Council, after consulting ESMA, on a number of areas under MiFID II/MiFIR including algorithmic trading.
The consultation closes on 12 March 2021. ESMA, based on the input received, will prepare the final review report for submission to the EC by July 2021. Respondents to the consultation are encouraged to provide relevant information, including quantitative data, to support their arguments or proposals.
Patience is a critical factor to consider in trading algorithms, Credit Suisse's Richard Sparrow writes.
Clients can access BARX Book for equities through new order types and algos.
Buy-side use of FX algos also surged in March as volatility increased.
The wrong algorithm can be chosen almost half of the time.
Many of the findings are of broader relevance to other fast-paced electronic markets.