Algorithm Flagging

Identification of Alrogithmic Order Flow is a topic covered by both Swiss and European regulation and will lead to changes on all order and quote interfaces to SIX Swiss Exchange.

 

Two pieces of regulation will drive our solution:

  1. MiFID II - exchanges are expected to record both the execution and decision making algorithms/persons for all order flow.
  2. FMIA - there is a requirement to identify any orders/quotes generated by algorithmic trading as well as the algorithms involved in the creation of any order or quote to the market.

Our Approach

Our goal is to implement a solution fully compliant with Swiss law that provides participants with a consistant implementation for Algorithm Flagging across the EU and Switzerland. We are also aware of the existing German regulation, and are aware of the implementations currently supporting this solution.

The goal is to create a new integer identifier for algorithmic trading that will uniquely identify the algorithms involved in the creation and submission of the order or quote to the market. This identifier would be unique to the participant, who would then be required, if asked, to identify the algorithms involved in the submission of the individual order or quote in question.

This approach will make the exchange compliant with both FMIA and MiFID II.
Implementation with SMR7 (2017)

Swiss Regulation

European Regulation

Q&A