Under Swiss law pre-trade controls refer to the trading venue's obligation to have controls in place to reject orders that exceed pre-determined volume and price thresholds or are clearly erroneous.
MiFID II requires a minimum of pre-trade controls for each traded instrument which are price collars, maximum order value and maximum order volume.
In order to be compliant with the Swiss and European Regulation, in addition to the existing circuit breakers, SIX Swiss Exchange as well as SIX Corporate Bonds will implement the following controls: price collars, maximum order value and maximum order volume by instrument.
|Price collars||The system should automatically block or cancel orders that do not meet certain parameters|
|Maximum order value||The system should automatically block or cancel orders if the value exceeds a certain limit|
|Maximum order volume||The system should automatically block or cancel orders if the order size exceeds a certain limit|
Details of limits and implementation is scheduled for 2017.
Art. 30: Guarantee of orderly trading
Art. 30 (para. 2 lit. d): Guarantee of orderly trading
- MiFID II;
Art. 48 (para. 4): Systems resilience, circuit breakers and electronic trading
RTS 7 (Art. 18, 20): Organisational requirements of regulated markets, multilateral trading facilities and organised trading facilities enabling or allowing algorithmic trading through their systems
Q: If suspended from trading, can I still receive market data feeds and report trades?
A: When participants or traders are suspended from trading in some way as well as when orders or trades of them are cancelled, they shall still be able to receive market data via MDI/MDDX (but not via IMI) and report off-exchange trades. Only on-exchange trade reporting is suspended.
Q: Which services are more or less affected by the pre-trade controls topic?
A: - On-book trading including Sponsored Access
- Dark book trading including SLS and SwissAt Mid
- On exchange reporting
Q: How will the Price collar be determined?
A: For on-book and SwissAtMid services the collar is defined by:
rp/pf < Order/Quote Price < rp*pf where; price factor (pf), previous days reference price (rp)
SLS is under evaluation.
Q: How will the Maximum order value be implemented?
A: Maximum value in CHF defined per Trading Segment used in on-book, SwissAtMid (-SLS is under evaluation).
Q: How will the Maximum order volume be determined?
A: Derived from maximum value and previous day's reference price used in on-book, SwissAtMid and SCB (-SLS is under evaluation).
Q: What are the pre-trade control limit validations for SCB?
A: For SCB only a maximum order volume validation shall be applied based on the remaining amount of each bond which is already part of the reference data that SCB receives. Price collar and maximum order value validations are not required due to the market model.