Under Art. 25(2) of Regulation (EU) No 600/2014 and RTS 24 (Delegated Regulation No. 2017/580), trading venues shall keep at the disposal of the competent authority the relevant data to identify the algorithm of the participant primarily responsible for the investment decision or the execution of a transaction.
Participants assign Algo IDs to their respective algorithms, which have to comply with the requirements of Art. 48(6) of Directive 2014/65/EU and Art. 10 of RTS 7 (Delegated Regulation 2017/584). In accordance with these requirements, EEX has to request that all participants execute a conformance test for their algorithms in a testing environment before the algorithms are used in production in order to avoid market disturbance. After 3rd January 2018 this is valid for each new algorithm andfor substantial changes to existing algorithms; algorithms include Quote Machines and also algorithms already in use.
Each member who intends to use an algorithm has to submit a formal application to EEX Group and return the form “T11” with the respective data and duly signed. The application can be found under this link: Access > Admission (Existing Trading Participant > "Change in technical connection”).
Participants using or intending to use any algorithms have to provide the form by 1 December 2017 at the latest to ensure readiness before the rules of MiFID II come into effect, please see also our email letter dated 27 October 2017.
EEX will provide a test area for its T7 trading system and has adapted its technical implementation regulations accordingly.
The Algo_ID has to be defined by the member. It has to be a numeric value with 19 figures due to technical specification. The value has to be included directly in the respective field within the order form, no short code mapping may be applied. Most of the front end system provider with respective algorithm functionalities will set the Algo ID’s. Please contact your provider.
EEX considers systems that only manage Iceberg Orders not to be systems for algorithmic trading in the sense of MiFID II.