MiFID II

MiFID II regulation will affect several aspects of trading, such as AlgorithmicTrading, Transparency, Best Execution and Trading Obligation.

 

Pricing and Algorithmic Trading

MiFID II requires Investment Firms to:

  • Monitor in real time all trading activity
  • Audit to the competent authority
  • Provide with market making strategy
    – continuously liquidity providing
    – enter on a binding written agreement with venues
    – have in place systems to monitor obligations
    – clearly delineated testing methodology
    – performance simulation
    – non-live testing
    – annual validation process
    – change management definition
  • Define business continuity arrangements

nexRates allows to Fixed Income trading desks a complete traceability and auditability on all real time Pricing, Trading and Quoting activity:

  • Trace all the algorithm sequence (Pricing methods, standard or custom strategies) for each order/quote calculated
  • Trace the user name and related change on configuration or pricing parameters that impact the order/quote
  • All data are available to customer for reporting and analysis

moreover specific functions allow to

  • Monitor obligations via dedicated real time service
  • Publish all compliance data required to APA and ARM

 

Trading Controls

MiFID II requires Investment Firms to:

  • Have the ability to cancel or suspend all firm’s outstanding orders (or a subset of them)
  • Prevent sending of erroneous orders/quotes
  • Set appropriate thresholds and limits

nexRates trading services like the Protection Service (PS) and the Trading Validation Service (TVS) include a wide set of configurable functions that provide:

  • Panic Button features to revoke/suspend with one click all or a predefined set of active orders/quotes
  • Configuration of protection strategies in order to react automatically to market events revoking/suspending predefined active orders/quotes
  • Configuration of Fat-Finger checks
  • Configuration of limits for trader or desk exposure
  • Configuration of price and size limit checks for single order/quote
  • Automatic price validation strategy configurable for orders/quotes