Algo Testing

MiFID II enacts a range of organisational requirements on trading venues that will also impact Participants.

Cboe must require Participants to test algorithms and must provide some facility to support that testing. Cboe intends to implement the requirement on Participants through its rules. Cboe will seek to facilitate Participant testing by simulating a number of conditions as accurately as possible in its UAT environment, including disorderly market conditions.

Specifically, the following conditions will be configured on a range of symbols:

  • Amended Executions (Trade Reports): Confirmed trade reports will have their price and/or size amended up to a maximum of a half hour after confirmation.
  • Cancelled Executions (Orders): Order book executions will be cancelled up to a maximum of a half hour after execution.
  • Cancelled Executions (Trade Reports): Confirmed trade reports will be cancelled up to a maximum of 30 minutes after confirmation.
  • Halted All Day: These symbols will be halted simulating a regulatory halt for the entire day.
  • Halt state toggling: These symbols will toggle between halted and unhalted states on a periodic basis.
  • Low Load: These symbols will be configured with a regular load throughout the entire day of one order per second.
  • Medium Load: These symbols will be configured with a load alternating between one order per second and twenty orders per second, with the higher load having a one-minute interval and five-second duration.
  • High Load: These symbols will be configured with a load varying between one order per second and one hundred orders per second, with the higher load having a three-minute interval and a three-second duration.
  • Burst Load: These symbols will have a base load of one order per second and periodically spike to one thousand orders per second, with the higher load having a ten-minute interval and a one-second duration.
  • Dark and Lit Order Book Loaded: These symbols will have liquidity available in both lit and dark order books, which will be periodically refreshed on execution.

Cboe will continue to enhance the capabilities of its UAT system over time, making it easier for Participants to test a range of algorithms. For example, Cboe plans to introduce a simulated behaviour with large price movements, where execution prices vary +/- 10% from the reference price published in our reference data file.

Cboe recognises that not all Participants operate on a pan-European basis and may specialise within certain geographies. Accordingly, Cboe intends to configure one symbol per listing market for such behaviour. Refer to the following table:

Behaviour Symbols BXE & CXE
Amsterdam Brussels Copenhagen Frankfurt Madrid Helsinki Dublin London Milan Oslo Paris Stockholm Lisbon Vienna Zurich
Low Load ACCELa VANb PNDORc SIX3d TLGOe FIA1Sh KRXi HSTGl IFm SSOo POXELp BRAVs CORu DOCv SKINz
ZPALz
Medium Load BOLSa XIORb SPKSJc LNSXd PSGe ALMAh IL0Ai RSWl BSSm ARCHEo BX4p NDAs SONCu ATRSv CSSMZz
High Load ACOMOa VANb HHc MDG1d ENCe ATG1Vh GN1i MKSl
TATEl
LDm B2Ho ONXEOp LUNDBs SONIu POSv SKINz
Burst Load BGHLa MONTb HARTc DBANd CIEe BAS1Vh BIRGi JLGl PROm MULTIo ATEMEp KLEDs RENEu SEMv GSCIDz
ETR Amended (every 30 mins) DOCDa OPTIb CBRAIc PMOXd PRSe PON1Vh IRESi SMTl IKGm NPROo ABIOp AAKs NBAu FACCv IMPNz
Order Execution Cancelled (every 30 mins) LANSa RESb UIEc ADLd GCOe OREITh EG7i SAGAl RWAYm NANOo TNGp WIHLs CPRu STRv BCHNz
ETR Cancelled (every 30 mins) MACINa RETb EXQc WUWd LREe SUY1Vh JEVi KWEl CEm HFISKo TRIp INDUAs SDCAEu EVNv AUTNz
Large Price Movements (<10% from Reference Price) VTAa SIOEb JDANc TTKd AMPe REG1Vh IPDCi KLRl IINm GIGo GBTp NETBs GLINTu KTCGv MOBNz
Dark and Lit Book Loaded NEDAPa UMIb CHEMMc A1OSd
LBRAd
CAFe ALTIAh A5Gi EMQQl
LKODl
SCTl
IGDm DNOo ATEMEp
L100p
INVEAs IBSu PALv GSCIDz
Halted All Day STRNa QFGb NORDJc LPKd AXIAe PIHLIh DHGi HICLl ACEm GIGo NRXp MYCRs INAu UBSv VATNz
Halted (every 30 mins) KARDa COMBb MOLSc TIMd TUBe CTL1Vh MLCi NTGl DANRm SBOo RINp NOBIs SUCOu PYTv SANNz
Active Trading AGNa
DSMa
HEIAa
INGAa
KPNa
UNAa
VEURa
VUSAa
ABIb
COFBb
COLRb
IBABb
TNETb
VANb
CARLBc
DANSKc
DSVc
HHc
NOVOBc
TOPc
BAYNd
BMWd
CONd
DBKd
DPWd
DTEd
EXX1d
FMEd
IFXd
LHAd
MUV2d
OD7Ld
OD7Sd
RWEd
SIEd
ACSe
CABKe
FERe
IBEe
SANe
TEFe
ATG1Vh
NDAh
OTE1Vh
OUT1Vh
STERVh
WRT1Vh
BIRGi
CRGi
GN1i
KRXi
SK3i
3LOIl
3NGLl
3OILl
AALl
ANTOl
BARCl
BHPl
DGEl
GSKl
IAGl
IIIl
ISFl
LGENl
PRUl
RELl
RIOl
SBIDl
SBRYl
SPDl
TSCOl
VODl
WPPl
3NGLm
3OILm
BMPSm
ENELm
FCAm
ISPm
SRGm
SRSm
AKSOo
B2Ho
DNBo
ORKo
SUBCo
TELo
ACAp
ACp
ALOp
BNPp
CAp
FPp
GLEp
MCp
ONXEOp
RNOp
SANp
VKp
ATCOAs
HMBs
NDAs
SANDs
SEBAs
SHBAs
SKABs
VOLVBs
XACR2s
XACTOs
BCPu
EDPu
GALPu
RENEu
SONIu
SONu
ATRSv
CAIv
EBSv
IIAv
POSv
SEMv
AUSAUz
CBUS5z
COPNz
JPSRTz
LUMXz
ZPALz
Open/Close Auctions ACWDl
LBULl
XMWDl
MSEp
Periodic Auctions PHARMa PROXb ATHENc EVKd
FNTNd
SGREe ROVIOh IR5Bi AJBl
INPPl
NETWl
ENIm YARo EDFp
TCHp
ATCOBs PHRu KTCGv JBGAUz
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