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:

  • Dark Capped: These symbols will be configured to reject any orders that use the MiFID Reference Price Waiver. Read more about our overall approach to the Double Volume Caps.
  • NT Capped: These symbols will be configured to reject any orders or trade reports that use the Liquid Symbol variant of the MiFID Negotiated Transaction Waiver. This includes all routing to dark liquidity partners and Exchange Trade Reports in liquid symbols that do not use the "Subject to conditions other than market price" waiver. To facilitate this testing, Cboe will enable the new Illiquid Symbols variant of the Negotiated Transactions in the CXE UAT environment, leaving the BXE UAT environment in a pre-MiFID II configuration. Read more about our overall approach to the Double Volume Caps.
  • Dark and NT Capped: These symbols will be configured with both combinations of waiver blocks configured.
  • Amended Executions (Orders): Order book executions will have their price and/or size amended up to a maximum of a half hour after execution.
  • 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
Dark Capped BBEDa TUBb SOLABc TTId RDMe FIS1Vh KRXi ESURl EUKm KOGo VLAp NIBEBs SNCu FLUv LLYz
NT Capped ESPa PICb VELOc HABd SAYe HKSAVh YZAi OXIGl GEOm IDEXo EDLp AXISs MPIOu ATSv BUCNz
Dark & NT Capped TFGa THRb BIOPOc SKBd LOGe ORNAVh GL9i MGAMl SNAm SNIo DBGp HEMFs IPRu MMKv NIBEBz
Low Load ACCELa REAb ICc SIX3d TLGOe FIA1Sh GCCi HSTGl IFm SSOo POXELp BRAVs CORu DOCv BCVNz
Medium Load BOLSa XIORb SPKSJc LNSXd PSGe MUNK1h IL0Ai RSWl BSSm ARCHEo LEYp COMHs SONCu ATRSv EVEz
High Load ACOMOa VANb HHc MDG1d ENCe ATG1Vh GN1i BBOXl LDm NSGo ONXEOp LUNDBs SONIu POSv PWTNz
Burst Load BGHLa MONTb HARTc DBANd CIEe BAS1Vh HBRNi JLGl PLTm MULTIo BOIp KLEDs TDSAu SEMv TECNz
Order Execution Amended (every 30 mins) KAa BNBb TKDVc QSCd GRFPe KESAVh IR5Bi PZCl MARRm KIDo BENp PNDXBs CFNu SPIv VONNz
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 WWASAo GBTp NETBs GLINTu KTCGv MOBNz
Dark and Lit Book Loaded NEDAPa VIOb CHEMMc GFKd CAFe AKTAVh AIB1i SCTl IGDm WEIFAo LATp INVEAs IBSu PALv YPSNz
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
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