MiFID II enacts a range of organisational requirements on trading venues that will also impact Participants.
Bats must require Participants to test algorithms and must provide some facility to support that testing. Bats intends to implement the requirement on Participants through its rules. Bats 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:
- 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.
- 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, Bats 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.
- These symbols will be configured with both combinations of waiver blocks configured.
- Order book executions will have their price and/or size amended up to a maximum of a half hour after execution.
- Confirmed trade reports will have their price and/or size amended up to a maximum of a half hour after confirmation.
- Order book executions will be cancelled up to a maximum of a half hour after execution.
- Confirmed trade reports will be cancelled up to a maximum of 30 minutes after confirmation.
- These symbols will be halted simulating a regulatory halt for the entire day.
- These symbols will toggle between halted and unhalted states on a periodic basis.
- These symbols will be configured with a regular load throughout the entire day of one order per second.
- 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.
- 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.
- 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.
- These symbols will have liquidity available in both lit and dark order books, which will be periodically refreshed on execution.
Bats 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, Bats 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.
|Behaviour||Symbols BXE & CXE|
|Dark & NT Capped||TFGa||THRb||BIOPOc||SKBd||LOGe||ORNAVh||GL9i||MGAMl||SNAm||SNIo||DBGp||HEMFs||IPRu||MMKv||NIBEBz|
|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|