A global Tier-1 Investment Bank needed to review their approach to MiFID II RTS 6 regulatory obligations for their Algorithmic Trading and Direct Electronic Access (DEA) activities.

The bank wanted to ensure their Algo Trading Governance Framework was proportionate and appropriate to its algorithmic trading activities. In particular, the firm wanted to ensure its approach to Algorithm Testing, including its use of Internal and External(Trading Venue provided) Testing Environments, was broadly in line with industry best practices.

Outreach to industry advocacy groups and peer firms was carried out to gather insight on approaches and interpretations being adopted. A review of the bank’s existing interpretations and processes was conducted. The bank’s policies were assessed for alignment with industry practice and any adjusted interpretations.

As a result, the bank adjusted its policies and procedures for:

·        Algorithm Testing: adopting a more risk-assessment-based testing approach

·        Change Management: adjusting for assessment of material impact of change

·        Documentation: ensuring the production of appropriate artefacts to support regulatory enquiries and audits

A strategy for continuous engagement with industry advocacy groups and peer organisations was also established.

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