28 October 2016
Visit dh.com

Nasdaq OMX fines ABN Amro for algo blunder

14 January 2014  |  1764 views  |  0 Source: Nasdaq OMX

The Disciplinary Committee has issued a ruling in which ABN Amro NV is required to pay a fine in an amount corresponding to SEK 200.000.

On the morning of August 28, 2013 the SEB A share opened significantly lower than the previous day, and the Exchange subsequently decided to cancel all trades that had taken place in the opening cross.

A contributing factor to the incident was that ABN deleted a number of orders a short time before the opening. The order deletions were initiated by an algorithm used by Algorithmic Trading Group (ATG), a sponsored access client acting through ABN Amro. Said algorithm registered, amended and cancelled the orders in a manner that would never make the orders eligible for execution in the auctions. The orders were automatically amended or cancelled as soon as the limit price would equal or cross the equilibrium price of the order book. An order that is not possible to execute is not to be considered to represent true liquidity and does not constitute a genuine order. It also lacks commercial purpose.

According to NASDAQ OMX Nordic Member Rules section 4.6.1 orders placed in the Order Book must not only reflect the current market value of the instrument but also constitute genuine orders and trades, and section 4.6.2 states that a member may not place orders which are devoid of commercial purpose. In the case at hand these provisions have been violated. Pursuant to NMR section 4.10.3 a member has the same liability for orders which are placed through Sponsored Access as for orders which the member places in any other manner.

Comments: (0)

Comment on this story (membership required)

Related company news


Related company information

ABN Amro

Related blogs

Create a blog about this story (membership required)
Find out moreVisit VocaLink.comVisit dh.com

Top topics

Most viewed Most shared
Monzo raises £4.8mMonzo raises £4.8m
9111 views comments
CBA and Wells Fargo combine blockchain and IoT to revolutionise trade financeCBA and Wells Fargo combine blockchain and...
8936 views comments | 26 tweets | 32 linkedin
hands typing furiouslyThe day I realized Fintech was becoming ju...
8866 views 2 | 24 tweets | 9 linkedin
Robo-advisors not ready to replace humans - Credit Suisse execRobo-advisors not ready to replace humans...
8503 views comments | 19 tweets | 18 linkedin
China emerges as fintech powerhouse as UK dominance weakensChina emerges as fintech powerhouse as UK...
8314 views comments | 31 tweets | 27 linkedin

Featured job

Find your next job