24 June 2017
Visit cib.db.com

Nasdaq OMX fines ABN Amro for algo blunder

14 January 2014  |  1929 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)
download the report nowvisit wavestone-advisors.co.ukvisit www.finastra.com

Top topics

Most viewed Most shared
Live: EBAday 2017, day twoLive: EBAday 2017, day two
9478 views comments | 4 tweets | 5 linkedin
Worldpay pilots app-only mPOS for small retailersWorldpay pilots app-only mPOS for small re...
9114 views comments | 18 tweets | 27 linkedin
Live: EBAday 2017, day oneLive: EBAday 2017, day one
8636 views comments | 3 tweets | 4 linkedin
UK banks will need to change one million sort codes under ring-fencing rulesUK banks will need to change one million s...
8133 views comments | 8 tweets | 25 linkedin
What Banks and their customers can expect for the futureWhat Banks and their customers can expect...
7054 views comments | 7 tweets | 10 linkedin

Featured job

Six Figure Base + Commission + Stock Options
London

Find your next job