19 October 2017
visit www.avoka.com

Nasdaq OMX fines ABN Amro for algo blunder

14 January 2014  |  2016 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)
visit www.fivedegrees.nlvisit www.capgemini.com

Top topics

Most viewed Most shared
Ripple looks to drive bank adoption with $300m XRP rebate programmeRipple looks to drive bank adoption with $...
15602 views comments | 12 tweets | 4 linkedin
Swift positive on blockchain, but big challenges remainSwift positive on blockchain, but big chal...
8777 views comments | 16 tweets | 22 linkedin
hands typing furiouslyHow artificial intelligence can deliver a...
8427 views 0 | 8 tweets | 10 linkedin
satelliteGates Foundation backs Ripple collaboratio...
7872 views comments | 13 tweets | 10 linkedin
IBM uses blockchain to improve cross-border payments processingIBM uses blockchain to improve cross-borde...
7012 views comments | 9 tweets | 17 linkedin

Featured job

Competitive base + commission + benefits
New York City, NY - USA

Find your next job