CFTC Chairman: Managers’ Concerns Over Algorithm Codes Disclosure to Be Addressed
(this article originally appeared on Pension & Investments)
The Commodities Futures Trading Commission will address concerns from market participants over the agency’s proposed Regulation AT, which would require money managers’ algorithm codes to be disclosed to the agency, said Timothy Massad, CFTC chairman.
Separately, Mr. Massad said the CFTC staff is also working on additional stress tests of the five largest clearinghouses in terms of volume — CME Clearing, ICE Clear Credit, ICE Clear Europe, ICE Clear U.S. and LCH Clearnet — to “assess the impact of stressful market scenarios across multiple clearinghouses and clearing members on the same date.”
The tests apply hypothetical scenarios base on real-time events such as the Lehman Brothers collapse and the Brexit vote in June.
A report on those stress tests is expected by the end of the year, Mr. Massad said.
He also said recovery rules for all clearinghouses deemed systematically important by the CFTC would be completed by year-end.
Mr. Massad also said the CFTC was being hamstrung by the failure of Congress to “provide us even a modest increase in our budget. And without additional resources, it is difficult for us to do the job that I believe our markets need and the American people deserve.”
Broker-dealer algorithms are evaluated, normalized and eventually rewarded for their performance.
Algorithms and smart order routing are gaining sway in the Treasury market.
FX traders needs more transparency and tools to deal with venue fragmentation.
New algo uses conditional orders and IEX routing to help traders.
Horizon Software offers more options for clients to customize trading strategies.