BELGIUM: FSMA Guidelines on Calibration of Circuit Breakers and Trading Halts under MiFID II

Tuesday September 5 2017

The Financial Services and Markets Authority (FSMA)  has stated, that it will incorporate the European Securities and Markets Authority (ESMA) Guidelines into its supervisory regime.

From the 3^rd of January 2018, these Guidelines will be applicable to all trading venues which are under FSMA supervision

The Guidelines focus on the calibration of circuit breakers by trading venues that allow or enable algorithmic trading on their system. The Guidelines are compliant with Article 48, § 5 of MiFID II.

The purpose of the guidelines is to provide clarity on the procedures issued by ESMA   on calibration of circuit breakers by trading venues that allow or enable algorithmic trading on their systems, and the application of such guidelines by FSMA and its trading venues. Trading venues should calibrate their circuit breakers according to a pre-defined, statistically supported methodology, taking the following non-exhaustive list of elements into account:

• the nature of the financial instrument;
• the liquidity profile and the quotation level of the financial instrument;
• the volatility profile of the financial instrument;
• the order imbalance;
• trading venue mode and rules;
• internal references (such as opening price, closing price, etc.);
• external references (such as cash and futures contracts);
• duration of the halts,
• newly issued instruments.

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