The PRA has issued PS12/18 and SS5/18, which sets out the PRA’s expectations of a firm’s risk management and governance of algorithmic trading. The SS applies to all algorithmic trading activities of a firm, including in respect of unregulated financial instruments such as spot foreign exchange. It should be read in conjunction with other applicable requirements, including the Algorithmic Trading Part of the PRA Rulebook and Commission Delegated Regulation (EU) 2017/589.
The areas covered by the SS include the need for a governance framework, an algorithm trading policy and approval process by the firm, and testing and deployment.
The expectations set out in the supervisory statement will take effect from 30 June 2018.