IOSCO report on mechanisms for managing extreme market volatility

On 1 August 2018, the International Organization of Securities Commissions (IOSCO) published a final report on mechanisms used by trading venues to manage extreme volatility and preserve orderly trading. In particular, the final report discusses: the various automated mechanisms used by trading venues to halt or constrain trading during extreme volatility events; the process for establishing and monitoring the thresholds and reference prices used in these mechanisms; how and what kind of information regarding the design, operation and triggering of these mechanisms is disseminated to regulatory authorities, market participants and the public; and the level of communication between trading venues both inside and outside the trading venue’s home jurisdiction. The final report identifies the use of price constraint mechanisms that reject or constrain certain orders rather than halt trading and allow trading and price formation to continue. It further identifies the…

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