Consequently, the Code has been updated to provide more guidance on the minimum set of information that algo providers should be disclosing. In addition, the GFXC is encouraging providers to make their disclosures in a standardised format. Accordingly, the GFXC has developed an Algo Due Diligence Template that market participants may use, as appropriate. This is available on the GFXC’s website.
As the use of algos increases, it is important that market participants are able to evaluate their performance. But the barriers to conducting meaningful analysis on algos can be high. For this reason, the GFXC believes that Transaction Cost Analysis (TCA) would benefit from greater harmonisation of data reporting.