Manual for Algorithmic Trading Application
on SET and TFEX
Content
1. Type of Algorithmic Trading application ............................................................................................................ 2
2. Recommendations for the PTRM system preparation ...................................................................................... 4
3. Application Process ............................................................................................................................................. 6
3.1 First-time application ......................................................................................................................................... 7
3.2 Subsequent application ................................................................................................................................... 10
Appendix
Schedule 1: Recommendation for Members in Determining the Framework for Risk Control (Risk
Governance & Framework) .................................................................................................................................... 12
Schedule 2: Other Information Related to the use of Algorithm Trading.......................................................... 13
Schedule 3: Related Fees ....................................................................................................................................... 14
Trading via Algorithmic Trading
Algorithmic Trading, also known as automated or pre-programmed trading or robot trading, refers to a process
of submitting trading orders using programs or software that automatically placing orders based on
predetermined conditions. These conditions may include placing orders at volume-weighted average price
(VWAP) or at the market price when it is lower than program-calculated price. Prominent features of Algorithmic
Trading include the ability to submit trading orders without constantly monitoring market conditions, making
emotional-free trading decisions, and promptly placing orders that require complex calculations of price or
volume.
Both the Stock Exchange of Thailand (SET) and the Thailand Futures Exchange (TFEX) permit all types of
investors to use Algorithmic Trading (in this document, collective as “Users”) provided that Users shall obtain
prior permission from SET and TFEX and place orders through an approved Pre-Trade Risk Management
(PTRM) of a member. In this regard, members are responsible for contacting SET and TFEX to apply for
Algorithmic Trading on behalf of their customers. The approval process of Algorithmic Trading does not required
Users to disclose the source code of their Algorithmic Trading program, as the focus is on the overall market
impact and the risk controls. On this basis, members will collaborate with Users to conduct risk management
test on the provided test script under the test environment provided by SET and TFEX.
This document serves as a guideline for Algorithmic Trading application procedures, including the type of
application, required documents and application process. Nonetheless, the usage of Algorithmic Trading
involves additional elements such as the software used to connect to the Exchange, the trading user for sending
orders and trading information etc.; Additional details can be found in Schedule 3.
Manual for Application to Use Algorithmic Trading 1
1. Type of Algorithmic Trading application
The usage of Algorithmic Trading requires the User to submit orders through the approved PTRM of a
member. There are two types of PTRM system: one that accommodates a specific trading strategy, and
one that accommodates several trading strategies.
The differences between the two types of PTRM application can be summarized as follows:
1.1) Application for Algorithmic Trading via the PTRM which accommodates a specific
trading strategy (SET only)
This application is for each specific trading strategies that the User intends to use. SET will assess
the risks and measures to control related risks that may impact the overall trading system and trading
conditions resulting from the specific strategies applied. An advantage of this application process is
that the member is able to prepare the PTRM specific for their applied strategy, resulting in lower
resource usage and the ability to promptly enhance the readiness of the PTRM. Nonetheless, in case
the User wish to adopt additional trading strategies after the existing strategy has been approved by
SET, the member will be required to apply for another PTRM that can manage the risk arising from
the new strategies.
1.2) Application for Algorithmic Trading via the PTRM which accommodates several trading
strategies (SET & TFEX)
A member is able to apply for the PTRM to accommodate Algorithm Trading involving several trading
strategies. The submitted PTRM must be able to control various types of risks with a broader coverage
than the PTRM for a specific trading strategy. An advantage of this type of application is that it allows
flexibility in onboarding new trading strategies after the approval. In this regard, in case the existing
approved PTRM is able to control the risks from the new strategies, the member can onboard new
trading strategies without submitting additional application. The member must be responsible for
recording information on the type of trading strategies and submit such information to SET and TFEX
annually or upon request. Nevertheless, in case the existing PTRM deems to be unable to control the
risks from the new trading strategies, the member is responsible for improving the PTRM and
submitting additional application before onboarding the new strategies.
Manual for Application to Use Algorithmic Trading 2
Summary of the Type of Application for Algorithmic Trading
Type of Application SET TFEX Pros Cons
Submission of ✓ Not Use less resources since Must submit additional
orders via the PTRM Allow applicable members are able to application in case new
which develop PTRM specific to strategies are introduced
accommodates only
the specific strategy
a specific strategy
Submission of ✓ ✓ After obtaining the Must develop the risk
orders via the PTRM Allow Allow permission, in case the management system to be
which approved PTRM is able to able to control risks with a
control the risks from the
accommodates broader coverage than
new strategies, new
several strategies PTRM for specific strategy.
strategies may be
introduced without
additional application
Members who obtained permission before 8 May 2023
Members who obtained permission for Algorithmic Trading in SET before 8 May 2 0 2 3 may contact the
Securities Trading Department to inquire about the type of Algorithmic Trading permission you have obtained.
Manual for Application to Use Algorithmic Trading 3
2. Recommendations for the PTRM system preparation
In preparing the PTRM system for both SET and TFEX, members shall establish and implement clear risk
management policy and measures (additional details are in Schedule 1) and shall possess the minimum
tools for the follow-up and management of risks as follows:
• Kill Switches: Member must have the ability to activate Kill Switches, which can promptly halt sending
new orders and cancel all outstanding orders sent by Algorithmic Trading.
• Order Verification: A robust order verification system must be in place to ensure compliance with the
Exchange’s rules such as the security names, the order types, price, volume, price range etc.
• Client screening and Risk assessment. Daily credit limit controls must be implemented for each client,
and members must ensure that clients acknowledge and accept the risks associated with the use of
Algorithmic Trading.
• Prevention of Inappropriate Trading Orders: Member must establish a screening system or process
to identify and prevent the submission of trading order that may potentially violate regulations on false
market and/or relevant laws. In this regard, such prevention shall apply to the level of individuals, not
pursuant to the types of accounts of the individuals (such as cash account, cash balance account, credit
balance etc.). Examples of prevention include price control, prevention of continuous purchase or sale
at several price levels, and prevention of Wash Sale orders etc.
• Real-time Monitoring and Alert System: A real-time monitoring and alert system should be in place to
promptly identify and address any potential issues or troubleshooting needs.
• Supervision of Software Configuration and Amendment: Member must have the ability to oversee
and manage the configuration and amendment of the software and its parameters, both by their clients
and member’s officer.
• Annual Review of Risk Management System and Algorithmic Trading parameter: A comprehensive
risk management policy and process must be established to review the risk management system and
algorithmic trading parameter at least once per year.
• Recordkeeping: Record of Algorithmic Trading activities and any modification to the parameters should
be kept to facilitate inspections by the exchange.
• User manual and training: Members should provide a user manual or conduct training sessions for
both officers and clients who engage Algorithmic Trading.
• Troubleshooting Procedure and Manual: A troubleshooting procedure, along with detailed
troubleshooting manuals specifying authorized personnel and remedy process, should be developed.
The application for Algorithmic Trading will focus on the functions and the parameter of member’s PTRM
system such as whether and how the system can prevent submission of orders which result in drastic and
Manual for Application to Use Algorithmic Trading 4
sudden change in the price within a short period of time etc. To assist members in this process, SET and
TFEX have prepared the minimum guideline which the PTRM system should comply. Members may refer
to the parameter in the below guideline as a reference.
SET Guidelines on Risk Management Regarding approval Algorithmic trading (Algo)
TFEX Guidelines on Derivatives Contracts Trading Procedures
However, members may configurate parameters different from the guideline above provided if such
parameters are able to prevent or control the submission of orders which may cause the price, volume or
trading conditions to deviate from the normal market conditions.
Manual for Application to Use Algorithmic Trading 5
3. Application Process
Application for Algorithmic Trading for SET and TFEX shall be undertaken separately albeit the process,
supporting documents and the guideline for application are similar.
Application Flow
START Member action
(3.1)
SET / TFEX action
Type of
application Adjust PTRM and
PTRM which re-apply
accommodates only PTRM which
specific trading accommodates
strategy several trading strategies
(SET only) (SET and TFEX)
Submit application Submit application
and system testing and system testing
Feedback / Feedback /
inquiry inquiry
SET Review SET/TFEX
Review
Approve Approve
Go live Go live
No
Add more Add more Existing PTRM
trading strategies? trading strategies? is able to control
Submit another application risks.
for new strategy (3.2)
Yes
Allow to onboard new trading
strategies without additional
application.
Manual for Application to Use Algorithmic Trading 6
3.1 First-time application
Relevant forms
Members may fill in the required forms for Algorithmic Trading Application at Member Digital Form:
https://www.setportal.set.or.th
Document Description
MO-Member 1 Request Form for Connection of the Company’s Computer System to
the Trading System of SET / TFEX
This form is for notifying the Exchange about any change regarding
connection to SET and TFEX.
MO-PROG1 Application for the Program Trading / Algorithmic Trading Software
This form is for indicate the details of Algorithmic Trading orders.
MO-Compliance1 Details of trading supervision through member system
This form is to declare the details on risk management, along with its test
result.
MO-API 1 Form for Reporting the Intention to Utilize the API User on the SET
CONNECT System
This form is for request Trading Users.
Supporting documents
Document Description
Solution A document showing the details of hardware and software used in the
Description and connection (to be submitted together with MO-Member1)
Specification
System and The details and diagram showing the connectivity (to be submitted
Network Diagram together with MO-Member1)
User’s Name and details of the User (to be submitted prior onboarding the
Information approved Algorithm Trading)
Manual for Application to Use Algorithmic Trading 7
Application process
1 Submit the application via the Member Digital Form system
The officers of members who have log-in user of Member Digital Form can submit the
application at https://www.setportal.set.or.th
2 Test PTRM system and submit the testing result
Members may use the test script, username and password shown in the Member Digital Form
to conduct the test under the test environment provided by the Exchange. Members are required
to take a screenshot of the test result or present other testing evidence in the application form;
the screenshot or testing evidence must clearly show the testing date and time. The application
must also specify the name of the persons conducting the test.
The test result along with other required documents can be submitted online by the authorized
person of the member.
3 SET / TFEX considers the application
In case SET / TFEX has additional questions or recommendations concerning improvement
to the PTRM system, members may be required to coordinate with Users in order to submit
additional information or conduct additional test.
4 SET / TFEX grants the permission
After SET / TFEX grants the permission, members shall notify the information of investors who
wish to use Algorithmic Trading system to SET and TFEX before onboarding the Algorithmic
Trading.
Manual for Application to Use Algorithmic Trading 8
Manual for Application to Use Algorithmic Trading 9
3.2 Subsequent application
If the first application is
Members are required to submit new application in
for a specific strategy
order to onboarding new strategies pursuant to 3.1
(SET only)
Members are required to assess whether the approved
If the first application PTRM is able to control the risks from the new trading
is for the PTRM which strategies. If yes, the new trading strategies may be
accommodates onboarded without additional application.
In this regard, members shall keep the information on
several strategies
strategies used, such as summary of the number of
passive strategies or aggressive strategies used within
the previous year etc., and submit the information to
SET/TFEX at least once per year or upon request.
Nonetheless, if the existing PTRM system deems to be
unable to control the risks from the new trading
strategies, members must improve the PTRM system
and re-apply the PTRM with SET / TFEX before
onboarding the new strategies.
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Manual for Application to Use Algorithmic Trading 10
Relevant regulations
SET
o GorKor.(Wor)002/ 2023 Notification for the Revision of Guideline on Risk Management for
Algorithmic Trading Pre-trade Usage Approval (Algorithmic Guideline)
o Bor.Sor./Sor.01-27 Procedures on Trading, Clearing and Settlement of Securities in the Exchange
B.E. 2560 (2017)
o Practice Guideline regarding Trading, Clearing and Settlement of Securities in the Exchange (No. 3)
TFEX
o Guidelines on Derivatives Contracts Trading Procedures
o Code of Conduct on Derivatives Trading
Manual for Application to Use Algorithmic Trading 11
Appendix
Schedule 1: Recommendation for Members in Determining the Framework for Risk Control
(Risk Governance & Framework)
Members shall have well-defined risk management policy in place. Examples of important elements for risk
control framework are as follows:
1. Policy and methods for managing risks associated with trading orders
• Establish a risk management policy and process for submission of trading orders using
Algorithmic Trading such as policy on development, testing and deployment of the system, policy
on supervising the use of Algorithmic Trading by customers and policy on reviewing of risk
management procedure regularly etc.
• Designate a specific supervision unit responsible for ensuring compliance with the prescribed
policy and risk management framework. Clearly define the roles and responsibilities of this unit,
including supervision of Algorithmic Trading activities, signoff process, decision-making for new
strategies or change to existing strategies, incident response, and regularly review of the risk
management measures and relevant parameters.
2. Procedures and process for troubleshooting
• Develop clear procedures and process for addressing day-to-day problems promptly and
efficiently and assign authorized persons to make decision on relevant matters.
• In the event of system issues or technical problems related to Algorithmic Trading that could
potentially cause abnormality or impact the overall market, the member should immediately notify
SET / TFEX and collaborate in formulating an action plan to minimize the market impact.
3. Policy and procedures for recording information for inspection or reference (audit trails)
• Implement the system to record all transactions related to Algorithmic Trading, including
procedures, trading strategies, supervision, development and deployment.
• Collect and record reports on risk management measures, changes to the Algorithmic Trading
parameters, customers information, employed strategies, and incident report.
4. Educate the related personnel and Users regarding the usage of the orders submission system and
Algorithmic Trading
• Provide trainings to relevant officers to enhance their understanding of Algorithmic Trading,
including operating principles, risk control, problems identification, and methods for addressing
preliminary issues.
• Provide training to Algorithmic Trading Users to ensure they possess sufficient knowledge and
understanding for effective usage.
Manual for Application to Use Algorithmic Trading 12
Schedule 2: Other Information Related to the use of Algorithm Trading
When considering the application for Algorithmic Trading, members should also take into account the following
details:
1. Software used for the connection
The trading connection between members and SET/TFEX is facilitated through a software developed by
an Independent Software Vendor (ISV) who has passed the certification test for connection to the trading
system of SET and TFEX. A list of certified ISVs can be found here. In case a member intended to use
a software that has not yet certified, the system developer can request certification by contacting
ISV_Access_Support@set.or.th.
2. Trading User
Members are required to submit trading orders via an API User. To request additional API User, members
can access the Member Digital Form system here: https://www.setportal.set.or.th.
3. Throttle
Throttle is one of the risk control mechanisms used to manage the amount of information that can be
sent via the API User between members and SET/TFEX. At present, members may send information up
to 25 messages per second per throttle for SET, and up to 10 messages per second per throttle for TFEX.
In case members wish to request for additional throttle, they can submit a request through the Member
Digital Form system: https://www.setportal.set.or.th.
4. Trading information
In case Users wish to incorporate real-time trading information into their Trading Algorithm, members may
contact the Information Services Department for additional details at infoproducts@set.or.th.
Manual for Application to Use Algorithmic Trading 13
Schedule 3: Related Fees
At present, SET and TFEX do not charge service fee for the application for Algorithmic Trading. Other services
related to the use of Algorithmic Trading are available as below.
Service Fee Remarks
Service fee for the application for No fee
Algorithmic Trading and for system testing
System testing fee No fee
Trading User fee Baht 5,000 per User Optional (depending on
Throttle fee SET: Baht 125,000 per month the connectivity design by
per 1 Throttle members)
TFEX: Baht 10,000 per month
per 1 Throttle
Trading information fee Depending on the type of usage Members may contact the
Information Services
Department for additional
information at
infoproducts@set.or.th
Note: Data as of April 2023
Manual for Application to Use Algorithmic Trading 14
