Northbound Algorithmic Trading Reporting

A) Reporting Overview

1.  What is Northbound Algorithmic Trading Reporting?

Under the "Northbound Algorithmic Trading Reporting Guidelines" issued by the Shanghai Stock Exchange (SSE) and Shenzhen Stock Exchange (SZSE) (effective 12 January 2026), Northbound investors who conduct algorithmic trading through Stock Connect and meet any of the reporting thresholds are required to submit a "Northbound Algorithmic Trading Information Report Form" to their Exchange Participant (broker).

2.  Who is required to report?

Reporting is required if any ONE of the following five conditions is met (SSE and SZSE calculated separately):

• [Highly Automated Order Placement]  All core elements of an order (security code, direction, quantity, price, time) are automatically determined by a computer programme.
• [High Order Submission Rate]  10 or more order submissions within 1 second, occurring 10 or more times in a single trading day.
• [Multi-Stock High Turnover]  Daily average trading in 50 or more stocks over the last 30 Northbound trading days, with an annualised turnover rate of 30x or above.
• [Use of Customised Software]  Using self-developed or customised trading software.  (Use of non-customised TWAP / VWAP alone does not fall within this category.)
• [Exchange-Designated Cases]  Other cases designated by SSE or SZSE as requiring reporting.

3.  Submission Deadlines and Arrangements

• New investors: Reporting must be completed before conducting Northbound algorithmic trading for the first time.
• Material change reporting: within the first 5 Northbound trading days of the month following the change.
• If a client fails to complete the required reporting by the specified deadline, we reserve the right to suspend their Northbound trading access until the relevant report has been duly submitted.

4.  How to Submit a Report?

If a client’s trading activities meet the prescribed reporting thresholds (or if the client itself confirms that reporting is required), please follow the steps below:

1. Completion of Reporting Form: Please complete the Northbound Program Trading Information Reporting Form and prepare all relevant supporting documents. Submit the completed form and documents to our firm via email.
2. Verification by Our Firm: Upon receipt of the reporting information, we will review and verify the submission based on the information available to us.
3. Submission to HKEX: Once the verification is completed, our firm will submit the reporting documents to the Hong Kong Exchanges and Clearing Limited (HKEX) through the Exchange Communication Platform (ECP).
   Remarks:

The ultimate responsibility for complying with the Northbound Program Trading Reporting Requirement rests with the investor. Should you have any questions regarding the reporting thresholds or obligations, we recommend that you contact our firm promptly or refer to the relevant regulatory guidelines .

5.  What information is required in the report?

6.  Language Requirements for Report Completion

• Descriptive fields (e.g. strategy overview, execution method):  In principle, to be completed in Simplified Chinese; English may be appended.
• Fields with enumerated values (e.g. funding source):  Must be completed in Chinese; otherwise the upload will fail.
• The following fields may be completed in English only:  Exchange Participant name, account name, software name and version number, high-frequency server address.

7.  Material Change Reporting

A material change report must be submitted within the first 5 Northbound trading days of the following month when any of the following occurs:

(i)   Account capital size increases by 5x or more AND the change in capital size is RMB 10 million or more.
(ii)  Account capital size decreases by 50% or more AND the change in capital size is RMB 10 million or more.
(iii) Source of leveraged funding changes.
(iv)  Leveraged funding size changes by 1x or more AND the change in size is RMB 5 million or more.
(v)   Maximum order submission rate or maximum daily order submission count changes.
(vi)  Primary strategy type changes.
(vii) Algorithmic trading system information changes.
(viii) Account ceases algorithmic trading.

Note:  Routine minor system maintenance (not involving material changes to version, function or parameters) does not require a material change report.

B) Frequently Asked Questions

Q1   I use an automated trading platform provided by my broker (e.g. API-enabled platform). Do I necessarily need to report?

Not necessarily. The key question is whether your trading meets any of the five reporting thresholds. If all core elements of your orders are automatically determined by computer, this constitutes "highly automated order placement" and requires reporting. If you only use non-customised TWAP or VWAP simple order-splitting algorithms and do not meet any other threshold, reporting is generally not required.

Q2 Who bears the reporting responsibility? What are the consequences of failure to report?

The primary reporting responsibility rests with the investor. The broker (Exchange Participant) is required to establish monitoring mechanisms and remind clients of their obligations, but the ultimate reporting responsibility lies with the investor. Failure to report may result in SSE or SZSE issuing a reminder, and potentially imposing self-regulatory or disciplinary measures.

Q3   How is "highly automated order placement" defined?

It refers to orders where ALL core elements — security code, buy/sell direction, order quantity, order price, and time of submission — are automatically generated by a computer programme, regardless of whether the algorithm originates from the investor or from their broker.

Q4   My daily trading normally does not meet the thresholds, but it is occasionally triggered at special times such as index reconstitution. Do I still need to report?

Yes. Reporting is required whenever any threshold is triggered, even once. For example, if the order submission rate threshold is accidentally triggered on an index reconstitution day, you are still required to submit an algorithmic trading information report.

Q5   Can the report form be completed entirely in English?

No. Most fields must be completed in Simplified Chinese. The following fields may be completed in English only: Exchange Participant name, account name, algorithmic trading software name and version number, and high-frequency trading server address. Fields with enumerated values (e.g. funding source) must strictly be completed in Chinese; otherwise the system will reject the upload.

Q6   I hold accounts at multiple brokers. Do I need to report separately at each?

In general, yes — a separate report must be submitted to each broker with the corresponding account's funding information. Exception: institutional investors may designate one "designated broker" to report all funding information centrally; when reporting through other brokers thereafter, the funding information field only needs to state "Already reported to another Exchange Participant".

Q7   How are account capital size and leveraged funding size calculated?

Account capital size:  As of the reporting date, the holding value of the investor's BCAN in the SSE or SZSE stock/fund market (in RMB 10,000; SSE and SZSE calculated separately).
Leveraged funding size:  As of the reporting date, the size of leveraged funds allocated to the SSE/SZSE stock/fund market (in RMB 10,000). Funds obtained through reverse repurchase or pledging arrangements are also considered leveraged funds.
For initial reporting, if capital size fluctuates due to market conditions, the average or stable central value for the one month or one quarter prior to the reporting date may be used.

Q8   How long after a material change must a material change report be submitted?

The report must be submitted within the first 5 Northbound trading days of the month following the month in which the material change occurred. If the material change occurs after market close on the last trading day of the month, that day is still taken as the start date. If the material change reverts before month-end, a report is generally not required; however, changes to the peak maximum order submission rate or maximum daily order submission count still require reporting.

Q9   Is a material change report required for system maintenance and upgrades?

Major upgrades (e.g. core system updates, addition of new trading strategies, modules or risk control modules) require a material change report. Minor routine maintenance that does not involve significant changes to version, function or parameters does not require reporting.

Q10  Can my broker submit the report on my behalf?

Yes. If you authorise your broker via a delegation agreement or other appropriate arrangement, the broker may submit the report on your behalf. However, even in such cases, the broker must still complete the account funding information fields and must proactively obtain the relevant information from you — this obligation cannot be waived.

Q11  I only trade ETFs / funds. Do I also need to report?

Yes. The Northbound algorithmic trading reporting scope covers securities including stocks and funds (e.g. ETFs). If you conduct algorithmic trading in funds and meet the reporting thresholds, you must fulfil your reporting obligations and include "Fund" in the "Trading Instruments" field of the report.

Q12  What is high-frequency trading additional reporting? Does every algorithmic trader need to submit it?

If you meet the high-frequency trading criteria set out in the SSE or SZSE "Algorithmic Trading Management Implementation Rules", in addition to submitting an algorithmic trading information report, you must also submit high-frequency trading additional disclosures (including a system testing report and emergency response plan). Certain investors may apply for exemption (e.g. fund managers that only issue public funds, eligible QFI investors, investors that only engage in order-splitting trading); however, exemption applications require supporting documentation and the final decision rests with SSE / SZSE. There is currently no standard template; investors should complete these according to their actual circumstances.
 
For further details, please refer to the HKEX website.