This is with reference to Exchange circular nos. 20240205-29, dated February 05, 2024 and 20240209-56 dated February 09, 2024 regarding Pre-Trade Risk Control - Enhancements to Market price order in Equity Derivatives segment.
Trading members are hereby informed that changes pertaining to enhancements to market price order shall now be made applicable for live trading in Equity Derivatives segment with effect from Monday, February 26, 2024. To facilitate the roll-out, the changes shall be available during the mock trading session on Saturday, February 24, 2024. Details of mock session timings shall be communicated via a separate circular.
Important Note:
In view of enhancements in market order matching behaviour published vide circular 20240205-29, dated February 05, 2024, trading members and third-party trading application vendors are requested to note the following –
As highlighted in point no.6 of the above-mentioned circular, in certain cases, if the incoming market order is partially executed, the remaining unexecuted quantity shall be converted to a passive limit price order at the best price on same side of the order book, based on price-time priority. This limit price may or may not be same as LTP at that time.
- In such cases, as given in the ETI API ver. 1.6.8, the member’s front-end trading application will receive the immediate execution response (10103) followed by extended order information (10117). In Immediate execution response (10103), the FillPx (1364) field will provide the trade price (for partially traded quantity) along with other information and extended order information (10117) will have the Price (44) field populated with limit price at which the remaining unexecuted quantity was passivated in the order book, along with other field information.
- This message sequence, where immediate execution response is followed by extended order information, shall be applicable only in case of remaining unexecuted quantity of the market order getting converted to passive limit price order. However, if a market order is fully traded or partially traded with remaining unexecuted quantity getting cancelled (as stated in point no.5 of the above-mentioned circular), then only immediate execution response message shall be sent.
Trading members and trading application vendors are requested to make a note of this and handle the case in their respective front-end trading applications if not handled.
Further, trading members are also requested to note that the enhancements to market price order shall be made applicable in the Equity segment with effect from Monday, March 18, 2024. Details related to the enhancements shall be communicated via a separate circular shortly.
In case of any queries, members may kindly get in touch with their Relationship Manager or with the concerned teams as per following contact details –
For & On Behalf of BSE Ltd.,
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Arvindkumar Iyengar
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Vivek Garg
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Chief General Manager
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Sr. General Manager
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I.T. Development
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Trading Development
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February 14, 2024
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