This is pursuant to the Exchange circular no. 20231027-46, dated October 27, 2023, regarding Advisory on the market order feature whereby the trading members have been advised to exercise due care while placing market orders and monitor effective use of the same in their systems. Based on feedback received from market participants and with a view to further strengthen the pre-trade risk control measures to ensure orderly trading and effective risk management, it has been decided to implement certain changes to the market price order feature.
Trading members are hereby requested to note the following enhancements which shall be implemented for market price orders (day as well as IOC orders) –
1. Market price orders shall be rejected in a security which has not traded for the day, i.e. LTP has not been discovered in that security.
For securities where LTP for that day has been discovered,
2. Market price orders shall be allowed to be traded only up to a price range based on pre-defined market price impact (MPI) percentage of the last trade price (LTP) of that security.
- For buy orders, it shall be up to X% higher than LTP.
- For sell orders, it shall be up to X% lower than LTP.
3. This price range of X% higher/ lower than LTP, shall also be subject to minimum absolute value in rupee terms.
4. Further, members/traders can define MPI% for every market price order, such that 0% =< trader-defined MPI% =< X%.
- Amongst the trader-defined MPI% and Exchange-defined MPI%, lower MPI% shall be considered during order matching, irrespective of minimum absolute value.
- However, if trader has not defined MPI% with the market price order, then Exchange-defined MPI% shall be applicable for such orders, subject to minimum absolute value.
5. If price of opposite side orders is beyond the MPI price range, then the entire incoming market price order (or remaining order quantity if it is partially executed) shall be cancelled.
6. If there are no opposite side orders, then the entire incoming market price order (or remaining order quantity if it is partially executed) 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.
7. If there are no pending orders on either side of the order book, then the entire incoming market price order (or remaining order quantity if it is partially executed) shall be converted to a passive limit price order at the day’s LTP of that security.
8. The above-mentioned MPI range validation shall also be applicable for order modification requests i.e. pending limit price order being modified to a market price order.
9. MPI range for market price orders shall not be applicable for block deal session, Pre-Open session, Special Pre-Open session for IPO and Relist securities (SPOS), Periodic Call Auction sessions (PCAS), Post-Closing session and Auction session.
The parameters to arrive at the MPI range for market price orders shall be set as follows –
|
Segment
|
% Of LTP (MPI%)
|
Subject to minimum absolute value (Rs.)
|
|
Equity
|
3.00 %
|
Rs. 1.50
|
Members may refer to the enclosed Annexure for illustrations on the above-stated measures.
Trading members and third-party trading application vendors are requested to note that a new version of ETI API, ver. 1.6.8, has been released as part of roll-out of above-mentioned enhancements. These changes are available in the simulation (test) environment for Equity segment. Trading members are requested to test and familiarize themselves with the proposed enhancements.
Important Note:
As highlighted in point no.6 above, 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 above), 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.
The above-mentioned enhancements shall be made effective in the live environment for trading from Monday, March 18, 2024, onwards. To facilitate the roll-out, the changes shall be available during the mock trading session on Saturday, March 16, 2024.
Based on the usage of these enhancements and further inputs from market participants, the Exchange may review these measures from time to time and implement further improvements/ changes as necessary.
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 –
|
Queries
|
Email ID
|
Telephone No.
|
|
Functional queries
|
iml.info@bseindia.com
|
022-2272 8705/ 8885
|
|
Technical queries
|
bse.tech@bseindia.com
|
022-2272 8053
|
For & On Behalf of BSE Ltd.,
|
Arvindkumar Iyengar
|
Vivek Garg
|
|
Chief General Manager
|
Sr. General Manager
|
|
I.T. Development
|
Trading Development
|
February 20, 2024 |