This is in partial modification to the Exchange circular no. 20240205-29, dated February 05, 2024 regarding Pre-Trade Risk Control - Enhancements to Market price order in Equity Derivatives segment. This is also further to Exchange circular no. 20240405-40, dated April 05, 2024 regarding Pre-Trade Risk Control – Limit Price Protection for limit price orders in Equity Derivatives segment.
Trading members are requested to note the following additional enhancements to market price orders to further strengthen the pre-trade risk management mechanism –
Market price orders shall also be validated against the prevailing LPP (limit price protection) range for the respective contracts, in addition to the existing validation of applicable MPI (market price impact) range. In other words, market price orders shall be allowed to be traded up to a price range which shall be determined based on the following –
- Buy orders shall be allowed to be traded up to a minimum of higher MPI and higher LPP limit values
- Sell orders shall be allowed to be traded up to a maximum of lower MPI and lower LPP limit values
All other provisions mentioned in the above-mentioned circulars shall remain unchanged. Trading members are requested to refer to the illustration given below for revised mechanism.
Further, the above-mentioned enhancements have been made available in the simulation environment of Equity Derivatives segment. Trading members are requested to test the same.
These above-mentioned enhancements to market price orders shall be made applicable for live trading from Monday, July 01, 2024. To facilitate smooth roll-out, the changes shall be available for testing during the mock trading session on Saturday, June 29, 2024.
Based on the usage of these enhancements and further inputs from market participants, the Exchange may review these measures periodically and implement further improvements/changes as necessary. Members are also advised to exercise due care and caution while placing orders by reviewing and setting limits as advised in our earlier circulars.
Please find below illustration of sample scenarios:
|
Sr.
No.
|
LTP
|
MPI Higher limit for Buy Market order as per existing mechanism
|
MPI Lower limit for Sell Market order as per existing mechanism
|
Prevailing High LPP Limit
|
Prevailing Low LPP limit
|
MPI Higher limit for Buy Market order as per revised mechanism
|
MPI Lower limit for Sell Market order as per revised mechanism
|
|
|
| |
|
| |
|
|
|
|
a
|
b
|
c
|
d
|
e=min(a,c)
|
f=max(b,d)
|
|
|
|
1
|
100
|
120
|
80
|
176
|
44
|
120
|
80
|
|
|
| |
|
|
2
|
200
|
240
|
160
|
224
|
56
|
224
|
160
|
|
|
| |
|
|
3
|
35
|
45
|
25
|
65
|
5
|
45
|
25
|
|
|
|
4
|
75000
|
75750
|
74250
|
77250
|
72750
|
75750
|
74250
|
|
|
Note:
A. Applicable MPI limit is 20% subject to minimum absolute value of Rs. 10 for option contracts (Stock and Index), whereas for Future Index Contracts MPI limit is 1% subject to minimum absolute value of Rs. 100, and for Stock future contracts MPI limit is 3% subject to minimum absolute value of Rs. 1.50.
B. Prevailing LPP limit for future contracts is 3% of reference price subject to minimum absolute value of Rs.3, whereas for option contracts (Stock and Index), it is 60% of reference price subject to minimum absolute value of Rs.30.
C. Above LPP Limits are computed considering average trade price and not LTP.
In case of any queries, members may kindly get in touch with us 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
|
Chief General Manager
|
|
I.T. Development
|
Trading Development
|
June 25, 2024
|