Pursuant to the SEBI circular no. CIR/MRD/DP/09/2012 dated March 30, 2012 on Broad Guidelines on Algorithmic Trading and Exchange circular 20120430-36 dated April 30, 2012, the members of the Exchange are informed as under:
Economic disincentive for high daily order-to-trade ratio: As per the direction of SEBI, in case of a high daily order to trade ratio through algorithmic trading in Equity Derivatives Segment, following charges shall be levied for algorithmic orders having high order to trade ratio with effect from July 02, 2012. The said charges, computed daily, shall be collected on a monthly basis, after reckoning all algorithmic orders and trades pertaining to all user ids of the member:
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Daily Order to Trade Ratio
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Charges per order
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Less than 50
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Nil
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50 to less than 250 (on incremental basis)
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1 paise
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250 to less than 500 (on incremental basis)
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5 paise
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500 or more than 500 (on incremental basis)*
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5 paise
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* In case the ratio is 500 or more than 500 during a trading day, the concerned member shall not be permitted to place any orders in the derivatives segment of BSE for the first 15 minutes on the next trading day (in the continuous trading session) as a cooling off action. However, the trading member shall be permitted to enter transactions in risk reducing mode in the derivatives segment during such a cooling off period.
Members may note that for the purpose of calculation of daily Order-to-Trade ratio, all algorithmic orders, i.e., order entry, order modifications and order cancellations shall be considered. It may further be noted that:
a) if the algorithmic orders entered and/ or modified are within 1% of the last traded price (LTP) of the respective security/ contract ((Absolute (Limit price – LTP)/LTP) <= 1%), such orders shall not be included in the calculation of the aforesaid Order-to-Trade ratio.
b) all other types of algorithmic orders and all algorithmic order cancellation requests shall be included.
c) all orders of the Members enlisted as market makers in the contracts in which they are designated, shall not be included in the calculation of the aforesaid Order-to-Trade ratio.
Members are requested to take note of the above and ensure compliance.
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In case of any query please contact the below mentioned officials:
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Name of the Official
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Contact no.
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Mr Chirag Udani
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2272 8724
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Ms Priya Pillai
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2272 8598
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Ms Jyoti Thukral
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2272 8214
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Mr Wilbur Fernandes
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2272 8052
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Devika Shah Wilbur Fernandes
Sr. Gen. Manager Manager
Surveillance & Supervision Surveillance & Supervision |