Moscow Exchange Improves The Method For Calculating The Transaction Charge

02/10/2013

Moscow Exchange is to change the calculation procedure for the surcharge for ineffective transactions and impose a new charge for erroneous transactions across its SPECTRA trading & clearing platform on 21 October. The aim is to optimize HFT activity and increase the productive load on the trading system.

These developments allow members more actively to exercise strategies involving both futures and options, and to enhance activity in illiquid instruments such as options on equity futures. The market will also be largely protected from erroneous trading algorithms.

Optimization of surcharge for unproductive transactions

The surcharge will be aggregate for futures, options, and Standard sector instruments across all subaccounts with the same taxpayer ID (INN). The existing surcharge is calculated separately for futures and options for each subaccount.

The new method introduces a new definition of illiquid instruments eligible for a discounted surcharge. The K coefficient, which expresses the impact of the exchange fee on the surcharge, will be increased. RUB 1 of the exchange fee currently includes 20 free transactions; this will be increased to 40.

Charge for erroneous transactions

A transaction will be considered erroneous if its execution results in an error message such as "cross trade appears", "Insufficient client funds", or "order not found" (if DelOrder and MoveOrder are used).

This charge will be calculated per trading member ID, including during suspended trading during clearing sessions and at weekends (in this case the charge will be shown in the following Monday's reports and deducted on the Tuesday).

The charge for erroneous transactions is RUB 1,000-30,000 per day. The upper boundary serves to limit losses incurred due to algorithmic system failure.

Any trading member ID that generates more than 30,000 erroneous transactions between 18:45 and 18:45 MSK on the following trading day may be suspended by the exchange. The member will be notified (if technically possible) of the possibility of suspension when 25,000 erroneous transactions are effected.

These innovations will affect the content and structure of the transaction charge report.

As the trading day on the derivatives and Standard markets commences from the evening's additional trading session, the new calculation methodology will come into effect at 19:00 MSK on 18 October, and the newly established charge for erroneous transactions will come into effect from 18:45 MSK on the same day. The relevant reports will be sent after the evening clearing session on the 21st. Fees will be deducted during the evening clearing session on the 22nd.