Moscow Exchange optimizes HFT on its markets for the benefit of all categories of trading participants

On September 3, 2012 Moscow Exchange will introduce an additional commission fee (the ACF) on its Securities and FX markets that will be applied to HFT traders creating unproductive load on the trading system.

The ACF practice employed on the Moscow Exchange Derivatives Market and in foreign trading venues (LSE, Borsa Italiana, Deutsche Boerse) has showed that the introduction of the fee entails an improvement in trading algorithms" performance and mitigation of their impact on access to trading for other market participants.  

The ACF"s value will be calculated based on ratio of commission paid by a trading member or its clients to number of orders entered into the system by them.  The additional commission fee will be charged for exceeding the ratio"s threshold by the end client.

To help trading members prepare for the introduction of the fee, from 6 June for the securities market and from 6 July for the FX market the Exchange has distributed test reports containing information on a possible amount of the ACF.  The reports" distribution has unveiled ten “robots” with non-optimized algorithms in the Main Market sector of the Securities Market.  On the FX market only one trading member has grounds to pay the ACF. 

The launch of the ACF is agreed with the major trading members and will not lead to an increase in the burden of fee payments. The move is aimed at an improvement of the market regulation, but not at the income generation. 

Please see the presentation to find out about the procedure for charging the ACF and methodology for its calculation.

For further information, please contact the Public Relations Department at (495) 363-3232.