New restriction parameters for trading with non-market price in the FX market system
Dear FX market clients,
Please be informed about following changes in the FX market trading system that take affect at production environment starting from 30 May 2022.
Aggressive market orders control period is extended to full trading day
Mechanism of aggressive market orders control used to be active on early trading (from 7:00 to 10:00 am) is now acting during the full trading day from 7:00 to 23:50.
Maximum shift from best price is set as 1%. Market order is matched until price of concluded buy (sell) trades will be equal or less (equal or more) than specified shift value from best ask (bid) value.
Maximum spread value is set as 0,50%. Market orders will be registered by trading system if current spread is less or equal to the specified value.
Market order control is used only for SPOT instruments for every currency pair traded at CETS or SDBP board, except instruments of precious metals market.
Orders volume control at TWAP algorithmic module
Algorithmic packet entered the algorithmic trading module will be checked by an algo-packet total quantity and by quantity of every iteration order associated with an algo-packet.
Control under operational errors is applied under both market and limit order types
· Control under algorithmic order packet full quantity. If the full quantity of the algorithmic order packet is more than 1,000,000 lots, the system will send warning message and will prompt to confirm algo-packet entering. · Control under orders quantity calculated for iterations initially
If quantity calculated for any of iteration orders of algorithmic packet is more than:
- 1000 lots, the system will send informational message
- 10,000 lots, the entire algo-packet will be withdrawn by the system and error message will be sent. User will be prompted change parameters of the algo-packet and re-enter it.
At the same time, on 30 May 2022 it is planned to update MOEX Trade Currency terminal. Users will be prompted to autoupdate while connecting to the trading and clearing system. Packages for manual installation will be available at FTP server (https://ftp.moex.com/pub/Terminals/ASTS/Currency) starting from 27 May.