Surcharge applied to high frequency traders on the Moscow Exchange Securities Market

The surcharge is paid for ITS (integrated technological service) in the Main Market sector of the Securities Market by Moscow Exchange. The surcharge is payable by those Trading members who exceed the threshold established for a number of orders submitted to the MOEX Stock Exchange trading system.  

The surcharge is calculated in the following trading modes of the Main Market sector of the Securities Market:

• main trading mode,
• trading mode "Bonds D – Main trading mode",
• trading mode "IIR Sector – Main Trading Mode",
• odd lots trading mode;
• T+ main trading mode.

The surcharge is determined for each of the following order types:

• orders submitted by the Trading members. Number of IDs assigned to the Trading member is not taken into account;
• orders submitted by Trading member's clients who are individuals, legal entities or asset management companies;
• orders submitted by clients of a sub-broker (asset manager) who are Trading member's clients.A client shall be identified on the basis of information used for his registration: taxpayer ID (INN), number of the regular passport of the Russian citizen, number of the regular passport issued by other state, non-resident client's unique code, birth certificate number, code of the asset management company, code of the non-government pension fund, code of the Russian Federation pension fund.

The surcharge is paid starting from the second trading day on which its value does not equal zero.

The surcharge is payable on the Settlement day for which it was calculated. Payment procedure is set forth in the Clearing Rules.

Number of orders which is not surcharged is capped at 100,000 (one hundred thousand) orders per day.

The surcharge formula:

Surcharge = max(NUM_ORDERS – round(Com / K); 0) * Мwhere:

NUM_ORDERS = ORDERS * L, where:

ORDERS – number of orders entered by the end User on his own behalf and at his own expense or on his own behalf and at the Client's expense to the trading system using the services of Moscow Exchange during the trading day;

L – asset liquidity ratio,for the trades with A Market-making tick equals 0.5, for the rest of the trades it  equals 1 (one);

Com = C * F , where:

С – total volume of the trades executed by the end User on his own behalf and at his own expense or on his own behalf and at the Client's expense during the trading day in the trading modes stated in p.5.1

F – a coefficient equals 0,01% (one-hundredths percent)

K – a coefficient accounting for the impact of the commission on the surcharge, equals 0.05 (five one-hundredths);

М – value coefficient of the surcharge, equals 0.1 (one tenth);

max () – function that retrieves the largest value in a range;

round ()  - function that rounds numbers to the nearest integer.

The surcharge is calculated in rubles. The maximum surcharge is capped at RUB300,000 (three hundred thousand) per day including VAT.