1. This is with reference SEBI Circular No. SEBI/HO/MRD/DP/CIR/P/2018/62 dated April 09, 2018 regarding Measures to Strengthen Algorithmic Trading and Co-location / Proximity Hosting framework, Exchange Notice Nos. 20180622-41 dated June 22, 2018, prescribing charges for High Order to trade ratio and SEBI Circular No. SEBI/HO/MRD1/DSAP/CIR/P/2020/107 dated June 24, 2020 on guidelines for OTR for Algorithmic wherein SEBI has asked Exchanges to carryout changes in existing OTR penalty framework.
2. The charges for High OTR for Equity, Equity Derivatives & Currency Derivatives Segment as given below shall be applicable from Wednesday, July 22, 2020. The said charges shall be computed at member level on a daily basis and shall be collected on a monthly basis, after reckoning all algo orders and algo trades of the member.
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Order To Trade Ratio (OTR)
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Charges Applicable
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<50
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NIL
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>=50 to <250 (Incremental Basis)
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2 Paise
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>= 250 <500 (Incremental Basis)
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10 Paise
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>= 500 to <1000 (Incremental Basis)
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15 Paise
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>=1000 to <2000 (Incremental Basis)
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20 Paise
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>=2000 (Incremental Basis)
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25 Paise
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3. In addition to the above, in case, if the OTR is 2000 or more on three occasions in the previous thirty trading days (on rolling basis), the concerned member shall not be permitted to place any orders for the first 15 minutes on the next trading day as a cooling off action. In Equity derivatives and Currency derivative segment, the current mechanism of permitting to enter orders in risk reduction mode shall continue however in Equity segment member shall be able to place orders only after 15 minutes of the normal market open.
4. In order to discourage repetitive instances of high daily order-to-trade ratio, there will be an additional penalty in form of suspension of proprietary trading right of the trading member for the first trading hour on the next trading day in case a trading member is penalised for maintaining high daily order to trade ratio, provided penalty was imposed on the trading member on more than ten occasions in the previous thirty trading days on rolling basis. The suspension of proprietary trading shall be applicable across all Exchanges.
5. Trading members are requested to note the details of order to trade ratio (OTR) framework as follows –
· Orders placed in the Equity segment and orders placed under the liquidity enhancement schemes shall be brought under the order to trade framework.
· For the purpose of calculation of Daily Order-to-Trade ratio all algo orders, i.e., order entry, order modifications and order cancellations will be considered.
· If the orders entered and/ or modified are within 0.75% of the last traded price (LTP) of the respective security/ contract ((Absolute (Limit price – LTP)/LTP) <= 0.75%), such algo orders will not be included in the calculation of the aforesaid Order-to-Trade ratio.
· In Equity Segment, securities which are part of SME, ETF and securities in which market making is done shall be excluded for computation of OTR.
· Orders placed in Odd Lot Market, Auction Market, Block Trading Session, Pre-open session, Post Close Session, Periodic Call Action session and Call auction in Pre-open session for Initial Public Offering (IPO) and other category of Scrip’s shall also be excluded for the computation of OTR.
6. For cooling off session of 15 mins (3 instances for OTR violation of 2000:1 in 30 days on rolling basis) and 1 hour pro-trading (for more than 10 instances out of previous 30 trading days on rolling basis where penalty has been levied), following sessions are covered:
· For 15 Minutes Cooling Off
a) Pre-open session - 9.00 am to 9.15 am
b) Special Pre-open Session - 9.00 am to 9.30 am
c) Continuous session - 9.15 am to 9.30 am
· For 1 hour proprietary trading
a) Pre-open session - 9.00 am to 9.15 am
b) Special Pre-open Session - 9.00 am to 9.45 am
c) Continuous session - 9.15 am to 10.15 am
7. The hourly alerts on algo order to trade ratio are being reflected in the E boss system. Details of the path for algo Order to Trade Ratio (OTR) in Equity, Equity Derivatives, and Currency Derivatives is as given below.
Alerts & Events à Member Surveillance Alerts à Exchange à Equity à ALGO ORDER TRADE RATIO
Alerts & Events à Member Surveillance Alerts à Exchange à Derivatives à ALGO ORDER TRADE RATIO
Alerts & Events à Member Surveillance Alerts à Exchange à Currency à ALGO ORDER TRADE RATIO
Members are advised to take note of the above and ensure compliance.
In case of any further clarifications, the trading members may contact the following officials:
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Name of the officials
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Contact No.
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Email ID
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Abhishek/Josephine/Deepa
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2272 8743/8598/8214
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bse.inspection@bseindia.com
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For and on behalf of BSE Ltd.
Usha Sharma Kiran Sawant
General Manager Asst. Gen. Manager
Broker Supervision Broker Supervision
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