National Stock Exchange
NATIONAL STOCK EXCHANGE OF INDIA LIMITED DEPARTMENT : FINANCE AND ACCOUNTS Download Ref. No. : NSE/FA/21156 Date : June 29, 2012 Circular Ref. No. : 3/2012 To the trading members in the F&O and CD segments Sub : Levy of charges for High Order to Trade Ratio In continuation of Exchange Circular. No:NSE/CMTR/20662 dated April 30, 2012 on additional SEBI guidelines governing decision Support Tools / Algorithm for trading through Non-Neat front end and as directed by SEBI, Trading Members are hereby informed that the following charges will be levied for high algo order to trade ratio with effect from July 02, 2012.
The said charges will be computed at member level on a daily basis and will be collected on a monthly basis, after reckoning all algo orders and trades of the member: Daily algo Order to Trade Ratio Less than 50 50 to less than 250 (on incremental basis) 250 to less than 500 (on incremental basis) 500 or more than 500 (on incremental basis) * Charges (per algo orders) Nil 1 paise 5 paise 5 paise * In case the ratio is 500 or more than 500 during a trading day, the concerned member shall not be permitted to place any orders for the first 15 minutes on the next trading day(in the continuous trading session) as a cooling off action.
However, the trading member shall be permitted to enter transactions in risk reducing mode in the respective segments during such a cooling off period. Members may note that 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. Regd. Office : Exchange Plaza, Bandra Kurla Complex, Bandra (E), Mumbai – 400 051 Page 1 of 2 It may further be noted that, a) if the orders entered and/ or modified are within 1% of the last traded price (LTP) of the respective security/ contract ((Absolute (Limit price – LTP)/LTP)