Pre Trade Risk Control

The DGCX trading platform offers 6 trading protection limits (TPL), against which all orders entered into the market are checked, and which are rejected if they fail the necessary validation steps. Orders that are matched in the system are validated against 2 further trading protection limits and are flagged if they fail to meet the necessary validation steps.

TPL may be set for static validation and aggregated validation for each tradable instruments, as below and can be set by Members as well as DGCX where appropriate:

At Order level

Static validation (each order)

  1. Turnover: This limit checks the total turnover value of each of the orders being placed. And if the value is greater than the limit set, the order will get rejected.
  2. Volume: The volume limit checks the quantity of each of the orders being placed. And if the quantity is greater than the limit set, the order will get rejected.
  3. % better than opposite side: This TPL checks the percentage difference between the price of the order being placed and the best price on the opposite side. The percentage difference between the two prices shouldn‘t be more than the set limit.For a Buy Order: The price should be ≤ Best ask * (1 + % better than opposite side)
    • For a Buy Order: The price should be ≤ Best ask * (1 + % better than opposite side)
    • For a Sell Order: The price should be ≥ Best Bid * (1 – % better than opposite side)
    • Note that if the order book is empty on the opposite side this validation is not undertaken.
    • Note this validation is not undertaken for spread order books as negative prices and 0 is allowed in those order books.
  4. % worse than same side: This limit checks the percentage difference between the price of the order being placed and the best price on the same side. The percentage difference between the two prices shouldn‘t be more than the set limit.
    • For a Buy Order: The price should be ≥ Best Bid * (1 – % worse than same side)
    • For a Sell Order: The price should be ≤ Best Ask * (1 + % worse than same side)
    • Note that if the order book is empty on the same side this validation is not undertaken.
    • Note this validation is not undertaken for spread order books as negative prices and 0 is allowed in those order books.

Aggregated validation

  1. Max open order volume: The total quantity of live orders should be less than or equal to this limit. Once this limit is reached, new orders will be rejected or if a new order is being placed where the aggregate of the quantities of all live orders will exceed the limit, then the order is rejected.
  2. Max open order turnover: The total value of live orders should be less than or equal to this limit. Once this limit is reached, new orders will be rejected or if a new order is being placed where the aggregate of all value of all live orders will exceed the limit, then the order is rejected.

At Trade level

  1. Netted trade position turnover: This gives an alert to both trading user and trading super user when the net turnover of open positions exceeds the limit given. The trade is marked as (Trading Protection Limit = TRADE_TURNOVER).
  2. Netted trade position volume: This gives an alert to both trading user and trading super user when the net quantity of open positions exceeds the given limit. The trade is marked as (Trading Protection Limit = TRADE_TURNOVER).

Price Limits

DGCX allows Members to request that transactions be invalidated where an error in execution has occurred, and DGCX will also invalidate transactions where the price of a transaction falls outside of the Mandatory Cancellation Range (MCR) as detailed below.

Daily Price Range, No Cancellation Range and Mandatory Cancellation Range

Contract Group Contract Code Contract Name DPR (in ticks or %) NCR (In ticks or %) MCR (In ticks or %)
FX Currency Futures DAUD Australian Dollar/US Dollar Futures 150 50 100
FX Currency Futures DCAD Canadian Dollar/US Dollar Futures 150 50 100
FX Currency Futures DCHF Swiss Franc/US Dollar Futures 150 50 100
FX Currency Futures DEUR Euro/US Dollar Futures 150 50 100
FX Currency Futures DGBP Pound Sterling/US Dollar Futures 150 50 100
FX Currency Futures DINR Indian Rupee/USD Futures 150 50 100
FX Currency Futures DINRI Indian Rupee "Quanto" 400 133 200
FX Currency Futures DINRM Indian Rupee Mini /US Dollar Futures 150 50 100
FX Currency Futures DJPY Japanese Yen/US Dollar Futures 150 50 100
FX Currency Futures DUSDCNH US Dollar/Chinese Yuan 1000 333 667
FX Currency Futures DUSDZAR US Dollar/South African Rand Futures 400 133 280
FX Currency Futures DINRW Indian Rupee/USD Weekly Futures 150 50 100
FX Currency Options DINRO Indian Rupee/USD Options 500 50 100
Precious Metals DG Gold Futures 500 170 330
Precious Metals DGSG Spot Gold Shariah Compliant 500 170 330
Precious Metals DIG India Gold "Quanto" 1200 400 800
Precious Metals DGFC Daily Gold Futures Contract 5000 1700 3300
Precious Metals DS Silver Futures 300 100 200
Energy DBRC Brent Crude Oil Futures 400 130 260
Energy DWTI WTI Crude Oil Futures 400 130 260
Energy DWTIM Mini WTI Crude Oil Futures 400 130 260
Base Metals DCU Copper Futures 300 100 200
US Equity Futures All US SSF 10% 3.33% 6.67%
Indian Equity Futures All Indian SSF 10% 3.33% 6.67%
FX Rolling Futures SPFAUD AUD/US Dollar Rolling Futures 1500 500 1000
FX Rolling Futures SPFEUR EUR/US Dollar Rolling Futures 1500 500 1000
FX Rolling Futures SPFGBP GBP/US Dollar Rolling Futures 1500 500 1000