Pre Trade Risk Control

EOS trading platform offers 6 trading protection limits (TPL), for orders entering in the system, and are rejected if they don’t pass the validation. The trades matched in the system are validated against the last 2 trading protection limits and are flagged if they don’t pass the validation.

TPL can be set for static validation and aggregated validation for both segments as well as tradable instruments, as below:

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 helps is reducing flash trades by checking 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 done.
    • Note this validation is not done 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 done.
    • Note this validation is not done 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

The Exchange will permit its Members to request for Trade Busts for such trades executed outside the No trade Cancellation Range (NCR) in the prescribed format as provided by the Exchange from time to time.

No Cancellation and Mandatory Cancellation Ranges

The No Cancellation Range (NCR) and Mandatory Cancellation Ranges (MCR) are as follows, effective from 29 October 2018.

Contract Group Contract Code Contract Name NCR (In ticks or %age) MCR (In ticks)
FX Currency Futures DAUD Australian Dollar/US Dollar Futures 50 100
FX Currency Futures DCAD Canadian Dollar/US Dollar Futures 50 100
FX Currency Futures DCHF Swiss Franc/US Dollar Futures 50 100
FX Currency Futures DEUR Euro/US Dollar Futures 50 100
FX Currency Futures DGBP Pound Sterling/US Dolalr Futures 50 100
FX Currency Futures DINR Indian Rupee/USD Futures 50 100
FX Currency Futures DINRI Indian Rupee "Quanto" 133 200
FX Currency Futures DINRM Indian Rupee Mini /US Dollar Futures 50 100
FX Currency Futures DJPY Japanese Yen/US Dollar Futures 50 100
FX Currency Futures DUSDCNH US Dollar/Chinese Yuan 167 260
FX Currency Futures DUSDRUB US Dollar/Russian Rouble Futures 1333 2600
FX Currency Futures DUSDZAR US Dollar/South African Rand Futures 133 280
FX Currency Options DINRO Indian Rupee/USD Options 50 100
Precious Metals DG Gold Futures 100 200
Precious Metals DGSG Spot Gold Shariah Compliant 100 200
Precious Metals DIG India Gold "Quanto" 300 600
Precious Metals DS Silver Futures 50 134
Precious Metals DSGC DGCX Shanghai Gold Futures 233 500
Equity Indices DMSI MSCI India INR 0.01 0.02
Equity Indices DMSU MSCI India USD 0.01 0.02
Energy DBRC Brent Crude Oil Futures 100 200
Energy DICO Dubai India Crude Oil Futures 100 200
Energy DWTI WTI Crude Oil Futures 100 200
Energy DWTIM Mini WTI Crude Oil Futures 100 200
Base Metals DCU Copper Futures 100 200
US Equity Futures 0.0167 0.0333
Indian Equity Futures 0.0167 0.0333