Transcript Document

May 2014, Moscow
Viktoriya Gulavskaya
Head of trading technologies and market making
FX market program for
ranking market makers
in EURUSD_TOM
Goals of the program

Boosting liquidity for the instrument EURUSD_TOM;

Facilitating the competitive environment and effective incentive
system for market makers with optimal allocation of Exchange’s
expenses for liquidity support.
FX market program for ranking
market makers in the instrument EURUSD_TOM
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Terms
1. The program will be launched after 1 July 2014.
2. All market makers are eligible to participate by using their current market
maker agreements. Minimum three market makers are required.
3. By the end of the calendar month, ratings are calculated taken into account
quality factors (with different weights) to determine a market maker’s position in
the ranking and its remuneration.
Quality factors
Trading volume
Spread maintenance time, %
FX market program for ranking
market makers in the instrument EURUSD_TOM
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Terms
1. Position of a market maker in the ranking (N) is determined by its rating
value (R) assuming that N = 1 for maximum value of 𝐑.
2. Market makers’ ratings are calculated with the quality factors applied:
 𝑲𝒗,𝒊 - the quality factor of the market maker’s trading volume obligation
with regard to the i-th trading day;
 𝑲𝒕,𝒊 - the quality factor of the market maker’s obligation regarding
spread maintenance time on the i-th trading day.
FX market program for ranking
market makers in the instrument EURUSD_TOM
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Calculation of market makers ratings
𝑅=
𝐧
𝐢=𝟏
𝑲𝒗,𝒊=
𝑽𝒊,𝒎𝒎
where:
𝑽𝒊,𝒕𝒐𝒕𝒂𝒍
ƛ ∗ 𝑲𝒗,𝒊 + β ∗ 𝑲𝒕,𝒊 ,
;
𝑲𝒕,𝒊 =
𝑻𝑖,𝑓𝑎𝑐𝑡
𝑻 𝑐𝑜𝑚𝑚𝑖𝑡𝑡𝑒𝑑
ƛ =0,65,
β =0,35 – the weighting coefficients;
𝑽𝑖,𝑚𝑚
𝑽𝑖,𝑡𝑜𝑡𝑎𝑙
𝑻𝑖,𝑓𝑎𝑐𝑡
𝑻𝑐𝑜𝑚𝑚𝑖𝑡𝑡𝑒𝑑
– total trading volume made by the market maker during the main
session on the i-th trading day, in U.S. dollars;
– total trading volume made by all market makers during the main
session on the i-th trading day, in U.S. dollars;
– the actual spread maintenance time on the i-th day;
– the committed spread maintenance time during the main
session as per the agreement.
FX market program for ranking
market makers in the instrument EURUSD_TOM
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Calculation of market makers remuneration
PB = 𝑲𝒏 * 𝑼𝑺𝑫𝑭𝑰𝑿𝑴𝑬*
𝒏
𝒊=𝟏 𝑽𝒊,𝒑𝒂𝒔𝒔
where
PB -
market maker’s remunerations, in rubles;
𝐊 𝒏 - the effective coefficient determined by the position of the market maker in the ranking (N);
𝐊𝒏=
𝑽𝒊,𝒑𝒂𝒔𝒔
𝑲𝟏 = 0.0015%, if N=1
𝑲𝟐 = 0.0013%, if N=2
𝑲𝟑 = 0.0010%, if N=3
0, otherwise
- total volume of market maker’s passive trades executed during the main session on the i-th
trading day, in the lot currency;
𝑼𝑺𝑫𝑭𝑰𝑿𝑴𝑬 – the Moscow Exchange ruble fixing as of the trade execution date;
𝒊 = 1,2… – the order number of the trading day in the calendar month.
FX market program for ranking
market makers in the instrument EURUSD_TOM
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Appendix No 1
Market makers obligations
№
Obligation
Committed values
1
Minimum order size
2
Two-sided quote spread
3
Period during the Main session of every Trading day of the Accounting
period when the market maker has to fulfil it’s obligations towards the
instrument
65%
4
Share of trading days in a month
80%
EUR 1 mio
0.0002
Market maker is considered to fulfil it’s obligations during the Trading day only if the following
conditions are performed:
Obligations parameters in points 1 and 2 of the Table are fulfilled during the period stated in the
third line of the Table
FX market program for ranking
market makers in the instrument EURUSD_TOM
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DISCLAIMER
This presentation has been prepared and issued by Open Joint
Stock Company “Moscow Exchange MICEX-RTS” (hereinafter
referred to as the “Company”). Unless otherwise specified, the
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contained in this document. Such information is presented as of
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Russian market;
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and technical environment, including the possibility to use
expanded functional opportunities widely used by clients of the
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of new competitive products and services, along with support of
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FX market program for ranking
market makers in the instrument EURUSD_TOM
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