NSE: Additional RMS requirements for algorithms/DMA...
http://www.nseindia.com/content/circulars/faop12763.htm
Wednesday, September 30, 2009
Friday, September 25, 2009
NSE: additional fees for 'Algo Trading Systems'
NSE has imposed an additional fees for 'Algo Trading Systems' : if the ratio of trade:Order increase from 1:100 then there is charge applicable as follows:
No charge for 1:100
One paise from 1:101 to 1:200
Two paise from 1:201 to 300
Three Paise from 1:301 to 1:400
It will increase for every 100 order.
No charge for 1:100
One paise from 1:101 to 1:200
Two paise from 1:201 to 300
Three Paise from 1:301 to 1:400
It will increase for every 100 order.
NSE F-and-O : Discontinuation of IOC Spread Order Functionality
http://www.nseindia.com/content/circulars/faop13052.htm
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the Exchange proposes to discontinue the spread order functionality with “Immediate or Cancel (IOC)” attribute with effect from September 14, 2009.
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the Exchange proposes to discontinue the spread order functionality with “Immediate or Cancel (IOC)” attribute with effect from September 14, 2009.
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NSE F-and-O : Introduction of Day Spread Order Functionality
http://www.nseindia.com/content/circulars/faop13013.htm
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The Exchange has successfully tested spread order functionality with ‘DAY’ time validity on mock trading sessions held on July 18, 2009 and August 08, 2009.
The Exchange is planning to provide this new facility in a phased manner. Members are advised to note that, in the first phase, new Spread order book functionality shall be made available for live trading w.e.f. Tuesday, September 08, 2009 for Nifty Futures contracts.
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The Exchange has successfully tested spread order functionality with ‘DAY’ time validity on mock trading sessions held on July 18, 2009 and August 08, 2009.
The Exchange is planning to provide this new facility in a phased manner. Members are advised to note that, in the first phase, new Spread order book functionality shall be made available for live trading w.e.f. Tuesday, September 08, 2009 for Nifty Futures contracts.
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Punters make a killing in forex market with prior QIP funds info
http://economictimes.indiatimes.com/markets/stocks/market-news/Punters-make-a-killing-in-forex-market-with-prior-QIP-funds-info/articleshow/5053379.cms
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When funds of a certain QIP or IPO are slated to hit the Indian shores, traders and company insiders having advanced knowledge of the day, try to make the most of it by timing the market.
For instance, an inflow of $500 million in the banking system could strengthen the local currency by around 20 paise in the spot market. A trader will sell dollar-rupee contracts anticipating such a move. He may also choose to simultaneously protect himself by taking a forward cover (hedge his exposure in the forward market) before taking such a bet. This should also help protect him against allegations of front-running. The opportunity to make money out of access to information about huge fund flows is taking new dimensions. But the advent of exchange-traded currency futures market, however, has brought such a transactions in the reach of many other traders.
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When funds of a certain QIP or IPO are slated to hit the Indian shores, traders and company insiders having advanced knowledge of the day, try to make the most of it by timing the market.
For instance, an inflow of $500 million in the banking system could strengthen the local currency by around 20 paise in the spot market. A trader will sell dollar-rupee contracts anticipating such a move. He may also choose to simultaneously protect himself by taking a forward cover (hedge his exposure in the forward market) before taking such a bet. This should also help protect him against allegations of front-running. The opportunity to make money out of access to information about huge fund flows is taking new dimensions. But the advent of exchange-traded currency futures market, however, has brought such a transactions in the reach of many other traders.
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Mad rush to cover short-positions puts futures traders in a corner
http://economictimes.indiatimes.com/articleshow/5040304.cms
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People familiar with the matter said most of such synthetic long positions were created between 4800 and 4900, as proprietary traders saw anomalies in the implied volatility (premium pricing) between two strikes of the Nifty options. The options trading strategy involves the risk of unlimited loss, as it involves selling an option. An example of such a trade, a trader sold the Nifty 4800 September ‘put’ options in return of a premium of Rs 122 per contract and bought the Nifty 4900 September ‘call’ option for Rs 78. The net credit for both the trades is Rs 44 per contract.
Simultaneously, the trader sold the Nifty futures at 4850, as a hedge against the options positions. The extent of hedge needed, through the Nifty futures, was 70-80% of every one lakh options worth of open interest. Now, in the options trade, the break-even is at 4844 (strike of 4800+ premium 44), while the Nifty futures was sold at 4850. The difference between the synthetic long futures and the Nifty futures fetched a neat profit of Rs 6 (4850-4844), at the point of creating the strategy. The trader needs this difference to shrink from Rs 6 to nil on expiry of the September series, to pocket this amount.
This is where the calculations of these traders went wrong. As the Nifty rose further to 5000, the difference between the synthetic long futures and the Nifty futures started expanding. To keep up with the market’s rise and satiate the need for more hedging, as per the 0.70:1 futures to options position ratio estimates, traders added more short positions of the Nifty futures, causing their transaction costs to shoot up.
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People familiar with the matter said most of such synthetic long positions were created between 4800 and 4900, as proprietary traders saw anomalies in the implied volatility (premium pricing) between two strikes of the Nifty options. The options trading strategy involves the risk of unlimited loss, as it involves selling an option. An example of such a trade, a trader sold the Nifty 4800 September ‘put’ options in return of a premium of Rs 122 per contract and bought the Nifty 4900 September ‘call’ option for Rs 78. The net credit for both the trades is Rs 44 per contract.
Simultaneously, the trader sold the Nifty futures at 4850, as a hedge against the options positions. The extent of hedge needed, through the Nifty futures, was 70-80% of every one lakh options worth of open interest. Now, in the options trade, the break-even is at 4844 (strike of 4800+ premium 44), while the Nifty futures was sold at 4850. The difference between the synthetic long futures and the Nifty futures fetched a neat profit of Rs 6 (4850-4844), at the point of creating the strategy. The trader needs this difference to shrink from Rs 6 to nil on expiry of the September series, to pocket this amount.
This is where the calculations of these traders went wrong. As the Nifty rose further to 5000, the difference between the synthetic long futures and the Nifty futures started expanding. To keep up with the market’s rise and satiate the need for more hedging, as per the 0.70:1 futures to options position ratio estimates, traders added more short positions of the Nifty futures, causing their transaction costs to shoot up.
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