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)
- 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.
- 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.
- % 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.
- % 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
- 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.
- 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
- 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).
- 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
Daily Price Range, No Cancellation Range and Mandatory Cancellation Range
- Daily price range (DPR): Is the maximum price range limit wherein orders can be placed. DPR range limit is based on previous day’s Settlement Price. DPR could be widened depending on intraday volatility (no limitations on how many times it could be widened).
- No Cancellation Range (NCR): Trades that are executed at prices that fall outside of the (NCR), may be cancelled upon request of the Member, and subject to the consent of the counterparty(ies).
- Mandatory Cancellation Range (MCR): Transactions with prices that fall outside the (MCR) are invalidated by DGCX. 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.
*Further details are also available under notice: TRDG-2018-041 - Amendments to Trade Bust Policy
| 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 | 1.50% | 0.50% | 1% |
| FX Currency Futures | DCAD | Canadian Dollar/US Dollar Futures | 1.50% | 0.50% | 1% |
| FX Currency Futures | DCHF | Swiss Franc/US Dollar Futures | 1.50% | 0.50% | 1% |
| FX Currency Futures | DEUR | Euro/US Dollar Futures | 1.50% | 0.50% | 1% |
| FX Currency Futures | DGBP | Pound Sterling/US Dollar Futures | 1.50% | 0.50% | 1% |
| FX Currency Futures | DINR | Indian Rupee/USD Futures | 1.50% | 0.50% | 1% |
| FX Currency Futures | DINRI | Indian Rupee "Quanto" | 1.50% | 0.50% | 1% |
| FX Currency Futures | DINRM | Indian Rupee Mini /US Dollar Futures | 1.50% | 0.50% | 1% |
| FX Currency Futures | DJPY | Japanese Yen/US Dollar Futures | 1.50% | 0.50% | 1% |
| FX Currency Futures | DUSDCNH | US Dollar/Chinese Yuan | 1.50% | 0.50% | 1% |
| FX Currency Futures | DUSDZAR | US Dollar/South African Rand Futures | 1.50% | 0.50% | 1% |
| FX Currency Futures | DINRW | Indian Rupee/USD Weekly Futures | 1.50% | 0.50% | 1% |
| FX Currency Futures | DPKR | Pakistani Rupee/US Dollar | 1.50% | 0.50% | 1% |
| FX Currency Futures | DILS | Israeli Shekel/US Dollar | 1.50% | 0.50% | 1% |
| 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 | DPG | Physical Gold Futures | 12000 | 4000 | 8000 |
| Precious Metals | DSG | Daily Spot Gold | 12000 | 4000 | 8000 |
| 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 | 1.50% | 0.50% | 1% |
| FX Rolling Futures | SPFEUR | EUR/US Dollar Rolling Futures | 1.50% | 0.50% | 1% |
| FX Rolling Futures | SPFGBP | GBP/US Dollar Rolling Futures | 1.50% | 0.50% | 1% |