Moscow to curb HFT
Russia has joined the list of markets which will implement
measures to limit high-frequency trading (HFT) activity.
From 3 September, the Moscow Exchange – the name for the
newly-merged MICEX and RTS markets – will introduce an additional commission fee
in its securities and FX markets whenever HFT traders are deemed to be creating
an “unproductive load on the trading system”.
Capped at 300,000 roubles (US$9,451) per day, the fee’s
value will be based on the ratio of commission paid by a trading member or its
clients to number of orders they enter into the system. The exchange group said
the fee would be charged for exceeding the ratio’s threshold by the end client.
The exchange group believes the move will provide an “improvement
in trading algorithms’ performance and mitigation of their impact on access to
trading for other market participants,” a press statement read.
In a bid to help market participants understand the charge,
since 6 June for securities and 6 July for FX, the exchange has distributed
test reports calculating the amount the fee would have cost.
The exchange said during this test time, it found ten cases
of “non-optimised algorithms” which would have incurred the charge in its main securities
market and one in its FX market.
Russia joins a host of markets aiming to curb HFT, including
Germany, Italy and the
European Union via MiFID II. Other countries, such
as Sweden, the UK and the US,
are investigating the effects of HFT on their markets.