Moscow Exchange to set max price deviations in execution of market orders on the Equity and Bond Market

Beginning on 2 November 2020, Moscow Exchange will set price deviation limits for execution of market orders on the Equity Market to help investors enter orders in equities and bonds without errors, as well as protect them from losses arising from substantial price movements.

Currently, market orders are filled at prices available in the trading system at the time the order was placed until it is fully executed.

With the new algorithm rolled out, the execution price of a market order may differ from the best bid/offer available when the order was placed by no more that the specified percentage set by the Exchange.

Where a market order is filled in part, the unfilled quantity is cancelled.

The algorithm will be in effect during the main and after-hours trading sessions. It will not operate during the opening and closing auctions.

From 2 November, the following price deviation limits will apply in filling market orders[1]:

• IMOEX stocks – 1%;
• Other equity instruments (DRs, Russian-law ETFs, ETF, etc.) – 3%;
• Bank of Russia coupon bonds and OFZs – 0.4%;
• Other debt instruments – 1%.

More information about the new functionality is available here.