Aggressiveness control for limit orders on the stock market: production launch

Please be informed that the mechanism of aggressive limit orders control on the stock market, introduced on 04 December 2023 as technical readiness, planned to be applied for limit orders in the securities markert production system starting from 25 December 2023.
The mechanism is applicable for "orderbook" trading modes, including OTC modes with the central counterparty. A limit order can be executed as long as the price of the executed buy (sell) transactions does not exceed (fall below) the allowed deviation from the best bid (ask) price. Depending on the order type, the unfilled quantity is either canceled (completely or partially) or placed in the "orderbook" as a new order (Append to the orderbook).

There is a planned maximum price deviation of 5% for stock market instruments. If, when placing an order, the price of a potential transaction exceeds the set limit, the submitted order will be canceled for the remaining quantity, and the user receives an error message stating: "(1320) Limit Order #%ld could not be filled completely. This order breaches the limit order depth limit. Order withdrawn."

These limitations will not be applied during opening and closing auctions, when placing limit orders "in the closing auction," as well as in discrete auctions.

The limitations will be applied depending on the order type:

· Fill or Kill: If, at the moment of placing a limit order, the price of at least one transaction can exceed the limit, such an order will be canceled by the system with the error message: "Limit Order #%ld could not be filled completely. This order breaches the limit order depth limit. Order withdrawn."

· Immediate or Cancel: If the limit order prices reach the limit values, and there is an unfilled quantity, the unfilled quantity is canceled.

· Append to the orderbook: The limit order is executed as long as the transaction prices do not exceed the limit value. If the limit order specifies a price no worse than the limit calculated at the time of its placement, the unfilled quantity of such an order is placed in the queue at the specified price. If the limit order specifies a price worse than the limit calculated at the time of its placement, the unfilled quantity of such an order is canceled after reaching the limit price in transactions. In case the volume in the placed order exceeds the total volume of counter orders, the unfilled quantity of that order is queued in the trading system at a price corresponding to the additional execution price attributes specified in the order.

· Iceberg Orders: Similar to "append to the orderbook" orders.
· Book or Cancel (passive-only orders): According to the general rules of the mechanism, the trading system will reject the order whenever placing it in the order queue could result in at least one transaction.