New in December 2017
From 4 December 2017, the following updates will be available to all Moscow Exchange FX Market clients.
- Extension of trading hours for USD and precious metals
- Tick size change for EUR/USD.
The tick size for EUR/USD instruments tradeable both on the main and negotiated boards will be decreased to USD 0.00001 (from USD 0.00005).
- Marketing period for long-term swaps and deliverable futures contracts
A one year marketing program will be launched for long-term deliverable futures contracts and swaps. All fee rates will be leveled to rates applicable to overnight swaps.
| Fee schedule | Flat rate | Turnover-based rate | ||
|---|---|---|---|---|
| Swaps/swap contracts | O/N | 7d | 14d – 12m | |
| Deliverable futures | 2-6d. | 7d and more | ||
| SWP_0 | - | 0.00050% | ||
| SWP_300 | RUB 300,000 | 0.00030% | ||
| SWP_600 | RUB 600,000 | 0.00020% | ||
| SWP_1000 | RUB 1,000,000 | 0.00016% | ||
| SWP_1500 | RUB 1,500,000 | 0.00014% | ||
| SWP_3500 | RUB 3,500,000 | 0.00010% | ||
- New order type – the volume weighted average price order
A new order type called the volume weighted average price order (the "VWAP order") will be introduced. This is an order
A new order type called the volume weighted average price order (the "VWAP order") will be introduced. This is an order that is filled so that the weighted average price of all trades executed based on such order is the same or better than that indicated in the VWAP order. The volume weighted average price of buy/sell trades is determined by dividing the amount of products of each trade price and the volume of lot currency in the trade by the total volume of lot currency in the trades.
VWAP orders differ from any limit order for example FOK limit order, in that a limited price should be indicated on entry of a FOK order to buy(sell) a certain number of currency lots at the price being the same or lower (higher) than the order price. Any VWAP order should contain the weighted average price for a certain volume while some trades based on such order may be at a better price, and some at a worse price. The main criteria for execution is the observance of the overall price level, i.e. the volume weighted average price of the bids/asks executed must be the same or lower/higher that the order price.
VWAP order are possible to use only for USDRUB_TOM instrument.
- New in clearing
For further details, please visit the NCC Clearing Bank’s website.