Moscow Exchange (MICEX) Introduces Surcharge for Unproductive Load in its Key Markets
Following the FORTS Derivatives market, on September 3, 2012 the Moscow Exchange Securities and FX markets has successfully introduced measures to encourage effectiveness of algorithms trading trading through the exchange.
Over the testing period of the surcharge calculation only 10 high frequency traders on the securities market and 1 on the FX market were informed of exceeding the threshold set at 20 orders per 1 ruble ($ 0.03) paid in commission. All such traders have adjusted their HFT algorithms that have resulted in a fivefold and twofold reduction of transaction numbers on the Securities and FX markets respectively. The number of trades and trading volume remained unchanged.
Algorithmic trading accounts for a considerable share of the trades made on the global exchanges. In 2009 HFT generated about 15% of the turnover on the Moscow Exchange stock market whereas in 2012 this share grew to 40% with the number of orders generated by HFT reaching 97%. Moscow Exchange thinks highly of the role of HFT in raising the liquidity on the market.
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