Risk Rule Template | Synapsewave API Documentation

📋 Risk Rule Template

Risk Rule template has a lot of options, which are divided into 6 sections. This document will drill down into each one of the options.

RMS
Transaction

🔒 RMS

Restrict Order based on Exchange Freeze Quantity

Description: Exchange Freeze Quantity refers to the maximum number of shares or contract that a customer can buy or sell in a single order. Essentially it's a limit on a single order size to reduce potentially market disrupting trades being placed in one-go. The freeze quantity is received in exchange scrip master against respective scrip.

Applicability: This rule is applicable for CASH, FNO, Currency, Commodity and OFS Segment and not applicable for MF Segment.

⚙️ Implementation

If Rule is ON – System should Validate, and Reject the Order based on the Order quantity placed against Exchange Freeze Quantity
If Rule is OFF – System should not Validate the Order against Exchange Freeze Quantity

Exchange Freeze Quantity data will be received from Scrip Master file against each scrip.

Assume following data received through scrip master file:

📋 Cont	📊 Seg.	🔑 Sym	📅 Exp. Date	📦 Exchange Freeze Quantity
1	NSE-EQ	TCS	-	1000
2	NSE-EQ	ACC	-	1000
2	BSE-FNO	INFY	15-SEP-2020	3500

Assume that Rule is ON

Place Order:

📋 Cont	📊 Seg.	🔑 Sym	💱 Buy/Sell	📅 Exp. Date	📦 Place Order Qty	🟢 Order Status
1	NSE-EQ	TCS	Buy	-	1050	Order should get Rejected
2	NSE-EQ	ACC	Buy	-	800	Order should get PASS
3	BSE-FNO	INFY	Sell	15-SEP-2020	3600	Order should get Rejected

note

In case of Exchange Freeze Qty value in the Scrip Master is received as '0' against respective token. System should not validate and restrict the order from the contract with freeze qty value as '0'.

Restrict Order based on Exchange Daily Price Range (DPR)

Description: DPR is defined as the Daily price range for a particular scrip by the exchanges. DPR sets the maximum and minimum price range for the scrip and any orders outside that range will be rejected by the exchange.

Source of data: DPR data will be received through offline and online mode against each scrip

Offline – Through Scrip Master
Online – Through broadcast during intraday trading session

⚙️ Implementation

If Rule is ON – System should Validate, and Reject the Order based on the Order Price placed against DPR
If Rule is OFF – System should not Validate the Order against DPR

Assume following data received through scrip master file and through Broadcast:

📋 Cont	📊 Seg.	🔑 Sym	📅 Exp. Date	📊 DPR
1	NSE-EQ	TCS	-	200-300
2	NSE-EQ	ACC	-	350-500
3	BSE-FNO	INFY	15-SEP-2020	1000-2200

Assume that Rule is ON

Place Order:

📋 Cont	📊 Seg.	🔑 Sym	💱 Buy/Sell	📅 Exp. Date	💰 Place Order Price	🟢 Order Status
1	NSE-EQ	TCS	Buy	-	250	Order should get PASS
2	NSE-EQ	ACC	Buy	-	345	Order should get Rejected
3	BSE-FNO	INFY	Sell	15-SEP-2020	2250	Order should get Rejected

Restrict Order based on Exchange Maximum Single Transaction Value

Description: Maximum single transaction value is a restriction to manage risk at exchange level.

Source of data:

Max Single Transaction value data for MCX, NCDEX and Currency Segment will be received through Scrip Master File against each scrip. For NSE/BSE it might or might not be available in scrip master.
If Max single transaction value is not available for the scrips in the scrip master file, then system will consider the value configured in this rule/variable in the Master Config. The default value set by ARMS is 100000000.
If Max single Transaction value is available in Scrip Master file as well as Value is configured in the Master Config Variable, then system will consider the value specified in the Scrip Master file.
In case, if Value in the scrip Master file is mentioned as 0 or -1, then system will not consider the value specified in the scrip master file and in this case, it should consider the value configured in this rule.
System will refer the Value configured for the respective SIP in which the order falls.

⚙️ Implementation

If Rule is ON – System should Validate, and Reject the Order based on the Order Value placed against defined Max Single Transaction Value
If Rule is OFF – System should not Validate the Order against Max Single Transaction Value

Assume following data received through scrip master file and configured in System:

📋 Cont	📊 Seg.	📦 Ins	🔑 Prod	💰 Max Single Transaction Value configured in this rule
1	NSE-EQ	All Scrips/Contracts	Margin	6000
2	All Equity	All Scrips/Contracts	Margin	8000
3	MCX	All Future	Carryforward	9000
4	NCDEX	All Future	Carryforward	Not Configured in this Rule

Assume following Value available in the Scrip Master File:

📋 Cont	📊 Seg.	🔑 Sym	📅 Exp. Date	💰 Max Single Transaction Value available in Scrip Master File
1	MCX	GOLD	15-SEP-2020	10000
2	MCX	SILVER	15-SEP-2020	0
3	NCDEX	SILVER	15-OCT-2020	12000

Assume Sequence Priority Master configured for Equity as ALL Equity >> All Scrips/Contracts >> Margin

Assume that Rule is ON

Place Order:

📋 Ord.	📊 Seg.	🔑 Sym	💱 Buy/Sell	📦 Qty	💰 Price	📅 Exp. Date	💵 Order Value	⚙️ System should Refer Max Single Transaction Value	🟢 Order Status
1	NSE-EQ	TCS	Buy	10	1000	-	10000	8000 (Rule)	Order should get REJECTED
2	NSE-EQ	ACC	Buy	10	700	-	7000	8000 (Rule)	Order should get PASS
3	MCX	GOLD	Buy	10	1200	15-SEP-2020	12000	10000 (Scrip)	Order should get REJECTED
4	MCX	SILVER	Buy	10	1000	15-SEP-2020	10000	9000 (Rule)	Order should get REJECTED
5	MCX	NCDEX	Buy	10	1000	15-SEP-2020	10000	12000 (Scrip)	Order should get PASS

📝 Transaction

Restrict Fresh Order based on Order validity

Description: User can restrict orders based on order validity (i.e., Day, IOC, GTC, AON etc…)

⚙️ Implementation

Custom variables for this rule:

🔑 Variable Name	📦 Variable Type	📊 Variable Value
Normal order	Multiselect Combo	0 - select, 1 - Day, 2 - IOC, 3 - EOS, 4 - GTD, 5 - GTC, 6 - GTT, 7 - AON
Spread Order	Multiselect Combo	0 - select, 1 - Day, 2 - IOC
Multileg order	Multiselect Combo	0 - select, 1 - Day, 2 - IOC

By default, this rule should be Disable.
This rule is not applicable for Auction Order, Bulk Deal, Block Deal order types.
By default all the orders with any validity is allowed however member can select the required validity to restrict order based on order sources and sip combination.
As per order sources and its associated variable value, system shall allow or disallow order with this validity for particular SIP Combination.
On Enabling the rule, system should not allow to place fresh, square-off and modification of order on the selected validity of respective variable.

Following are the list of Validity type where system should allow to restrict the order:

📋 Validity Type
Day, IOC, EOS, GTD, GTC, GTT, AON

Validity Restriction Rule is applicable for Normal Order, Spread Order and Multi-Leg Order.

Scenario 1 - Normal Order

🔑 Variable Name	📦 Variable Type	📝 Business Logic
Normal Order	DAY- Untick IOC- Tick EOS- Untick GTD- Tick GTC- Untick GTT- Untick AON- Untick	By default, Variable should be disabled. As per example: • System should ALLOW to place Fresh Normal Order in DAY, EOS and GTC Validity type. • System should ALLOW to Modify the Order in DAY, EOS and GTC Validity type. • System should ALLOW to place square-off order in DAY, EOS and GTC Validity type. • System should REJECT the fresh order placed in IOC and GTD validity type. • System should REJECT the order if member modifies the Validity from DAY to IOC. • System should REJECT the order if member modifies the Order Qty of Previously placed IOC, GTD Order. • System should REJECT the order if member modifies the Order Price of Previously placed IOC, GTD Order. • System should REJECT the Square-off Order in IOC and GTD Validity type. • This restriction rule is also applicable for orders placed from Bulk Order Entry. • System should validate and reject the orders based on the Validity Type configured for respective SIP Combination. • Proper Rejection reason message should be displayed on Order Validity rejection for Normal orders.

Scenario 2 - Multi Leg Order

🔑 Variable Name	📦 Variable Type	📝 Business Logic
Multi-Leg Order	DAY- Tick IOC- Un-Tick	By default, this variable should be disable. As per example: • System should allow to place 2 Leg and 3 Leg Orders in IOC Validity. • System should Reject 2 Leg and 3 Leg Orders placed in DAY Validity. • Multileg Order should get rejected in case any one of the Leg gets rejected. • Multi Leg order should get rejected for DAY Validity while placing Fresh order, on Modification of order and on placing Square-off Order. • This restriction rule is also applicable for orders placed from Bulk Multileg Order Entry. • System should validate and reject the orders based on the Validity Type configured in Multileg Order variable type for respective SIP Combination. • Proper Rejection reason message should be displayed on Order Validity rejection for Multileg orders.

Scenario 3 - Spread Order

🔑 Variable Name	📦 Variable Type	📝 Business Logic
Spread Order	DAY- Tick IOC- Un-Tick	By default, this variable should be disable. As per example: • System should allow to place Spread Orders in IOC Validity. • System should Reject Spread Orders placed in DAY Validity. • Spread orders should get rejected in case any one of the Leg gets rejected. • Spread order should get rejected for DAY Validity while placing Fresh order, on Modification of Spread order and on placing Spread Square-off Order. • System should validate and reject the orders based on the Validity Type configured in Spread Order variable type for respective SIP Combination. • Proper Rejection reason message should be displayed on Order Validity rejection for Spread Orders.

Validation:

System should validate the Rules based on the SIP Combination as per the sequence priority define in the Sequence priority master for Segment and Instrument.
By default, all the Transaction Order Validity Restriction Rules should be disable.
This rule is applicable for Cash, Derivative, Currency and commodity segments and not applicable for MF and IPO segments.

Restrict Fresh Order based on Order Type

Description: User can restrict orders based on order types and every Order type will be mentioned in the variables (i.e., RL LIMIT, SL LIMIT, RL MKT, SL MKT, Bulk deal, Block deal, Auction Order).

⚙️ Implementation

By default, this rule should be Disable (i.e. Default Variable value as BLANK).

On Enabling the rule, system should not allow to place fresh and modification of order on the selected 'Order Type' of respective variable.

System should allow to select Multiple Order Type through multi select combo option.

Following are the list of Order Type where system should allow to restrict the order:

📋 Order Type
Regular Limit \| Regular Market \| Stop-Loss Limit \| Stop-Loss Market Block Deal \| Bulk Deal \| Auction Order

Following are the list of Applicable Order Type and Applicable Segments:

📋 Order Entry Mode	📦 Applicable Order Type	📊 Applicable Segments
Normal Order	Regular Limit Regular Market Stop-Loss Limit Stop-Loss Market Block Deal Bulk Deal Auction Order	Applicable for all All Segments whereas Auction Order, Block Deal and Bulk Deal Order types are applicable only for Equity segments.
Multi-Leg Order	Regular limit Regular Market	Applicable for Derivative, Currency and Commodity Segments
Spread Order	Regular limit Regular Market	Applicable for Derivative, Currency and Commodity Segments

Order Type Restriction Rule is applicable for Normal Order, Spread Order and Multi-Leg Order.

Normal Order Validation

Assume member has set following configuration in the system for an SIP Combination in Risk Rule Template:

🔑 Variable Name	📦 Variable Value	📝 Business Logic
Normal Order	Regular Limit- Un-Tick Stop-Loss Limit- Un-Tick Block Deal- Un-Tick Auction Order- Un-Tick Regular Market- Tick Stop-Loss Market- Tick Bulk Deal- Tick	• Check box option should be provided against each items of Normal Order Variable. • By default, all the checkbox option should be Un-ticked. • System should allow to PASS the normal order for the order type which is Un-ticked and should REJECT the normal order for the order type which is Ticked Assume, as per the member configuration set in Variable Value Column: • System should allow to PASS Normal order placed for Order Type: Regular Limit, Stop-Loss Limit, Block Deal, Auction Order • System should REJECT the Normal Order placed for Order Type: Regular Market, Stop-Loss Market, Bulk Deal • Fresh Order placed in the Order Type which is selected should get REJECTED (i.e. Regular Market, Stop-Loss Market and Bulk Deal as per example). • Modification of Order (i.e. either of Qty, Price) in the restricted order type should get REJECTED. • System should REJECT the order type modification of Normal order from 'RL Limit' to 'RL Market' or 'SL Market' as per configuration set. • System should REJECT the order type modification of Normal order from 'SL Limit' to 'SL Market' (or) 'RL Market' as per configuration set. • This restriction rule is also applicable for normal orders placed from Bulk Order Entry. • System should validate and reject the orders based on the Order Type configured for respective SIP Combination. • Proper Rejection reason message should be displayed on Order Type rejection for Normal orders.

Multi-Leg Order Validation

Assume member has set following configuration in the system for an SIP Combination in Risk Rule Template:

🔑 Variable Name	📦 Variable Value	📝 Business Logic
Multi-Leg Order	Regular Limit- Un-Tick Regular Market- Tick	• Check box option should be provided against each items of Multi-Leg Order Variable. • By default, all the checkbox option should be Un-ticked. • System should allow to PASS the Multi-Leg order for the Order Type which is Un-ticked and should REJECT the Multi-Leg order for the Order Type which is Ticked Assume, as per the member configuration set in Variable Value Column: • Fresh Multi-Leg Order (i.e 2-Leg or 3-Leg) placed in Order Type- 'Regular Limit' should get PASSED. • Fresh Multi-Leg order (i.e 2-Leg or 3-Leg) placed in Order Type- 'Regular Market' System should REJECT. • System should REJECT the Modification of Multi-Leg order (i.e 2-Leg or 3-Leg) placed in the Order Type which is selected (i.e. Regular Market order as per example). • This restriction rule is also applicable for orders placed from Bulk Multileg Order Entry. • System should validate and reject the orders based on the Order Type configured in Multileg Order variable type for respective SIP Combination. • Proper Rejection reason message should be displayed on Order Type rejection for Multileg orders.

Spread Order Validation:

🔑 Variable Name	📦 Variable Value	📝 Business Logic
Spread Order	Regular Limit- Tick Regular Market- Un-Tick	• Check box option should be provided against each items of Spread Order Variable. • By default, all the checkbox option should be Un-ticked. • System should allow to PASS the Spread Order for the Order Type which is Un-ticked and should REJECT the Multi-Leg order for the Order Type which is Ticked Assume, as per the member configuration set in Variable Value Column: • Fresh Spread Order placed in Order Type- 'Regular Limit' should get REJECT. • Fresh Spread order placed in Order Type- 'Regular Market' System should REJECT. • System should REJECT the Modification of Spread order placed in the Order Type which is selected (i.e. Regular Limit order as per example). • This restriction rule is also applicable for Spread orders placed from Multileg Order Entry and bulk Multi-Leg Order Entry. • System should validate and reject the orders based on the Order Type configured in Spread Order variable type for respective SIP Combination. • Proper Rejection reason message should be displayed on Order Type rejection for Spread orders.

Validation:

System should validate the Rules based on the SIP Combination as per the sequence priority define in the Sequence priority master for Segment and Instrument.
By default, all the Transaction Order Type Restriction Rules should be disable.
This rule is applicable for Cash, Derivative, Currency and commodity segments and not applicable for MF and IPO segments.
This rule should get validated for FRESH buy/sell orders placed from different mode of order entries like Normal Order Entry, Multi-Leg Order Entry, Spread Order Entry, Bulk Order Entry and Bulk Multileg Order Entry.
This rule should get validated for MODIFICATION of buy/Sell order from different mode of order entries like Normal Order Entry, Multi-Leg Order Entry, Spread Order Entry, Bulk Order Entry and Bulk Multileg Order Entry.
Proper rejection reason should be displayed to the user

Restrict Order

Description: Restrict Order rule is used to restrict the orders, for example, restrict fresh buy or sell order.

⚙️ Implementation

By default, this rule should be Disable (i.e. Default Variable value as OFF).

On Enabling the rule, system should not allow to place Fresh Buy/Sell, Today's Buy/Sell Position Square off, Uploaded Buy/Sell Position Square off.

Rules Name: Restrict Order

🔑 Variable Name	📦 Variable Type	📊 Variable Value	⚙️ Default
Fresh Buy	Toggle	Enable / Disable	disable
Fresh Sell	Toggle	Enable / Disable	disable
Today's Buy Position Square off	Toggle	Enable / Disable	disable
Today's Sell Position Square off	Toggle	Enable / Disable	disable
Uploaded Buy Position Square off	Toggle	Enable / Disable	disable
Uploaded Sell Position Square off	Toggle	Enable / Disable	disable

Fresh Buy enable means that Fresh Buy Order is not allowed.
Fresh Sell enable means that Fresh Sell Order is not allowed.
Today's Buy Position Square off enable means that Todays Buy Position square off is not allowed. System will restrict the today's buy position square off (i.e., Sell) order against today's buy position
Today's Sell Position Square off enable means that Todays Sell Position square off is not allowed. System will restrict the today's sell position square off (i.e., Buy) order against today's sell position.
Uploaded Buy Position Square off enable means that Uploaded (Expiry) Buy Position square off is not allowed. System will restrict the Uploaded buy position square off (i.e., Sell) order against Uploaded buy position
Uploaded Sell Position Square off enable means that Uploaded (Expiry) Sell Position square off is not allowed. System will restrict the Uploaded sell position square off (i.e., Buy) order against Uploaded sell position

Validation

Fresh Buy Qty to be considering on following action:

While Placing Buy order in any Scrip where Sell Open Position is Not available.
While Placing Buy Qty greater than the Sell Open Position Qty.
While Modifying Buy Pending Order Qty greater than the Previous Order Qty

Fresh Sell Qty to be considering on following action:

While Placing Sell Order in any Scrip where Buy Open Position is Not available.
While Placing Sell Qty greater than the Buy Open Position Qty.
While Modifying Sell Pending Order Qty greater than the Previous Order Qty.

Today's Buy- Square-off to be consider on following action:

While Placing Sell Order in any Scrip where Buy Open Position is available.

Today's Sell- Square-off to be consider on following action:

While Placing Buy Order in any Scrip where Sell Open Position is available.

Uploaded Buy- Square-off to be consider on following action:

While Placing Sell Order in any Scrip where Buy Open Uploaded Position is available.

Uploaded Sell- Square-off to be consider on following action:

While Placing Buy Order in any Scrip where Sell Open Uploaded Position is available

Example

Assume having following data for User-RET1:

RETK1- NSEEQ-ACC-BUY 10 QTY.
RETK1- NSE FNO-BANKNIFTY-SELL 1 LOT

Assume the following Rule is ON:

🔑 Variable Name	⚙️ ON/OFF
Fresh Buy	ON
Fresh Sell	OFF
Today's Buy Position Square off	ON
Today's Sell Position Square off	ON
Uploaded Buy Position Square off	OFF
Uploaded Sell Position Square off	ON

Place Order:

📋 Cont	📊 Seg.	🔑 Sym	💱 Buy/Sell	📅 Exp. Date	📦 Qty/lot	🟢 Order Status
1	NSE-EQ	TCS	Buy	-	2	Order should get REJECTED against FRESH BUY
2	NSE-EQ	RELIANCE	Sell	-	1	Order should get PASS against FRESH SELL
2	NSE-EQ	ACC	Sell	-	1	Order should get Rejected against TODAY'S BUY POSITION SQUARE OFF
3	NSE-FNO	BANKNFITY	BUY	15-SEP-2020	1	Order should get Rejected against UPLOADED SELL POSITION SQUARE OFF

Restrict Fresh Order Based on LTP Based Price Band

Description: LTP Based Price Band is used to restrict the order in which the Order Price is out of derived Price range based on the LTP of respective scrips. In case, if LTP is not available for any of the scrip - then system shall consider the Last Close Price of the respective scrip to derive the price range.

Applicability: This rule is applicable for Cash, Derivative, Currency and Commodity Segment and not applicable for OFS, IPO and MF Segments.

Implementation

If Rule is ON – System should Validate, and Reject the Order based on the LTP-Based Price Band.
If Rule is OFF – System should not Validate the Order against LTP-Based Price Band.

Validation

System should not validate the Order from the scrip against this LTP Price Band rule if LTP of the scrip doesn't falls under the 'Lower LTP' and 'Upper LTP' value defined in this rule.
System should accept the order if Order Price is within the derived Price range based on current LTP of the scrip and defined LTP Price Band %.
In case of Buy Order – System should consider the Buy Lower Range for minimum and Buy Upper Range for maximum price.
In Case of Sell Order- System should consider the Sell Lower Range for minimum and Sell Upper Range for maximum price.
System should reject the order if Order Price is out of derived price range.

Configuration Example

Assume following data defined in LTP Based Price Band:

📋 Cont	🏢 Seg.	📊 Instrument	📈 Range Start	📈 Range End	💰 Buy Lower Range	💰 Buy Upper Range	💰 Sell Lower Range	💰 Sell Upper Range
1	NSE-EQ	EQUITY	2000	4000	5	20	6	40

Assume that Rule is ON

Place Order: TCS LTP Price: 3589.65

📊 Calculation	📈 Percentage	💰 Formula	💰 Derived Value
Buy Lower Range	5%	=3589.65*5%= 179.4825	=3589.65 - 179.4825 = 3410.1675
Buy Upper Range	20%	=3589.65*20%=717.93	=3589.65 + 717.93 = 4307.58
Sell Lower Range	6%	=3589.65*6%=215.379	=3589.65 - 215.379 = 3374.271
Sell Upper Range	40%	=3589.65*40%=1435.86	=3589.65 + 1435.86 = 5025.51

Order Status:

📋 Cont	🏢 Seg.	📊 Sym	📈 Buy/Sell	💰 Place Order Price	✅ Order Status
1	NSE-EQ	TCS	Buy	3380	Order should get REJECTED
2	NSE-EQ	TCS	SELL	3390	Order should get PASS

Restrict Fresh Market Orders Based on Market Session

Description: Restrict Market Order Session based rule is to restrict Fresh Market Orders based on session. Session here are Considered as AMO(After Market Order) Session, PMO (Pre Market Order) Session, Normal Market Session.

Applicability: This rule is applicable for All the instruments, all the Exchanges, and all the products available in the system except mutual fund segment and its associated instrument / Product.

Implementation

If Rule is ON – System should Validate, and Reject the Fresh Orders based on the Market Session.
If Rule is OFF – System should not Validate the Fresh Order against Market Session.

Variables

⚙️ Variable Name	📝 Variable Type	🔑 Variable Value	📊 Default
During AMO Session	Multi-select Combo	1 - Normal Buy Order 2 - Normal Sell Order 3 - Spread Buy Order 4 - Spread Sell Order 5 - Multi-Leg Buy Order 6 - Multi-Leg Sell Order	All the values -Ticked
During PMO Session	Multi-select Combo	1 - Normal Buy Order 2 - Normal Sell Order 3 - Spread Buy Order 4 - Spread Sell Order 5 - Multi-Leg Buy Order 6 - Multi-Leg Sell Order	All the values -Ticked
During Normal Session	Multi-select Combo	1 - Normal Buy Order 2 - Normal Sell Order 3 - Spread Buy Order 4 - Spread Sell Order 5 - Multi-Leg Buy Order 6 - Multi-Leg Sell Order	All the values -Ticked

As per the variable Value (i.e Buy or Sell) Configured, system should validate the fresh orders placed in the AMO,PMO and Normal Session.

If the rule is enable, then system should not allow to place the fresh Market Order (i.e. RL Market and SL Market) in the AMO,PMO and Normal Session either from Normal Order, Spread Order or Multi-Leg Order as per the configuration.

Validation

Assume following configuration is done in the system:

⚙️ Variable	📝 Value
AMO Session	Normal Buy Order – Ticked Normal Sell Order – Un-Ticked Spread Buy Order – Un-Ticked Spread Sell Order – Un-Ticked Multi-Leg Buy Order – Ticked Multi-Leg Sell Order – Un-Ticked
PMO Session	Normal Buy Order – Ticked Normal Sell Order – Ticked Spread Buy Order – Un-Ticked Spread Sell Order – Un-Ticked Multi-Leg Buy Order – Ticked Multi-Leg Sell Order – Ticked
Normal Market Session	Normal Buy Order – Un-Ticked Normal Sell Order – Un-Ticked Spread Buy Order – Un-Ticked Spread Sell Order – Un-Ticked Multi-Leg Buy Order –Un- Ticked Multi-Leg Sell Order – Un-Ticked

Normal Order

As per configuration, assume if following Normal Orders are placed:

📋 Ord.	📝 Ord. Entry	🏢 Seg.	📊 Sym.	📦 Ins.	📅 Exp.	📈 B/S	💰 Qty	💵 Price	⏰ Session	✅ Order Status
1	Normal Order	NSE	ACC			Buy	10	Market Order	AMO	Order Should get REJECTED
2	Normal Order	NSE	ACC			Sell	10	Market Order	AMO	Order Should get PASS

Spread Order

If any one Leg of Spread Order gets rejected as per the rule configuration, then whole order should get rejected.

Assume if Spread Order is Placed, as per configuration:

📋 Ord.	📝 Ord. Entry	🏢 Seg.	📊 Sym.	📦 Ins.	📅 Exp.	📈 B/S	💰 Qty	💵 Price	⏰ Session	✅ Order Status
3	Spread Order	NSEFNO	ACC	FUTSTK	Exp1: 23/06/2020 Exp2: 21-07-2020	Buy	10	Market Order	AMO	Order should get PASS as 'Spread Order' is Un-Ticked in Applicable Order configuration

Multi-Leg Order

If any one Leg of Multi-Leg Order gets rejected as per the rule configuration, then whole order should get rejected.

Assume if Multi-Leg Order is Placed, as per configuration:

📋 Ord.	📝 Ord. Entry	🏢 Seg.	📊 Sym.	📦 Ins.	📅 Exp.	📈 B/S	💰 Qty	💵 Price	⏰ Session	✅ Order Status
4	Multileg	NSEFNO	Leg1: ACC Leg2: TCS	FUTSTK	Leg1: 23-06-2020 Leg2: 21-07-2020	Leg1: Buy Leg2: Sell	Leg1:5 Leg2:10	Market Order	AMO	Order should get REJECTED as Leg1 is of BUY which is not allowed
5	Multileg	NSEFNO	Leg1: ACC Leg2: TCS	FUTSTK	Leg1: 23-06-2020 Leg2: 21-07-2020	Leg1: Buy Leg2: Buy	Leg1:5 Leg2:10	Market Order	AMO	Order should get REJECTED as Leg1 and Leg2 is of BUY which is not allowed

Restrict Order based on Percentage Near to Daily Price Range (DPR)

Description: Restrict Order Based on Daily Price Range (DPR) is used to restrict the fresh order near Upper or Lower DPR depending on the order side (Buy or Sell) and % defined in the respective variable.

Implementation

If Rule is ON – System should Validate, and Reject the Order based on the Order Price placed Percentage near to DPR
If Rule is OFF – System should not Validate the Order placed Percentage near to DPR

Variables

⚙️ Variable Name	📝 Variable Type	🔑 Variable Value	📊 Default
Fresh Sell Order near to Upper DPR	Percentage field	0.0000 to 100	2(variable will be disable)
Fresh Buy Order near to Lower DPR	Percentage field	0.0000 to 100	2(variable will be disable)

Assume following data received through scrip master file and through Broadcast:

📋 Cont	🏢 Seg.	📊 Sym	📅 Exp. Date	📈 DPR
1	NSE-EQ	RELIANCE	-	1147.6-1402.6

Assume that Rule is ON

Following values defined in the variable:

⚙️ Variable Name	📊 Variable Value
Fresh Sell Order near to Upper DPR	6
Fresh Buy Order near to Lower DPR	10

Calculation:

📝 Type	💰 Value	📈 Percentage	💵 Derived Value
Lower DPR	1147.6	10%	=1147.6*10% =114.76
		Derived Lower DPR	=1147.6+114.7= 1262.36
Higher DPR	1402.6	6%	= 1402*6% =84.156
		Derived Higher DPR	=1402.6-84.156 =1318.444

Place Order:

📋 Cont	🏢 Seg.	📊 Sym	📈 Buy/Sell	💰 Place Order Price	✅ Order Status
1	NSE-EQ	RELIANCE	Buy	1300	Order should get PASS
3	NSE-EQ	RELIANCE	Sell	1350	Order should get Rejected

Restrict Fresh Order based on Expiry Date

Description: This rule is to restrict fresh order prior to expiry date. This rule is applicable for Derivative Segment (FNO, CURR & COMM) and its associated instruments.

Implementation

If Rule is ON – System should Validate, and Reject the Order based on the Expiry Date
If Rule is OFF – System should not Validate the Order based on the Expiry Date

As per this rule configuration, system should restrict fresh order prior to expiry date.

Variables

⚙️ Variable Name	📝 Variable Type	🔑 Variable Value	📊 Default
Fresh Order on 'N' Days Before Expiry Date	Numeric Value	0-999	2(when the option is selected)
Timer	Numeric Value	Validation 24 hour time format only 00:00:00 - 23:59:59	00:00:00

To restrict the fresh BUY or SELL order based on expiry date, system should consider the Rule value defined in No of Days, accordingly fresh buy or fresh sell order should be rejected.

Currently there is default value of 2 which comes even when the option is not selected which should now become zero if unticked.

Scenario: 1

Assume the Contract Details of FNO Segment is like:

🏢 Segment	📊 Symbol	📦 Instrument	📅 Expiry date
NSE	ACC	FUTSTK	28-May-20
NSE	ACC	FUTSTK	25-Jun-20
NSE	ACC	FUTSTK	23-Jul-20

📋 Case	📝 Rule	🔢 No. of Days	📋 Business Logic
1	No of Days	5	As per the example- System should restrict the Fresh Buy or Fresh Sell Order for contract 1. [NSE-ACC-FUTSTK-28/MAY/2020] from 23/MAY/2020 onwards. 2. [NSE-ACC-FUTSTK-25/JUN/2020] from 20/JUN/2020 onwards. 3. [NSE-ACC-FUTSTK-23/JUL/2020] from 18/JUL/2020 onwards.
2	No of Days	0	As per the example- System should restrict the Fresh Buy or Fresh Sell Order for contract 1. [NSE-ACC-FUTSTK-28/MAY/2020] only on 28/MAY/2020. 2. [NSE-ACC-FUTSTK-25/JUN/2020] only on 25/JUN/2020. 3. [NSE-ACC-FUTSTK-23/JUL/2020] only on 28/JUL/2020. Note: ('0' refers to Exact expiry date)

Timer Examples

🔢 N Day value	⏰ Timer	📋 Behaviour expected
2 (Expiry - 2 Date)	13:30:00	All fresh order on or after 13:30:00 on (Expiry - 2 Date) shall be restricted.
1 (Expiry - 1 Date)	15:00:00	All fresh order on or after 15:00:00 on (Expiry - 1 Date) shall be restricted.
0 (Expiry Date)	11:00:00	All fresh order on or after 11:00:00 shall be restricted.

Restrict Fresh Order based on Tender Period

Description: This rule "Restrict Order Based on Tender Period" is to restrict fresh trading during tender period and this rule is applicable for commodity exchanges and its associated instruments.

This rule is applicable for Future Contract as option contract convert into future on expiry.

Implementation

If Rule is ON – System should Validate, and Reject the Order based on Tender Period
If Rule is OFF – System should not Validate the Order based on Tender Period

As per this rule configuration, system should restrict fresh trading during tender period.

Variables

⚙️ Variable Name	📝 Variable Type	🔑 Variable Value	📊 Default
Restrict Fresh Order based on Tender Period	Check-Box	Enable / Disable	Disable

Restrict Order Based on Tender Period

Tender Period refers to the Time Period before the expiry of the Contract. Tender Period is generally 4-5 days before the expiry of the contract.

This rule is applicable for Commodity Segment like MCX, NCDEX, NSE Commodity, BSE Commodity.

Variable 1: Restrict Fresh Order

By default, Variable is Enable.
If the key is enabled, then system should restrict the Fresh order placed in the contracts during the tender period.
If the key is disabled, then system should allow to place the fresh order placed in the contracts during tender period.
This Rule is applicable for future contracts (FUTCOM) whereas Tender Period is not applicable on OPTFUT (Option contract converts into future on expiry).

note

As of Now, this rule is applicable for Commodity segments where Tender Period for the contract is provided by the exchange in Scrip Master file.

Assume following scrip details available in the system:

📋 Con.	🏢 Seg.	📦 Inst.	📊 Sym.	📅 Exp.	📅 TenderStartDate	📅 TenderEndDate
1	MCX	FUTCOM	GOLD	05-Aug-20	30-Jul-20	05-Aug-20
2	MCX	FUTCOM	SILVER	05-Aug-20	30-Jul-20	05-Aug-20

And following orders placed in the system:

📋 Ord.	🏢 Seg.	📊 Sym.	📦 Ins.	📅 Exp.	📈 B/S	💰 Qty	⏰ Order Placed On	✅ Order Status
1	MCX	GOLD	FUTCOM	05-Aug-20	Buy	10	29-Jul-20	Order Should get PASSED (As Order Placed away from Tender Period Range)
2	MCX	GOLD	FUTCOM	05-Aug-20	Buy	10	01-Aug-20	Order Should get REJECTED (As Order Placed within Tender Period Range)

Restrict Order based on Issue Capital

Description: This rule is to restrict the transaction beyond certain amount of Issued capital. This rule is applicable for Cash Segment Only and not applicable for Derivative, Currency, Commodity, MF and IPO segments.

Implementation

If Rule is ON – System should Validate, and Reject the Order based on the Issue Capital
If Rule is OFF – System should not Validate the Order based on Issue Capital

Variables

⚙️ Variable Name	📝 Variable Type	🔑 Variable Value	📊 Default
Restrict Fresh Buy Order when Buy volume is above n% of issued capital	Percentage	between 0.00 to 999.99	15(variable will be disable)
Restrict Fresh Sell Order when Sell volume is above n% of issued capital	Percentage	between 0.00 to 999.99	15(variable will be disable)
Restrict Order when volume is above n% of issued capital	Percentage	between 0.00 to 999.99	15(variable will be disable)

Assume following data received through scrip master file and through Broadcast:

📋 Cont	🏢 Seg.	📊 Sym	📅 Exp. Date	📈 DPR
1	NSE-EQ	RELIANCE	-	1147.6-1402.6

Assume that Rule is ON

Following values defined in the variable:

⚙️ Variable Name	📊 Variable Value
Restrict Fresh Buy Order when Buy volume is above n% of issued capital	20
Restrict Fresh Sell Order when Sell volume is above n% of issued capital	25
Restrict Order when volume is above n% of issued capital	30

Scenario: 1

📋 Ord.	👤 Inv.	🏢 Seg.	📈 B/S	📊 Sym.	📊 Prev. Buy Vol.	💰 Issued Capital	📈 % Defined in rule	💰 Derived Max Buy Qty Allowed	💵 Place Buy Order Qty	✅ Order Status
1	CLI1	NSE	Buy	ACC	11000	60000	20	12000	500	Order should get PASS
2	CLI1	NSE	Buy	ACC	11000	60000	20	12000	1500	Order should get REJECTED

Scenario: 2

📋 Ord.	👤 Inv.	🏢 Seg.	📈 B/S	📊 Sym.	📊 Prev. Sell Vol.	💰 Issued Capital	📈 % Defined in rule	💰 Derived Max Buy Qty Allowed	💵 Place Sell Order Qty	✅ Order Status
1	CLI1	NSE	Sell	ACC	14000	60000	25	15000	500	Order should get PASS
2	CLI1	NSE	Sell	ACC	14000	60000	25	15000	1500	Order should get REJECTED

Scenario: 3

📋 Ord.	👤 Inv.	🏢 Seg.	📈 Place B/S	📊 Sym.	📊 Prev. Buy Vol.	📊 Prev. Sell Vol.	💰 Issued Capital	📈 % Defined in rule	💰 Derived Max Buy/sell Qty Allowed	💵 Order Qty	✅ Order Status
1	CLI1	NSE	Buy	ACC	9000	8000	60000	30	18000	500	Order should get PASS
2	CLI1	NSE	Buy	TCS	13000	4500	60000	30	18000	1500	Order should get REJECTED

Restrict Fresh Order based on Current Day Traded Volume

Description: This rule is to restrict the fresh order in the illiquid scrips based on Today's market volume basis. This rule is applicable for all the exchanges (i.e., Cash, Derivative, Currency and Commodity Segments) except MF, OFS, IPO and its associated instruments.

Implementation

If Rule is ON – System should Validate, and Reject the Order based on the Current Day Traded Volume for the illiquidity scrips
If Rule is OFF – System should not Validate the Order based on the Current Day Traded Volume

Variables

⚙️ Variable Name	📝 Variable Type	🔑 Variable Value	📊 Default	📋 Template
Restrict Fresh Buy Order in scrip which have Today's Traded Volume less than (in terms of Lot)	Numeric Value	0 to 9999999999	100000(variable will be disable)	Risk Rule
Restrict Fresh Sell Order in scrip which have Today's Traded Volume less than (in terms of Lot)	Numeric Value	0 to 9999999999	100000(variable will be disable)	Risk Rule

Assume that Rule is ON

note

System should consider the Current day volume received in Broadcast.

ARMS → Scrip and Contract Info → Market Data Info

📋 Cont.	🏢 Seg.	📊 Sym.	📊 Today Traded Qty
1	NSE-FNO-EXP1-FUT	ACC	10,000
2	NSE-FNO-EXP1-FUT	TCS	5,000

Assume following values defined in the variable in the system: RRT

⚙️ Variable Name	📊 Variable Value
Restrict Fresh Buy Order in scrip which have Today's Traded Volume less than (in terms of Lot)	20
Restrict Fresh Sell Order in scrip which have Today's Traded Volume less than (in terms of Lot)	25

Derived Values:

📋 Cont.	🏢 Seg.	📊 Sym.	🔢 Exchange Lot size	📊 Assume Exchange Current Day Volume	📈 Lot -Defined in this Variable for Buy	💰 Derived Maximum Allowed Qty -Buy	📈 Lot -Defined in this Variable for Sell	💰 Derived Maximum Allowed Qty Sell
1	NSE-FNO	ACC	300	10,000	20	6000	25	7500
2	NSE-FNO	TCS	175	5,000	20	3500	25	4375

Accordingly, assume if following order is placed in the system:

👤 Client	📋 Ord.	🏢 Seg.	📊 Sym.	💵 Place Order	✅ Status
CLI1	1	NSE-FNO	ACC	Place Buy Order Qty: 1200(4 lots)	Order should get PASS as Max allowed Qty is 10000 for ACC
CLI1	2	NSE-FNO	TCS	Place Sell Order Qty: 1750(10 lots)	Order should get REJECTED as Max allowed Qty is 5000 for TCS in which CLI 1 current order qty is 1750 which is greater than Derived Maximum Allowed Qty-Sell

Restrict Fresh Order based on Current Day Traded Value

Description: This rule is to restrict the fresh order in the illiquid scrips based on Today's market value basis. This rule is applicable for all the exchanges (i.e., Cash, Derivative, Currency and Commodity Segments) except MF, OFS, IPO and its associated instruments.

Implementation

If Rule is ON – System should Validate, and Reject the Order based on the Current Day Traded Value for the illiquidity scrips
If Rule is OFF – System should not Validate the Order based on the Current Day Traded Value

Variables

⚙️ Variable Name	📝 Variable Type	🔑 Variable Value	📊 Default	📋 Template
Restrict Fresh Buy Order in scrip which have Today's Traded Value less than	Numeric Value	0.0000 to 900000000000000.0000	500000(variable will be disable)	Risk Rule
Restrict Fresh Sell Order in scrip which have Today's Traded Value less than	Numeric Value	0.0000 to 900000000000000.0000	500000(variable will be disable)	Risk Rule

Assume that Rule is ON

note

System should consider the Current day value received in Broadcast.

ARMS → Scrip and Contract Info → Market Data Info

📋 Cont.	🏢 Seg.	📊 Sym.	💰 Today Traded Value
1	NSE-FNO-EXP1-FUT	ACC	4,00,000
2	NSE-FNO-EXP1-FUT	TCS	7,00,000
3	NSE-FNO-EXP1-FUT	ICICI	5,00,000

Assume following values defined in the variable in the system: RRT

⚙️ Variable Name	📊 Variable Value
Restrict Fresh Buy Order in scrip which have Today's Traded Volume less than	5,00,000
Restrict Fresh Sell Order in scrip which have Today's Traded Volume less than	6,00,000

Accordingly, assume if following order is placed in the system against the contract:

📋 Cont.	🏢 Segment	📦 Inst.	📊 Sym.	📅 Exp.	💵 Place Order	✅ Order Status
1	NSEFNO	FUTSTK	ACC	EXP-1	Buy Qty: 1 (in Lot) Price: 500	Order should get REJECTED as Today's traded value for ACC received through broadcast is: 4,00,000 which is less than the defined value '5,00,000' in the variable.
2	NSEFNO	FUTSTK	TCS	EXP-1	Buy Qty: 1 (in Lot) Price: 2200	Order should get PASS as Today's traded value for TCS received through broadcast is: 7,00,000 which is greater than the defined value '5,00,000' in the variable.
3	NSEFNO	FUTSTK	ICICI	EXP-1	Sell Qty: 1 (in Lot) Price: 500	Order should get REJECTED as Today's traded value for ICICI received through broadcast is: 5,00,000 which is less than the defined value '6,00,000' in the variable

Restrict Fresh Order based on Previous Day Traded Volume

Description: This rule is to restrict the fresh order in the illiquid scrips based on Previous Day market volume basis. This rule is applicable for all the exchanges (i.e., Cash, Derivative, Currency and Commodity Segments) except MF, OFS, IPO and its associated instruments.

Implementation

If Rule is ON – System should Validate, and Reject the Order based on the Previous Day Traded Volume for the illiquidity scrips
If Rule is OFF – System should not Validate the Order based on the Previous Day Traded Volume

Variables

⚙️ Variable Name	📝 Variable Type	🔑 Variable Value	📊 Default	📋 Template
Restrict Fresh Buy Order in scrip which have Previous Traded Volume less than (in terms of Lot)	Numeric Value	0 to 9999999999	100000(variable will be disable)	Risk Rule
Restrict Fresh Sell Order in scrip which have Previous Traded Volume less than (in terms of Lot)	Numeric Value	0 to 9999999999	100000(variable will be disable)	Risk Rule

Assume that Rule is ON

note

System should consider the Previous day volume received in Broadcast.

ARMS → Scrip and Contract Info → Bhav Copy Info

📋 Cont.	🏢 Seg.	📊 Sym.	📊 Volume
1	NSE-FNO-EXP1-FUT	ACC	10,000
2	NSE-FNO-EXP1-FUT	TCS	5,000

Assume following values defined in the variable in the system: RRT

⚙️ Variable Name	📊 Variable Value
Restrict Fresh Buy Order in scrip which have Previous Day Traded Volume less than (in terms of Lot)	20
Restrict Fresh Sell Order in scrip which have Previous Day Traded Volume less than (in terms of Lot)	25

Derived Values:

📋 Cont.	🏢 Seg.	📊 Sym.	🔢 Exchange Lot size	📊 Assume Exchange Previous Day Volume	📈 Lot -Defined in this Variable for Buy	💰 Derived Maximum Allowed Qty -Buy	📈 Lot -Defined in this Variable for Sell	💰 Derived Maximum Allowed Qty Sell
1	NSE-FNO	ACC	300	10,000	20	6000	25	7500
2	NSE-FNO	TCS	175	5,000	20	3500	25	4375

Accordingly, assume if following order is placed in the system:

👤 Client	📋 Ord.	🏢 Seg.	📊 Sym.	💵 Place Order	✅ Status
CLI1	1	NSE-FNO	ACC	Place Buy Order Qty: 1200(4 lots)	Order should get PASS as Max allowed Qty is 10000 for ACC
CLI1	2	NSE-FNO	TCS	Place Sell Order Qty: 1750(10 lots)	Order should get REJECTED as Max allowed Qty is 5000 for TCS in which CLI 1 current order qty is 1750 which is greater than Derived Maximum Allowed Qty-Sell

Restrict Fresh Order based on Previous Day Traded Value

Description: This rule is to restrict the fresh order in the illiquid scrips based on Previous market value basis. This rule is applicable for all the exchanges (i.e., Cash, Derivative, Currency and Commodity Segments) except MF, OFS, IPO and its associated instruments.

Implementation

If Rule is ON – System should Validate, and Reject the Order based on the Previous Day Traded Value for the illiquidity scrips
If Rule is OFF – System should not Validate the Order based on the Previous Day Traded Value

Variables

⚙️ Variable Name	📝 Variable Type	🔑 Variable Value	📊 Default	📋 Template
Restrict Fresh Buy Order in scrip which have Previous Traded Value less than	Numeric Value	0.0000 to 900000000000000.0000	500000(variable will be disable)	Risk Rule
Restrict Fresh Sell Order in scrip which have Previous Traded Value less than	Numeric Value	0.0000 to 900000000000000.0000	500000(variable will be disable)	Risk Rule

Assume that Rule is ON

note

System should consider the Previous day value received in Broadcast.

ARMS → Scrip and Contract Info → Bhav Copy Info

📋 Cont.	🏢 Seg.	📊 Sym.	💰 Value
1	NSE-FNO-EXP1-FUT	ACC	4,00,000
2	NSE-FNO-EXP1-FUT	TCS	7,00,000
3	NSE-FNO-EXP1-FUT	ICICI	5,00,000

Assume following values defined in the variable in the system: RRT

⚙️ Variable Name	📊 Variable Value
Restrict Fresh Buy Order in scrip which have Today's Traded Volume less than	5,00,000
Restrict Fresh Sell Order in scrip which have Today's Traded Volume less than	6,00,000

Accordingly, assume if following order is placed in the system against the contract:

📋 Cont.	🏢 Segment	📦 Inst.	📊 Sym.	📅 Exp.	💵 Place Order	✅ Order Status
1	NSEFNO	FUTSTK	ACC	EXP-1	Buy Qty: 1 (in Lot) Price: 500	Order should get REJECTED as Today's traded value for ACC received through broadcast is: 4,00,000 which is less than the defined value '5,00,000' in the variable.
2	NSEFNO	FUTSTK	TCS	EXP-1	Buy Qty: 1 (in Lot) Price: 2200	Order should get PASS as Today's traded value for TCS received through broadcast is: 7,00,000 which is greater than the defined value '5,00,000' in the variable.
3	NSEFNO	FUTSTK	ICICI	EXP-1	Sell Qty: 1 (in Lot) Price: 500	Order should get REJECTED as Today's traded value for ICICI received through broadcast is: 5,00,000 which is less than the defined value '6,00,000' in the variable

Restrict Fresh Order based on Open Interest Quantity

Description: This rule is to restrict the fresh order based on Open Interest. This Rule is applicable for Cash Derivative, Currency Derivative and Commodity Derivative Segments. This rule is not applicable for segments like CASH, MF and IPO.

Implementation

If Rule is ON – System should Validate, and Reject the Order based on the Open Interest Quantity
If Rule is OFF – System should not Validate the Order based on the Open Interest Quantity

As per this rule configuration, system should allow to place fresh order in the contract when Open Interest of the contract at exchange level is equal to or above the derived Open Position in the system as per value set in this variable.

Variables

⚙️ Variable Name	📝 Variable Type	🔑 Variable Value	📊 Default	📋 Template
Restrict Fresh Order in scrip which have Open Interest Qty less than (in terms of Lot)	Numeric Value	0 to 9999999999	100000(variable will be disable)	Risk Rule

Assume that Rule is ON

note

Open interest value is received from exchange for each contract through two modes:

Through Broadcast
Through Bhav-copy file

Assume following Open Position is available at exchange level for each contract:

📋 Contract	🏢 Seg.	📊 Sym.	📅 Exp.	📊 Current Open Position Qty at Exchange Level
1	NSE	ACC	27-Aug-20	15000
2	NSE	TCS	27-Aug-20	4000

Assume following values defined in the variable in the system: RRT

⚙️ Variable Name	📊 Variable Value
Restrict Fresh Order in scrip which have Open Interest Qty less than (in terms of Lot)	25

Accordingly, assume if following order is placed in the system:

📋 Order	🏢 Segment	📊 Symbol	📈 B/S	💰 Qty	🔢 Lot Size	💵 Placed Order Qty	📊 Current Open Position Qty at Exchange Level	💰 Derived Maximum Open Position Qty	✅ Status as per Rule
1	NSE	ACC	Buy	2	300	600	15000	7500	Order should get PLACED as exchange level Position qty is greater than derived OI limit
2	NSE	TCS	Buy	1	175	175	4000	4375	Order should get REJECTED as exchange level Position qty is Less than derived OI limit

Restrict Fresh Order based on Open Interest Value

Description: This rule is to restrict the fresh order based on Open Interest Value. This Rule is applicable for Cash Derivative, Currency Derivative and Commodity Derivative Segments. This rule is not applicable for segments like CASH, MF and IPO.

Implementation

If Rule is ON – System should Validate, and Reject the Order based on the Open Interest Value
If Rule is OFF – System should not Validate the Order based on the Open Interest Value

As per this rule configuration, system should allow to place fresh order in the contract when Open Interest Value of the contract at exchange level is equal to or above the derived Open Position in the system as per value set in this variable.

Variables

⚙️ Variable Name	📝 Variable Type	🔑 Variable Value	📊 Default	📋 Template
Fresh Order in Scrip which have Open Interest Value less than (OI * LTP) for Future and (OI * (LTP + Strike Price)) for Option	Numeric Value	0.0000 to 900000000000000.0000	500000(variable will be disable)	Risk Rule

Assume that Rule is ON

note

Open interest value is received from exchange for each contract through two modes:

Through Broadcast
Through Bhav-copy file

Assume following Open Position is available at exchange level for each contract:

📋 Contract	🏢 Seg.	📊 Sym.	📅 Exp.	📊 Current Open Position Qty at Exchange Level
1	NSE	ACC	27-Aug-20	15000
2	NSE	TCS	27-Aug-20	4000

Assume following values defined in the variable in the system: RRT

⚙️ Variable Name	📊 Variable Value
Fresh Order in Scrip which have Open Interest Value less than (OI * LTP) for Future and (OI * (LTP + Strike Price)) for Option	90000

Open Interest Derivation Formula

📦 Instrument	📝 Formula
FUTURE OI Value	Open Interest * LTP * CVF
OPTION OI Value	Open Interest * (LTP + Strike price) * CVF

Assume Open interest at the Exchange Level for the contract is:

📋 Contract	🏢 Segment	📦 Inst.	📊 Sym.	📅 Exp.	💰 Strike Price	📈 Opt. type	💵 Open interest value at Exchange Level for the Contract
1	NSE	FUTSTK	ACC	27-Aug-20	-	-	1000
2	NSE	FUTSTK	TCS	27-Aug-20			900
3	NSE	OPTSTK	TCS	27-Aug-20	1500	CE	1200

As per Formula:

📋 Contract	🏢 Seg.	📦 Inst.	📊 Sym.	📅 Exp.	💰 Str. Pri.	📈 Opt type	💵 LTP	📊 OI received on Broadcast for the contract	💰 Derived Open Interest value
1	NSE	FUTSTK	ACC	27-Aug-20	-	-	80	1000	10000
2	NSE	FUTSTK	TCS	27-Aug-20	-	-	165	900	148500
3	NSE	OPTSTK	TCS	27-Aug-20	1500	CE	30	1200	1836000

And following Order is placed in the system:

📋 Ord.	🏢 Seg.	📦 Inst.	📊 Sym.	📅 Exp.	💰 Str. Pri.	📈 Opt type	💵 Order Placed with Qty	✅ Order Status
1	NSE	FUTSTK	ACC	27-Aug-20	-	-	1	Order should get REJECTED as Derived OI value (i.e. 40000 is less than define OI Value in Variable (i.e. 90000))
2	NSE	FUTSTK	TCS	27-Aug-20	-	-	1	Order should get PASSED as Derived OI value (i.e. 148500 is greater than define OI Value in Variable (i.e. 90000))
3	NSE	OPTSTK	TCS	27-Aug-20	1500	CE	1	Order should get PASSED as Derived OI value (i.e. 918000 is greater than define OI Value in Variable (i.e. 90000))

Restrict Fresh Order based on Strike Price Range

Description: This rule is to restrict fresh order in illiquid option contracts based on Strike Price Range. This rule is application for Derivative Segment (FNO, CURR & COMM) and its associated option related instruments.

Implementation

If Rule is ON – System should Validate, and Reject the Order based on the Strike Price Range
If Rule is OFF – System should not Validate the Order based on the Strike Price Range

As per this rule configuration, system should allow to place fresh order in the contract when Strike Price in the Option Contracts is away from the Spot defined in the variable.

Variables

⚙️ Variable Name	📝 Variable Type	🔑 Variable Value	📊 Default
Fresh In the money Option Contracts (Away from Spot) - Call	Percentage	any value between 0.00 to 999.99	10
Fresh Out the money Option Contracts (Away from Spot) - Call	Percentage	any value between 0.00 to 999.99	10
Fresh In the money Option Contracts (Away from Spot) - Put	Percentage	any value between 0.00 to 999.99	10
Fresh Out the money Option Contracts (Away from Spot) - Put	Percentage	any value between 0.00 to 999.99	10
Perform theoretical price for out of range Contract	toggle	enable / disable	disable
In the Money Fresh Order price beyond the theo price - Call	Percentage	any value between 0.00 to 999.99	999.99
Out the Money Fresh Order price beyond the theo price - Call	Percentage	any value between 0.00 to 999.99	999.99
In the Money Fresh Order price beyond the theo price - Put	Percentage	any value between 0.00 to 999.99	999.99
Out the Money Fresh Order price beyond the theo price - Call	Percentage	any value between 0.00 to 999.99	999.99

Derivation of ATM, ITM and OTM based on Underlying Stock Price

Scrip - TCS; Underlying Price of TCS- 2067.5; Nearby Round up strike price- 2100; Strike Price difference- 50

💰 Strike Price Difference	📈 CE	📉 PE
1800	ITM	OTM
1850	ITM	OTM
1900	ITM	OTM
1950	ITM	OTM
2000	ITM	OTM
2050	ITM	OTM
2100	ATM	ATM
2150	OTM	ITM
2200	OTM	ITM
2250	OTM	ITM
2300	OTM	ITM
2350	OTM	ITM
2400	OTM	ITM

Variable 1: Fresh IN THE MONEY Option Contracts (Away from Spot) – CALL

This rule is applicable for ITM CALL OPTION Contracts

💰 Underlying TCS Stock Price	📈 ITM-CE %	💵 Derived Value	📊 Difference
2067.5	10	206.75	1860.75

System should REJECT the fresh order with in Strike Price which is near to the defined range from TCS Underlying Price.

As per the derived Strike Price (i.e. 1860.75):

Fresh order should ALLOWED in the contracts with strike price range of 1900 to 2100.
Fresh order should REJECTED in the contracts with strike price range of 1800 to 1850.

Variable 2: Fresh OUT THE MONEY Option Contracts (Away from Spot) – CALL

This rule is applicable for OTM CALL OPTION Contracts

💰 Underlying TCS Stock Price	📈 OTM-CE %	💵 Derived Value	📊 Summing
2067.5	10	206.75	2274.25

System should REJECT the fresh order with in Strike Price which is near to the defined range from TCS Underlying Price.

As per the derived Strike Price (i.e. 2274.25):

Fresh order should ALLOWED in the contracts with strike price range of 2100 to 2300 of CE.
Fresh order should REJECTED in the contracts with strike price range of 2350 to 2400 of CE.

Variable 3: Fresh IN THE MONEY Option Contracts (Away from Spot) – PUT

This rule is applicable for ITM PUT OPTION Contracts

💰 Underlying TCS Stock Price	📈 ITM-PE %	💵 Derived Value	📊 Summing
2067.5	10	206.75	2274.25

System should REJECT the fresh order with in Strike Price which is near to the defined range from TCS Underlying Price.

As per the derived Strike Price (i.e. 2274.25):

Fresh order should ALLOWED in the contracts with strike price range of 2100 to 2300 of PE.
Fresh order should REJECTED in the contracts with strike price range of 2350 to 2400 of PE.

Variable 4: Fresh OUT THE MONEY Option Contracts (Away from Spot) – PUT

This rule is applicable for OTM PUT OPTION Contracts

💰 Underlying TCS Stock Price	📈 OTM-PE %	💵 Derived Value	📊 Difference
2067.5	10	206.75	1860.75

System should REJECT the fresh order with in Strike Price which is near to the defined range from TCS Underlying Price.

As per the derived Strike Price (i.e. 1860.75):

Fresh order should ALLOWED in the contracts with strike price range of 1900 to 2100.
Fresh order should REJECTED in the contracts with strike price range of 1800 to 1850.

Variable 5: Perform Theoretical Price for Out of Range Contract

Variable type for this key is to Enable or Disable the feature.

By default, variable should be Disable.
If the variable is enable, then system should Perform the Theoretical Price check for Out of Range Contracts and if this key is disable then system should not perform the Theoretical Price Check.

Out of Range Contracts means - Contracts with "Strike Price" which is not in the defined Range of:

"Fresh In the Money Option Contract- CALL (ITM-CALL)".
"Fresh Out The Money Option Contract- CALL (OTM- CALL)".
"Fresh In The Money Option Contract- PUT (ITM-PUT)".
"Fresh Out The Money Option-PUT (OTM_PUT).

If the Order Price of out of Range Contracts is in the range of Theoretical Price, then system should ALLOW to place.

If the Order Price of Out of Range Contracts is not in the range of Theoretical price, then system should REJECT the order.

Following variables are used to Perform the Theoretical Price Check for Out of Range Contracts.

Variable 6: In the Money – Fresh Order Price beyond the Theoretical Price- CALL

System should calculate the Order Price Range for "In the Money- CALL" Contracts as per the percentage defined in this variable. Derived price range will be different for Buy Order and Sell order.

System should allow to define the percentage from 0 to 999.99
By default, Percentage value should be 999.99.

Assume If Perform Theoretical Price for Out of Range Contract is Enable

As per example specified above for Contracts and example provided in Variable 1

Derived In The Money- CALL Contracts Strike Price Range is from 1900 to 2100 (i.e. Contract 3 to Contract 7) and Out of Range Contract Strike Price Range from 1800 to 1850 (i.e. Contract 1 to Contract 2).

Accordingly, system should check the order price placed in the Contracts 1 to Contract 2. If the Order Price placed is in the range of theoretical price, then system should ALLOW to Place the Fresh Order else if the Order Price is not in the range of theoretical price, then system should REJECT the Fresh Order placed.

📋 Case	📊 Symbol	📅 Exp Date	💰 Strike Price	📈 Opt Type	📊 DPR Range	💵 ** Assume Theo Price Range	💰 Order Price	✅ Status
1	TCS	25-Jun-20	1800	CE	0.05-350	10-300	5	Order Should get REJECTED
2	TCS	25-Jun-20	1850	CE	0.05-318	10-300	100	Order Should get PASS
3	TCS	25-Jun-20	1900	CE	0.05-285	1900 Strike Price is in the Range of ITM-CE

Variable 7: Out the Money – Fresh Order Price beyond the Theoretical Price- CALL

System should calculate the Order Price Range for "Out the Money- CALL" Contracts as per the percentage defined in this variable. Derived price range will be different for Buy Order and Sell order.

System should allow to define the percentage from 0 to 999.99
By default, Percentage value should be 999.99.

Assume If Perform Theoretical Price for Out of Range Contract is Enable

As per example specified above for Contracts and example provided in Variable 2

Derived Out The Money- CALL Contracts Strike Price Range is from 2100 to 2300 (i.e. Contract 7 to Contract 11) and Out of Range Contract Strike Price Range from 2350 to 2400 (i.e. Contract 12 to Contract 13).

Accordingly, system should check the order price placed in the Contracts 12 to Contract 13. If the Order Price placed is in the range of theoretical price, then system should ALLOW to Place the Fresh Order else if the Order Price is not in the range of theoretical price, then system should REJECT the Fresh Order Placed.

📋 Case	📊 Symbol	📅 Exp Date	💰 Strike Price	📈 Opt Type	📊 DPR Range	💵 Theo Price Range	💰 Order Price	✅ Status
1	TCS	25-Jun-20	2300	CE	0.05-120	2300 Strike Price is in the Range of OTM-CE
2	TCS	25-Jun-20	2350	CE	0.05-107	10.05 - 90	5	Order Should get REJECTED
3	TCS	25-Jun-20	2400	CE	0.05-95	10.05 - 90	80	Order Should get PASS

Variable 8: In the Money – Fresh Order Price beyond the Theoretical Price- PUT

System should calculate the Order Price Range for "In the Money- PUT" Contracts as per the percentage defined in this variable. Derived price range will be different for Buy Order and Sell order.

System should allow to define the percentage from 0 to 999.99
By default, Percentage value should be 999.99.

Assume If Perform Theoretical Price for Out of Range Contract is Enable

As per example specified above for list of Contracts and example provided in Variable 3

Derived In The Money- PUT Contracts Strike Price Range is from 2100 to 2300 (i.e. Contract 20 to Contract 24) and Out of Range Contract Strike Price Range from 2350 to 2400 (i.e. Contract 25 to Contract 26).

Accordingly, system should check the order price placed in the Contracts 25 to Contract 26. If the Order Price placed is in the range of theoretical price, then system should ALLOW to place Fresh Order else if the Order Price is not in the range of theoretical price, then system should REJECT the Fresh Order Placed.

📋 Case	📊 Symbol	📅 Exp Date	💰 Strike Price	📈 Opt Type	📊 DPR Range	💵 Theo Price Range	💰 Order Price	✅ Status
1	TCS	25-Jun-20	2300	PE	302-802	2300 Strike Price is in the Range of ITM-PE
2	TCS	25-Jun-20	2350	PE	338-853	350 - 840	340	Order Should get REJECTED
3	TCS	25-Jun-20	2400	PE	376-904	350 - 840	380	Order Should get PASS

Variable 9: Out the Money – Fresh Order Price beyond the Theoretical Price- PUT

System should calculate the Order Price Range for "Out the Money- PUT" Contracts as per the percentage defined in this variable. Derived price range will be different for Buy Order and Sell order.

System should allow to define the percentage from 0 to 999.99
By default, Percentage value should be 999.99.

Assume If Perform Theoretical Price for Out of Range Contract is Enable

As per example specified above for list of Contracts and example provided in Variable 4

Derived Out the Money- PUT Contracts Strike Price Range is from 1900 to 2100 (i.e. Contract 14 to Contract 18) and Out of Range Contract Strike Price Range from 1800 to 1850 (i.e. Contract 19 to Contract 20).

Accordingly, system should check the order price placed in the Contracts 19 to Contract 20. If the Order Price placed is in the range of theoretical price, then system should ALLOW to place Fresh Order else if the Order Price is not in the range of theoretical price, then system should REJECT the Fresh Order Placed.

📋 Case	📊 Symbol	📅 Exp Date	💰 Strike Price	📈 Opt Type	📊 DPR Range	💵 Theo Price Range	💰 Order Price	✅ Status
1	TCS	25-Jun-20	1800	PE	36-330	50-300	40	Order Should get REJECTED
2	TCS	25-Jun-20	1850	PE	53-375	50-300	100	Order Should get PASS

Restrict Order which are not part of Scrip Basket – Margin (allowed)

Description: This rule is to accept or reject the order based on availability of scrip in Scrip Basket. This Rule is applicable for all the segments like Cash, FNO, Currency, Commodity, SLBM & OFS except MF & IPO.

Implementation

If Rule is ON – System should Validate, and Reject the Order which are not part of Scrip Basket-Margin(Allowed)
If Rule is OFF – System should not Validate the Order based on the Scrip Basket-Margin(Allowed)

As per this rule configuration, system should allow order for the Scrips/Contracts only which are part of Scrip Basket Margin.

Variables

⚙️ Variable Name	📝 Variable Type	🔑 Variable Value	📊 Default
Restrict Order which are not part of Scrip Basket-Margin(Allowed)	Check-Box	Enable / Disable	Disable

This Rule shall be validated for Fresh Order not for square off Order.

If this rule (Restrict Trading other than scrip basket Scrip) is checked then System shall check whether such scrip in which order is placed is part of assigned scrip basket template to the entity for which order is placed. Kindly note that "Multiple Scrip Basket - Margin" Template can be assigned. so scrip available in any of the assigned basket then system shall allow else reject.

Case 1: Rule Checked and Scrip Exists in assigned scrip basket- margin

System should pass such order for this rule and proceed for further rule validation.

Case 2: Rule Checked and Scrip does not exist in assigned scrip basket - margin

System should reject such order for this rule and generate the log i.e., Rule ID / Template Name/etc.

Case 3: Rule unChecked

System should not execute this rule and proceed for further rule validation.

Scrip Basket -Margin can be set for respective exchange token or combined token.

In case of interop - ON, System shall validate based on Combined token.
For Equity & SLBM segment, scrip basket shall have record of respective token.
For derivative segment (FNO, CURR & COMM), Scrip basket shall have record based in symbol, Expiry Combination (respective expiry, Expiry Type, all Expiry). In this case system shall check all three level for Future Contract, while checking the expiry date, system will first check respective expiry date i.e. 31-jul-2020 then expiry date type (current, Current +1, etc.) and then expiry date as "ALL".

Assume Interop is ON for EQ and FNO segment.

Example For EQ

ASSUMING in Scrip basket Template is having following records:

🏢 Segment	📊 Symbol	📋 Series
ALL EQ	ACC	EQ
ALL EQ	TCS	EQ

With above example, System shall not allowed to place order in RELIANCE scrip as it is not part of Scrip Basket Margin Template.

Example for FNO (Future contract)

ASSUMING system have 3 expiry date for a particular contract i.e. 31-JUL-2020(Current), 30-AUG-2020(Current + 1), 30-SEP-2020 (Current + 2) and in Scrip basket Template is having following records:

🏢 Segment	📊 Symbol	📅 Expiry Date
ALL FNO	ACC	31/JUL/2020
ALL FNO	ACC	Current
ALL FNO	ACC	Current +1

With above example, System shall not allowed to place order in ACC for Current + 2 expiry i.e. 30-SEP-2020.

Example for FNO (Option contract)

For derivative segment (FNO, CURR & COMM), Scrip basket shall have record based in symbol, Expiry Combination (respective expiry, Expiry Type, all Expiry), Strike Price (ALL), Option Type, ITM %, OTM %. In this case system shall check all level for option contract.

Considering above scrip in system and underlying price as 10000, following records are available in scrip basket:

🏢 Segment	📊 Symbol	📅 Expiry Date	📈 ITM%	📉 OTM %	📊 Option type
ALL FNO	ACC	31/JUL/2020	5%	10%	CALL
ALL FNO	ACC	Current	10%	10%	CALL
ALL FNO	ACC	Current +1	10%	10%	CALL

For Contract expiring on 31-JUL-2020, System will allow order where strike price is between 9500 - 11000 for call, other strike price order for this expiry shall get rejected.

Restrict Order based on Entity Level Direct Restriction

Description: This rule is to allow/disallow the scrip whether same is allowed for trading either to place fresh order or to place only square off order based on the restriction type mentioned against scrip. This rule is applicable for all the segments except MF and its associated instruments.

Implementation

If Rule is ON – System should Validate and Reject the Order based on User Level Direct restriction
If Rule is OFF – System should not Validate the Order based on User Level Direct restriction

As per this rule configuration, system should allow/disallow the scrip whether same is allowed for trading either to place fresh order or to place only square off order based on the restriction type mentioned against scrip.

Variables

⚙️ Variable Name	📝 Variable Type	🔑 Variable Value	📊 Default
Restrict Order based on User Level Direct restriction	Check-Box	Enable / Disable	Disable

Member can define such restriction against user directly using Entity Level direct restriction.

Member can add the record in following combination:

Equity: Exchange- Symbol-Series-Product
Future: Exchange- Symbol-Contract Type-Expiry Date-Product
Options: Exchange- Symbol-Contract Type-Expiry Date-Strike price-Option Type-Product

In case of INTOP ON, Member can defined scrip basket template against combined segment based on Combined Scrip Master.

Once a scrip is identified against user in Entity Level direct restriction configuration then system shall validate restriction type and restriction date.

System shall check only active validation i.e. restriction date is greater then or equal to current date. In case of amo /pmo order, system shall refer respective variable mention above.

Based on the Validation Type, System shall either PASS or FAIL the order for this rule.

Validation Type

🔒 Restriction Type	📋 Business Logic
Fresh Buy	In case such variable is selected then system shall not allow to place fresh buy order, This variable shall be checked for Buy Transactions
Fresh Sell	In case such variable is selected then system shall not allow to place fresh sell order. This variable shall be checked for Sell Transactions
Buy Intraday Position Square off	In case such variable is selected then system shall not allow to place Sell order against intraday buy position This Variable shall be checked for Sell Transaction
Sell Intraday Position Square off	In case such variable is selected then system shall not allow to place Buy order against intraday buy position This Variable shall be checked for Buy Transaction
Buy Uploaded Position Square off	In case such variable is selected then system shall not allow to place Sell order against uploaded buy position This Variable shall be checked for Sell Transaction
Sell Uploaded Position Square off	In case such variable is selected then system shall not allow to place Buy order against uploaded buy position This Variable shall be checked for Buy Transaction This is not applicable for CASH,OFS,MF SEGMENT
Rollover	This variable shall be checked for buy as well as sell transaction and applicable only for derivative segments. In case such variable is selected This is applicable only for Derivative Segments(FNO, CURR & COMM) Rollover shall be checked when Fresh Buy or Fresh Sell or Both is selected
DMA Buy	This variable shall be checked for Buy Order of IOB Transaction
DMA Buy	This variable shall be checked for Sell Order of IOB Transaction

Example

EXAMPLE 1 USER is having following position:

Intraday buy 10 qty in scrip ACC
Buy Uploaded 5 qty in scrip ACC
Intraday sell 10 qty in scrip DABUR
Sell uploaded 5 qty in scrip DABUR

Scrip ACC and DABUR are restricted for this USER. In different variable type combination following will be the impact.

Scenario 1:

Order place to buy 10 qty ACC will reject against fresh buy check
Order place to sell 10 qty ACC will allow. Buy intraday sq off is uncheck
Order place to sell 15 qty ACC will allow. Buy intraday sq off and buy upload sq off is uncheck
Order place to sell 20 qty ACC will reject against fresh sell check.
Order place to sell 10 DABUR will reject against fresh sell check.
Order place to buy 10 qty DABUR will allow. Sell intraday sq off is uncheck
Order place to buy 15 qty DABUR will allow. Sell intraday sq off and Sell upload sq off is uncheck.
Order place to Buy 25 qty DABUR will reject against fresh buy is check.

Restrict Order based on Scrip Basket Restricted

Implementation

If Rule is ON – System should Validate and Reject the Order based on Scrip Basket Restriction
If Rule is OFF – System should not Validate the Order based on Scrip Basket Restriction

Variables

⚙️ Variable Name	📝 Variable Type	🔑 Variable Value	📊 Default
Restrict Order based on Scrip Basket Restricted	Check-Box	Enable / Disable	Disable

Member can define such restriction against scrip using Scrip Basket restricted Template.

Member can add the record in following combination:

Equity: Exchange- Symbol-Series-Product
Future: Exchange- Symbol-Contract Type-Expiry Date-Product
Options: Exchange- Symbol-Contract Type-Expiry Date-Strike price-Option Type-Product

In case of INTOP ON, Member can defined scrip basket template against combined segment based on Combined Scrip Master.

Once a scrip is identified in Scrip Basket Restricted Template then system shall validate restriction type and restriction date.

System shall check only active validation i.e. restriction date is greater then or equal to current date. In case of amo /pmo order, system shall refer respective variable mention above.

Based on the Validation Type, System shall either PASS or FAIL the order for this rule.

Validation Type

🔒 Restriction Type	📋 Business Logic
Fresh Buy	In case such variable is selected then system shall not allow to place fresh buy order, This variable shall be checked for Buy Transactions
Fresh Sell	In case such variable is selected then system shall not allow to place fresh sell order. This variable shall be checked for Sell Transactions
Buy Intraday Position Square off	In case such variable is selected then system shall not allow to place Sell order against intraday buy position This Variable shall be checked for Sell Transaction
Sell Intraday Position Square off	In case such variable is selected then system shall not allow to place Buy order against intraday buy position This Variable shall be checked for Buy Transaction
Buy Uploaded Position Square off	In case such variable is selected then system shall not allow to place Sell order against uploaded buy position This Variable shall be checked for Sell Transaction
Sell Uploaded Position Square off	In case such variable is selected then system shall not allow to place Buy order against uploaded buy position This Variable shall be checked for Buy Transaction This is not applicable for CASH,OFS,MF SEGMENT
Rollover	This variable shall be checked for buy as well as sell transaction and applicable only for derivative segments. In case such variable is selected This is applicable only for Derivative Segments(FNO, CURR & COMM) Rollover shall be checked when Fresh Buy or Fresh Sell or Both is selected
DMA Buy	This variable shall be checked for Buy Order of IOB Transaction
DMA Sell	This variable shall be checked for Sell Order of IOB Transaction

Example:1

Investor is having following position:

ACC 10 BUY INTRADAY POSITION

ACC 5 BUY UPLOADED POSITION

Member defined following restriction type validation for the above mentioned scrip:

FRESH BUY UNCHECK | BUY INTRADAY SQUARE OFF CHECK | BUY UPLOADED SQUAREOFF UNCHECK | ROLLOVER UNCHECK

Order place to sell 10 qty system will reject order against Buy intraday square off is checked
Order place to sell 5 qty system will reject order as system adjust it with 10 intraday buy position.
Order place to sell 15 qty system will reject order as system adjust with 10 intraday buy position and if still buy upload squareoff is uncheck than also as order is single it will reject.
Order place to buy 10 qty. order will pass as fresh buy is uncheck.

Example: 2

User is having following position:

1 lot buy Reliance future February month expiry uploaded position

2 lot buy reliance future February month daily position.

Member defined following restriction type validation for the above mentioned scrip:

FRESH BUY CHECK | BUY INTRADAY SQUARE OFF UNCHECK | BUY UPLOADED SQUAREOFF UNCHECK | ROLLOVER UNCHECK

Order place to sell 1 lot Feb expiry. System will pass the order
Order place to buy 1 lot feb expiry. System will reject order against fresh buy is check
Order place to buy 1 lot march expiry. System will reject order against fresh buy is check

Restrict Position Conversion

Description: This rule is to restrict position conversion request from one product to another product. This rule is applicable for all the segments(i.e., Cash, Derivative, Currency and Commodity Segments) except MF & IPO and its associated instruments. The main feature of this rule is to restrict Position Conversion request between the product types (i.e. Intraday, Carry forward, Margin, Delivery, MTF, PTST) within the defined time range for the respective Position type.

Implementation

If Rule is ON – System should Validate and Reject the Position Conversion
If Rule is OFF – System should not Validate and Reject the Position Conversion.

As per this rule configuration, system should allow/disallow the position conversion.

Variables

⚙️ Variable Name	📝 Variable Type	🔑 Variable Value	📊 Default
On Product Type (Destination Product)	Combo Multiselect	List of product available in Dynamic Product Master	All Product Type shall be Selected
From Position Type	Combo - Multiselect	1 -Uploaded Buy Position 2 - Uploaded Sell Position 3 - Daily Buy Position 4 - Daily Sell Position	All Position Type shall be Selected
Restrict only within the defined Time Range	Toggle	Enable/Disable	Disable
Time range start at	Numeric Value	Validation 24 hour time format only 00:00:00 - 23:59:59	00:00:00
Time range end at	Numeric Value	Validation 24 hour time format only 00:00:00 - 23:59:59	23:59:59

On Product: Member need to select products in which position conversion has to be restricted.

Product type defined under this variable is considered as the Destination product. (i.e. Position Converted TO)
Product Type defined in the SIP Combination of Risk Rule Template under which this Rule is configured is considered as the Source Product (i.e. Position Converted FROM)

From Position Type is to restrict position conversion from Daily/Uploaded Position. i.e. If:

Uploaded Buy Position – If this variable is Checked, then system should restrict Position Conversions from Upload Buy position.
Uploaded Sell Position – If this variable is Checked, then system should restrict Position Conversions from Upload Sell position.
Daily Buy – If this variable is Checked, then system should restrict Position Conversions from Daily Buy position on all product types.
Daily Sell – If this variable is Checked, then system should restrict Position Conversions from Daily Sell position on all product types.

Restrict only within the defined Time Range is to restrict fresh position based on a timer with start and end range. If the toggle is enable then system shall validate the position conversion based on defined time range. If the toggle is off, then system shall not validate the position conversion based on time range.

Consider an Example:

RRT Template >> Template Name: RRT1
SIP is set as (All Equity + All Scrip's & Contracts + Margin) and
Rule: Restricted Position Conversion is Ticked and
Variable: On Product Type (Destination Product) Value is Ticked as "Delivery" and
Variable: From Position Type Value is Ticked as "Daily Buy"
Variable: Restrict only within the defined Time Range is ON
Variable: Time range start at: 11:00:00 and Time range end at: 15:00:00

Assume: Following Position available in the system for NSEEQ_ACC

📋 Product Type	📊 EOBQ	📊 EOSQ	📊 ETBQ	📊 ETSQ	📊 DOBQ	📊 DOSQ	📊 DTBQ	📊 DTSQ	💰 Net Qty
Margin	0	0	0	0	10	0	10	0	10
Delivery	0	0	0	0	0	0	0	0	0

Accordingly, w.r.t. above Position and RRT Settings:

Consider: At 11.15 - Position Conversion Request Sent From Margin to Delivery Product Type for 10Qty of Daily Buy

System should Restrict Position conversion From Margin Product Type To Delivery Product Types. (Position Conversion Request should be Rejected)

Consider: At 15.15 - Position Conversion Request Sent From Margin to Delivery Product Type for 10Qty of Daily Buy

System should Allow Position conversion From Margin Product Type To Delivery Product Types. (Position Conversion Request should be Accepted)

Consider: Position Conversion Request Sent From Margin to MTF Product Type for 10Qty of Daily Buy

System should Allow Position conversion From Margin Product Type To MTF Product Types. (Position Conversion Request should be Accepted)

note

w.r.t above Settings:

Position conversion request should be Accepted from Margin to any Other Product Type other than Delivery Product Configured in the Rule.
Position conversion request should be Accepted from Margin to Delivery Product Type other than Daily Buy Position Type Configured in the Rule.
Position conversion request should be Accepted from Margin to Delivery Product Type -time range before 11 and after 15.15.
If the time range toggle is off, then Position Conversion should be rejected without considering any time range.

Restrict Order based on Index Deviation Circuit Hit

Description: This rule is to restrict the order based on Index Deviation Circuit Hit. This index deviation is applicable for both cash segment and derivative segment.

Implementation

If Rule is ON – System should Validate and Reject the Order based on Index Deviation Circuit Hit.
If Rule is OFF – System should not Validate the Order based on Index Deviation Circuit Hit.

As per this rule configuration, system shall track the pre and post trigger condition of respective Index and accordingly accept or reject the order based on condition selected in pre trigger or post trigger.

Variables in RRT

⚙️ Variable Name	📝 Variable Type	🔑 Variable Value	📊 Default
Restrict Order Based on Index Deviation	Check-Box	Enable/Disable	Disable

Variables in Master Config

🔑 Key Name	📝 Key Type	🔑 Key Value	📋 Source
Enable Index Deviation	Toggle	On / Off	Master Config
Base Index Name	Drop-Down	NIFTY BANKNIFTY SENSEX SX40	Master Config
Index Deviation Pre Trigger %	2D Array	Level \| Percentage	Master Config
Index Deviation Post Trigger %	2D Array	Level \| Percentage	Master Config
Pre Index Deviation Behavior	Multi-Select	1 - Only Market Order Allowed 2 - Restrict All Order 3 - Restrict Fresh Order 4 - Restrict Algo Order 5 - Cancel Pending Orders	Master Config
Post Index Deviation Behavior	Multi-select	1 - Only Market Order Allowed 2 - Restrict All Order 3 - Restrict Fresh Order 4 - Restrict Algo Order 5 - Square-off Open Position	Master Config
Restrict Order Based on Index Deviation	Risk Rule	NA	RRT
Reset Post Market Open	Toggle	On / Off	Master Config

Index Based Circuit hit based on Trigger Percentage set at 3 Levels (i.e. 9%, 13.5%, 18% for Pre Trigger and 9.5%, 14.25%, 19% for Post Trigger) of Previous day Closing Index Value.
Any level can be triggered once in a trading day i.e. in case level one is triggered based on % Change then Level 1 can not triggered again on same trading day, however in same trading day all three levels can be triggered.
Index Deviation shall be applicable for CASH & FNO Segments (i.e. NSE EQ, BSE EQ, MSE EQ, NSEFO, BSEFO, MSEFO) but Configuration of Index Deviation settings shall be defined at Underlying Segment level (i.e. CASH Segment) for validating both CASH and FNO Exchanges. i.e. NIFTY as index can be defined for NSE CASH & NSE FNO Exchange.
Based on Master Configuration Variable (i.e. Enable Index Deviation) and Risk Rule: "Restrict Order Based on Index Deviation" selection in RRT for an SIP, system shall validate index deviation conditions.
After triggering of Level one, system shall reset it to default once normal market session is open again as per the configuration done else system shall maintain the same state even after open of normal market session on same day.
Index deviation event can hit either of the side i.e. upward or downward direction.
Restrict order based on Index deviation - If this key is on in RRT, then restriction made in configuration will come into effect in case index touches circuit. If key is off than no restriction will applicable on trading activity even after Index breaches circuit.
Enable Index deviation – if this key is on in Master Config, then system will track the price movement of Index and generate triggered accordingly if this key is off than system will not track price movement of Index.

Example

For example is taken in Index of NSE NIFTY. Assume that previous day closing of NIFTY is 10000.

Then following are circuit criteria on next trading day:

UPSIDE Circuit:

9% of 10000 = 900 points I.E 10000+900 = 10900 First level
13.5% of 10000 = 1350 points I.E 10000+1350 = 11350 second level
18% of 10000 = 1800 points I.E 10000+1800 = 11800 third level

Similarly, for downside calculation will be:

Downside circuit:

at 10%: 10000-900 = 9900 will be first level
At 15%: 10000-1350 = 8650 will be second level
At 20%: 10000-1800 = 8200 will be third level of circuit.

Hence when Nifty touches 10900 level pre trigger event start and system will generate as alert (either in message bar or pop up message flashed on screen). And when nifty touches 10950 level post trigger event start. So from 10900 to 10950 will call pre trigger event and from 10950 to 11000 will called post trigger event. Now member set following restriction for these events.

For pre trigger event:

🔒 Restrict fresh order	🔒 restrict order	📊 market order	❌ cancel pending order	📉 Square off open position
TICK	TICK	TICK	UNTICK	TICK

And an Investor is having following position:

100 qty buy side in scrip ACC. (open position)
One pending order of 100 qty buy in RELIANCE.

Than following orders will restricted:

100 qty buy order for ACC will rejected against restrict fresh order tick.
Modification of pending order of 100 qty buy in reliance rejected against restrict order.
100 qty of acc sold by system against square off open position tick.

For Post trigger event member set following configuration:

🔒 Restrict fresh order	🔒 restrict order	📊 market order	❌ cancel pending order	📉 Square off open position
TICK	TICK	TICK	TICK	TICK

Then following orders will restricted:

100 qty buy order for ACC will rejected against restrict fresh order tick.
Modification of pending order of 100 qty buy in reliance rejected against restrict order.
100 qty of acc sold by system against square off open position tick.
Cancellation of pending order in 100 qty buy order in reliance will rejected against cancel pending order restricted.

Now member can set restriction same as he can configure in percentage basis trigger. And system will allow/disallow orders based on restriction set.

System will trigger alert for pre and post event either in percentage basis.

Member set this restriction master config. Apart from above restriction member can also set configuration and following scenario happen.

Restrict post market open: If index touches the pre trigger and post trigger event than by this variable member can set weather market will reopen or not. taken above example

Say nifty touches pre trigger level at 10900 and restriction applied after touching 10900 nifty again come down at 10800 level after some time, now if this variable is ON than trading will resume (i.e. System will allow to place Orders by Resetting all the Pre/ Post Trigger Events Defined) and if this variable is OFF then System shall not Reset the Pre/Post Trigger events Selected (i.e. System will still Restrict the Orders based on the Pre/Post Trigger Events defined).

Restrict Order based on Price Difference in Market Depth

Description: This rule is to restrict the order based on Price difference in Market depth. This rule is to handle the Illiquid contracts which has a high price gap between bid and ask price. This rule is applicable for all the Market Segment and Product Type.

Implementation

If Rule is ON – System should Validate and Reject the order based on the Price Difference in Market Depth
If Rule is OFF – System should not Validate the Order based on the Price Difference in Market Depth

As per this rule configuration, system shall allow/disallow the order based on the price difference in market depth.

Variables in RRT

⚙️ Variable Name	📝 Data Type	🔑 Field Type	📊 Default
Allow Order if Same Side Market Depth Available	Toggle	ON/OFF	OFF
Price Difference of Bid & Ask (%)	Percentage	26	0.5
Price Difference of Bid & Ask (Absolute Price)	Numeric	22	2

By default, rule shall be Un-ticked

This rule shall not be displayed for Base Exchanges where Interop is ON.

If the rule is selected, system shall 1st check the ON/OFF configuration of "Allow Order if Same Side Market Depth Available" variable.
If "Allow Order if Same Side Market Depth Available" is ON and buy order is placed, system shall check whether buy side market depth is available or not. If buy side market depth is available, then system shall allow to place the order without any price checking. In case buy side market depth is not available, then buy order shall be rejected.
If "Allow Order if Same Side Market Depth Available" is ON and sell order is placed, system shall check whether sell side market depth is available or not. If sell side market depth is available, then system shall allow to place the order without any price checking. In case sell side market depth is not available, then sell order shall be rejected.
If "Allow Order if Same Side Market Depth Available" is OFF and if market depth is not available for any of the side (i.e., buy side or sell side) is not available, then reject the order (i.e., either buy / sell) without any price checking.
- If market depth available on both the side, then perform the price checking.
System shall refer top most buy and sell price on the market depth (i.e., on 0th index) to derive the price difference.
System shall derive the Price by applying the % defined in "Price Difference of Bid & Ask (%)" variable on Buy Depth Price.
System shall consider the Max (Price derived on applying % defined on Buy Depth Price, Absolute Price defined on "Price Difference of Bid & Ask (Absolute Price)") variable for validation.
System shall restrict only fresh order if the price difference between the Bid & Ask Price in market depth of a scrip/contract is greater the defined price in this rule.
System shall allow square-off orders irrespective of this rule validations.

Example: 1

Assume "Allow Order if Same Side Market Depth Available" is OFF and the market depth is available on both the side.
Assume "Price Difference of Bid & Ask (%)" set as 0.5% in rule.
Assume "Price Difference of Bid & Ask (Absolute Price)" set as 2 Rs in rule.
Assume Buy Depth Price is 1000 and Sell Depth Price is 1020.
Price Difference b/w Buy Depth Price & Sell Depth Price is (1020 -1000) = 20 Rs.
On Applying 0.5% on Buy Depth Price (i.e., 1000 * 0.5% = 5 Rs).
Consider Max of ( Derived Price on applying % defined, Absolute Price defined) (i.e., Max (5, 2) = 5)
From rule the max price difference acceptable to place fresh order is less than equals to 5 Rs between the Bid & Ask Price in Market Depth.
Here Acceptable Price difference is 5 Rs and actual price difference of the scrip/contract is 20 Rs.
In this case, system should reject the fresh order in respective contract.
In case square-off order placed in respective contract, system should allow to place the square-off order as this rule validation is not applicable for square-off orders.

Example: 2

Assume "Allow Order if Same Side Market Depth Available" is OFF and the market depth is not available on both the side.
In this case, system should reject the fresh order in respective contract. (As Buy and Sell Depth Price is not available)
In case square-off order placed in respective contract, system should allow to place the square-off order as this rule validation is not applicable for square-off orders.

Example: 3

Assume "Allow Order if Same Side Market Depth Available" is ON
Assume Buy Depth Price is not available and Sell Depth Price is 1020.
In this case, system should reject the fresh Buy order in respective contract. (As Buy Depth Price is not available)
In this case, system should accept the fresh Sell order in respective contract.(As Sell depth price is available)
In case square-off order placed in respective contract, system should allow to place the square-off order as this rule validation is not applicable for square-off orders.

Note: For example, if the user selects Restrict Normal Buy Order in PMO session timing, then the client order gets rejected if he places an order within PMO session timing.

Restrict Fresh Order based on percentage near to Daily Price Range (DPR)
- Restrict Order Based on Daily Price Range (DPR) is used to restrict the fresh order near Upper or Lower DPR depending on the order side (Buy or Sell) and % defined in the respective variable.
Restrict Fresh Order based on the LTP-Based Price Band
- User can Restrict orders based on LTP based price band. We have a separate menu for LTP, user can set the value as per their business need.
Restrict Order based on the Issue Capital
- It is used to restrict based on based on Issue Capital
Restrict Fresh Order based on the expiry date
- It is used to restrict fresh orders prior to the expiry date.
Restrict Fresh Order based on Current Day Traded Value
- This rule is used to restrict fresh orders due to the Liquidity issues in a Scrip.
Restrict Fresh Order based on Current Day Traded Volume
- This rule is used to restrict fresh orders due to the Liquidity issues in a Scrip.
Restrict Fresh Order based on Previous Day Traded Value
- This rule is used to restrict fresh orders due to the Liquidity issues in a Scrip.
Restrict Fresh Order based on Previous Day Traded Volume
- This rule is used to restrict fresh orders due to the Liquidity issues in a Scrip.
Restrict Fresh Order based on Open Interest Quantity
- This rule is applicable for FNO, CURR and COMM segments and their associate instruments.
Restrict Fresh Order based on Open Interest Value
- This rule is applicable for FNO, CURR and COMM segments and their associate instruments.
Restrict Fresh Order based on Strike Price Range
- This rule is applicable for FNO, CURR and COMM segments and their associate instruments.
Restrict Order which are not part of Scrip Basket – Margin (allowed)
- User can restrict the orders based on the availability of Scrip in Scrip Basket.
Restrict Order based on User Level Direct Restriction
- If this rule is selected then, the system will validate the conditions defined in Entity Level Direct Restriction menu.
- User can restrict the orders based on the condition defined for respective Scrip in Entity Level Direct Restriction Menu.
Restrict Order based on Scrip Basket restricted
- If this rule is selected then, the system will validate the conditions defined in Scrip Basket Restriction Template.
- This rule is used to restrict the Scrip to whether the same is allowed for trading either to place fresh order or to place only Square Off order based on the restriction type mentioned against Scrip in Scrip Basket Restriction Template.
Restrict Position Conversion
- Restrict Position Conversion rule is used to restrict Position Conversion requests from one Product to another Product based on the variable selection.
Restrict Fresh Order Based on Index Deviation Circuit Hit
- If this rule is selected, system will refer the index deviation condition defined in master configuration menu in Segment tab and validate.