Contents

A. Trading Timings ........................................................................................................................................... 3

1. What are the trade timings at MCX? .......................................................................................................... 3
2. What are the timings for Client Code Modification? .................................................................................. 3
B. Terms in Contract Specification: ................................................................................................................. 4
C. Daily Price Limits ......................................................................................................................................... 4
1. What are the Daily prices limits in Agricultural Commodity Derivatives? .................................................. 4
2. What are the Daily prices limits in Non-Agricultural Commodity Derivatives? .......................................... 4
D. Order Management: ................................................................................................................................... 5
1. What are the Order Matching rules? .......................................................................................................... 5
2. What types of Orders can be placed in the Exchange? .............................................................................. 5
3. Stop Loss Orders Explained ......................................................................................................................... 6
4. What is Combination Order entry functionality in TWS? ........................................................................... 6
5. What is Spread IOC Functionality? .............................................................................................................. 6
6. LTP Based Calendar Spread Facility............................................................................................................. 7
7. Can pending orders be cancelled, before normal trading hours? .............................................................. 8
8. Can fresh orders be placed or modified during special session? ................................................................ 8
9. How can an order be cancelled in an emergency situation, if the same cannot be cancelled from
Member Admin Terminal / User Terminal (TWS)? ..................................................................................... 8
E. Square off Open Position ............................................................................................................................ 8
F. Set Turnover Limits ..................................................................................................................................... 9
G. Maximum Single Order Size ...................................................................................................................... 10
H. Password Related ...................................................................................................................................... 12
I. User ID Application.................................................................................................................................... 13
J. Disclosure of Proprietary Account Trading and “Pro-account” Trading Terminal .................................... 13
K. Margins...................................................................................................................................................... 13
1. What is SPAN? ........................................................................................................................................... 13
2. What is the function of SPAN? .................................................................................................................. 13
3. How does the SPAN system work? ........................................................................................................... 13
4. What is SPAN Margin computation methodology? .................................................................................. 14
5. What is Initial Margin? .............................................................................................................................. 14
6. What is Extreme Loss Margin? .................................................................................................................. 14
7. What is Additional margin? ....................................................................................................................... 14

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8. What is Special Margin? ............................................................................................................................ 14
9. Concentration Margin ............................................................................................................................... 14
10. Risk Reduction Mode ................................................................................................................................ 15
11. When does a member go in ‘Square Off’ mode? ...................................................................................... 16
12. How do I come to know my margin utilization? ....................................................................................... 16
13. When will the provisions for Non-fulfillment of margin obligations be applicable to a member? .......... 16
14. What is RPF?.............................................................................................................................................. 16
15. What is use of RPF? ................................................................................................................................... 17
16. From where will I get Daily Span Risk Parameter Files generated by Exchange? ..................................... 17

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A. Trading Timings

1. What are the trade timings at MCX?

The Exchange operates on all days except, Saturdays, Sundays and Exchange specified holidays. The
Exchange notifies list of holidays for each calendar year in advance. Exchange conducts trading session
from Monday to Friday for different Commodities as under:

Trade End time after Trade End time after

Trade Start
No Commodity Category Start of US Day light End of US Day light
Time
Savings in Spring Season Savings in Fall Season
Internationally
1 Referenceable Non-Agri 10.00 AM 11:30 PM 11:55 PM
Commodities
Internationally
2 Referenceable Agri 10.00 AM 9:00 PM 9:30 PM
Commodities
All agricultural commodities
other than
internationally linked
3 10.00 AM 5:00 PM 5:00 PM
agricultural
commodities

2. What are the timings for Client Code Modification?

Client Code
Client Code Modification
Modification timing
No Commodity Category timing (When market timing is
(When market timing
up to 11.55 PM)
is up to 11.30 PM)

Internationally Referenceable Non-Agri

1. 11.30 pm to 11.45 pm 11.45 PM to 11.59 PM
Commodities

Internationally Referenceable Agri

2 9.00 pm to 9.15 pm
Commodities 09.30 PM to 09.45 PM
All agricultural commodities other than
3 internationally linked agricultural 5.00 pm to 5.15 pm
05.00 PM to 05.15 PM
commodities
.

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B. Terms in Contract Specification:
1. Trading Unit/ Market Lot: The Trading unit is the minimum quantity for a contract that can be
bought / sold.
2. Price Quotation/ Base value: It is the Quantity units for which the prices are quoted for trading.
3. Maximum order size: Maximum order size is the maximum no. of lots that can be bought or sold in
one Single order. The maximum order size of each commodity is given in its contract specifications.
4. Tick Size: Tick size is the minimum price difference between the bid and ask for a particular contract.
The tick size is given in the contract specifications.
5. Daily Price Limit: Daily Price Limit i.e. circuit filter limit is the percentage of variation allowed in the
price of a commodity in a day with respect to its previous day’s close price. Circuit filter provides the
maximum range within which a contract can be traded during the day. Such circuit filter is different
for different commodities and has been specified in respective contract specifications. Orders, which
are beyond daily price range, are rejected by the system.
6. Base Price: Base price is a reference price used for launching/ commencing new
Commodity/Contract.

C. Daily Price Limits

1. What are the Daily prices limits in Agricultural Commodity Derivatives?
SEBI has prescribed the following Daily Price Limits for Agricultural commodity derivatives:

Commodity Initial Slab Enhanced Slab Total DPL

Barley, Chilli, Jeera, Turmeric 2% 2% 4%

All Other Agricultural Commodities 3% 1% 4%

*For Detailed provisions refer MCX/T&S/009/2016 dated January 15, 2016

2. What are the Daily prices limits in Non-Agricultural Commodity Derivatives?

SEBI has prescribed the following Daily Price Limits for all Non-Agricultural commodity derivatives:
Name of Initial Slab 1st Enhanced 2nd Enhanced Aggregate DPL
Commodity of DPL Slab of DPL Slab of DPL
Steel 4% 2% Not Applicable 6%
Gold 3% 3% 3% 9%
Other Non Agri 4% 2% 3% 9%
Commodities

*For Detailed provisions refer MCX/T&S/273/2016 dated September 07, 2016

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D. Order Management:

1. What are the Order Matching rules?

Orders are matched on price-time priority basis. Best buy order matches with the best sell order. The
best buy order is the one with the highest price and the best sell order is the one with the lowest price.

Time priority on order modification will not change for an order due to decrease in its quantity or
decrease in disclosed quantity, otherwise the time priority of the order will change.

2. What types of Orders can be placed in the Exchange?

The following type of orders can be placed:

Price related conditions

• Limit order, specifying the price at (or better than) which the trade should be executed.

• Market Order which derives its price in the following order:

i. It gets executed at the best counter side order price.

ii. If there is no counter side order, it takes the best price of same side order book.

iii. If there are no order(s) in the order book, it takes the last traded price.

iv. If there are no trades for the day, it takes the previous close price.

• Stop loss orders, are kept by the system in suspended or abeyance mode and are activated only on
trigger of a price, as defined by the member.

Time related conditions

• Day orders/End of session orders (EOS) are available for execution during the current trading
session until executed or cancelled. All day orders will get cancelled at the end of the day during
which such orders were submitted. A day order is the same as EOS order
• Good till date (GTD) orders are available for execution till end of the date indicated in the order or
till the last trading day of that contract month, whichever is earlier.
• Good till cancel (GTC) orders, are available for execution till maturity of the contract or till it is
cancelled, whichever is earlier.
• Immediate or Cancel (IOC) orders will get cancelled if not executed on submission of such an
order. Such orders will not remain in the order book.

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3. Stop Loss Orders Explained
i. What is a Stop Loss buy order?

Buy Stop loss order is an order which will be activated in the market when the LTP of the contract
matches or exceeds the trigger price specified by the user. Stop loss buy orders are placed at or
above the current market price

ii. What is a Stop Loss sell order?

A Sell Stop loss order is an order which will be activated in the market when the LTP of the contract
matches or falls below the trigger price specified by the user. Stop loss sell orders are placed at or
below the current market price.

iii. What is trigger price?

A trigger price is specified by the user to allow the system to activate the stop loss order once the last
traded price breaches the trigger price.

iv. What is Stop Loss limit order?

A stop-limit order will be executed at a specified or better price, after a given trigger price has been
hit. Once the trigger price is hit, the stop loss-limit order becomes a limit order to buy or sell at the
limit or better price.

v. Can a Stop Loss order be modified to a regular order and vice-versa?

A stop loss order can be modified to a regular order but, a regular order cannot be modified to a stop
loss order.

4. What is Combination Order entry functionality in TWS?

Combination Order refers to 2 Leg and 3 Leg orders. ‘Combination Order’ allows the user to enter 2 or 3
IOC orders simultaneously in two or three different contracts of the same or different underlying with
the purpose that the entered multiple orders get matched either fully or partly but in Order Quantity
proportion in which these contracts are entered in Combination Order entry.

The fully or partly unmatched Combination orders get cancelled immediately. Each combination order
gets converted into 2 or 3 normal orders depending upon the legs entered. All the Leg1, Leg2 and Leg3
orders shall have different order numbers and a Common Distinct Reference Number for each leg to
identify that these orders have been generated through a Combination Order. Each leg contract must be
a different contract.

5. What is Spread IOC Functionality?

Spread Immediate or Cancel (IOC) order Entry window facilitates the user to enter Buy and Sell orders
simultaneously in two different maturity contracts of same underlying. Placing a spread IOC order
means placing a Buy or Sell order in Leg 1 contract and sell or Buy order in Leg 2 contract with common
Order quantity, Spread IOC Order price, Client details and Regular Lot order type with IOC validity.

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6. LTP Based Calendar Spread Facility

i. What is LTP Based Calendar Spread Trading Facility?

The LTP based calendar spread trading facility is available in combinations of 2 underlying futures
contracts- Near month and Far month contract. A spread order once executed results into trades of
near month and far month futures contract. While there would be a separate order book, matched
orders would result into trades in the respective futures contracts. In respect of the near month
futures contract, the trade is generated at near month contract’s Last Traded Price while in the far
month contract, trade is generated at ‘near month contract’s Last Traded Price + Spread Price’.

ii. In what Combination of expiries is calendar spread trading facility available for commodities?

The calendar spread trading facility is available for the following combination of expiry months of the
same commodity:
i. Near Month and Second available Month
ii. Near Month and Third available Month
iii. Second available Month and Third available Month

iii. How does one enter orders for LTP Based Calendar Spread Trading Facility?

In the Trader Work Station, Members have to select the symbols while placing the orders as per the
combinations of the different expiry months made available. The Symbol will be of maximum 10
characters which will be combination of the following:
i. First Three characters will represent commodity symbol
ii. Next Three (Fourth to Sixth) characters will represent the near month
iii. Next Two (Seventh and Eighth) character will represent the far month
iv. Last Two characters will be the year of the far month contracts
v. For a given combination of symbols, trading facility will be available till the date of expiry of
the near month.

iv. What is the meaning of buying spread/selling spread in LTP Based Calendar Spread Trading Facility?

Buying spread implies selling near month futures contract and buying far month futures contract.
Similarly, Selling spread means buying near month futures contract and selling far month futures
contract.

v. How do I quote prices for LTP Based Calendar Spread Trading Facility?

The price of a spread order is quoted as the difference between the prices at which the near month
and far month contracts will be traded. The spread price may be positive, negative or zero.

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 vi. My order has been executed in LTP based calendar spread contract and the price at which the order
is executed is higher than today’s high price in the respective contract. Is there any error in display
of high price of that respective contract in today’s bhav copy?

No. there is no error in reflection of high price for the contract.

The trades generated on account of LTP based calendar spread trading facility shall not be considered
for the day’s open /high / low / close price computation of the respective near month and far month
futures contract.

7. Can pending orders be cancelled, before normal trading hours?

Yes.

Members can cancel the orders in order cancellation session (special session) before normal trading
hours. Timing for special session is from 9.45 AM to 9.59 AM, during Monday’s to Friday’s. The special
session will allow Members to cancel their pending orders.

8. Can fresh orders be placed or modified during special session?

No.

Members will not be able to modify/ place new orders in special session from 9.45 AM to 9.59 AM.

9. How can an order be cancelled in an emergency situation, if the same cannot be cancelled
from Member Admin Terminal / User Terminal (TWS)?
In case of emergency situation (e.g. loss of connectivity), if a member is unable to cancel orders from the
Member Admin Terminal / User Terminals, then the member may request the Exchange to carry out the
order cancellations on his behalf by giving the request to the Exchange in the format prescribed in
Circular No. MCX/T&S/323/2016 September 29, 2016 Annexure B.

Trading Members can approach their Clearing Members for cancellation of orders.

E. Square off Open Position

How can open position be squared-off, if one is unable to do the same from Member Admin
Terminal / User Terminal (TWS)?
In case of emergency situation (e.g. loss of connectivity), if a member is unable to connect TWS/Member
Admin, then he may request the Exchange to reduce the open positions in the format prescribed in Circular
No. MCX/T&S/323/2016 September 29, 2016 Annexure D stating the reason for the same.

Trading Members can approach their Clearing Members for squaring off their positions.

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F. Set Turnover Limits
1. How can I set turnover limits for users?
 Members can set the turnover limits of their users from Member Admin Terminal.
 Trading Members can approach their Clearing Members for setting turnover limits.
The Menu from which the turnover limits are set is as follows:

CONTROL SURVEILLANCE MAINTENANCE.

However if Members unable to set turnover limits from their terminals, then Members may send
request to the Exchange to do the same in the format prescribed in Circular No. MCX/T&S/323/2016
September 29, 2016 Annexure C.

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G. Maximum Single Order Size
1. What is Maximum order size for a commodity?

Maximum order size is the maximum no. of lots that can be bought or sold in one Single order. The
maximum order size of each commodity is given in its contract specifications.

2. How can I set Maximum Single Order Size (MSTV) (in value terms) for users?
Members can set Maximum Single Order Size of their users from Member Admin terminal.
Trading Members can approach their Clearing Members for setting MSTV.
The Menu from which the Maximum Single Order Size is set is as follows:

CONTROL UPDATE USER SETTINGS SINGLE TRANSACTION INFORMATION

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3. How can a Member (Clearing Member) increase or decrease Maximum Single Order Size
(in value terms)?

Clearing Member has to send request to the Exchange for increasing/decreasing Maximum Single
Order Size (MSTV) in specified format prescribed in Circular No. MCX/T&S/323/2016 September 29,
2016 Annexure E.

Trading Members can approach their Clearing Members for setting MSTV limits.

The Maximum Single Order Size will be set by the Exchange as per the slabs specified below (refer
Circular MCX/T&S/140/2011 and MCX/T&S/343/2013)

Deposit of a Member with the Exchange Maximum Single order Size (MSTV)
Up to Rs.2.5 lacs 10 times of deposit
Above Rs.2.5 lacs up to Rs.5 lacs Rs.65 lacs
Above Rs.5 lacs up to Rs.25 lacs Rs.1.30 crore
Above Rs.25 lacs up to Rs.1 crore Rs.2 crore
Above Rs.1 crore up to Rs.5 crore Rs.3 crore
Above Rs.5 crore up to Rs10 crore Rs.4 crore
Above Rs.10 crore up to Rs.25 crore Rs.5 crore
Above Rs.25 crore Rs.6.5 crore

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H. Password Related
1. How can password of Exchange Admin/ TWS be reset?
 For reset of password of users (TWS): Password of users (TWS) shall be reset from Member
Admin terminal by the Member.
 For reset of password of Trading Member: Trading Members shall approach their Clearing
Members for resetting the password of Member Admin terminal/TWS.
 Clearing Member can send application for resetting password in format prescribed in Circular No.
MCX/T&S/323/2016 September 29, 2016 Annexure F.

Menu for reset of password form Member Admin Terminal:

TOOLS RESET PASSWORD

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I. User ID Application
What is the process for Application for new User ID / Change of Approved User / Cancellation of
Approved User ID / Mapping of Member Administrator / Approved Users to the mode of connectivity /
Change of terminal address of Approved User ID?

Members shall refer Circular No: MCX/289/2016 dated September 26, 2016 for processes related to
Application for new User ID / Change of Approved User / Cancellation of Approved User ID / Mapping of
Member Administrator / Approved Users to the mode of connectivity / Change of terminal address of
Approved User ID.

J. Disclosure of Proprietary Account Trading and “Pro-account” Trading Terminal

What are the documents required to be submitted for availing Proprietary Account Trading facility?

Members who want to avail the facility for pro trading on their trading terminals are required to submit
application along with appropriate annexures as specified in Circular No: MCX/T&S/147/2016 dated May
17, 2016 and disclosure as per Circular No: MCX/T&S/196/2016 dated July 07, 2016.

K. Margins

1. What is SPAN?
SPAN stands for Standard Portfolio Analysis of Risk. SPAN® is a registered trademark of the Chicago
Mercantile Exchange. MCX has a SPAN based margining system for the purpose of computing and
levying the margins on all the contracts available for trading. MCX is a licensed user of SPAN.

2. What is the function of SPAN?

SPAN constructs scenarios of probable changes in prices and volatilities in order to identify the largest
loss a portfolio might suffer from one day to the next. It then sets the margin requirement at a level
sufficient to cover loss based on the look ahead period (MPOR) defined by the Exchange.

3. How does the SPAN system work?

The initial margin will be computed using SPAN which is portfolio based margining system. The SPAN
identifies overall risk in a portfolio of contracts for each client of a member.

SPAN calculates margin requirements of a portfolio of contracts; the prime objective of SPAN is to
determine the largest loss that a portfolio might reasonably be expected to suffer from one day to the
next day.

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4. What is SPAN Margin computation methodology?
The total margin requirements for a member for a portfolio of contracts will be computed as follows:
(i) SPAN will add up the Scanning Risk Charges and the Intra commodity Spread Charges
And
(ii) Total Initial Margin requirement is equal to SPAN Risk Requirement (as per (i) above), less Inter-
commodity Spread credits.

5. What is Initial Margin?

Initial Margin means and includes margin computed through Value at risk (VaR) methodology to cover
potential losses for at least 99% of the days subject to minimum percentage floor value as prescribed
by the Exchange and/ or SEBI from time to time. The Minimum value of initial margin would be subject
to commodity specific floor value as may be specified by SEBI from time to time. For the purpose of
Initial Margins, Margin Period of Risk (MPOR) shall be as specified by the Exchange from time to time.
Presently MPOR for all commodity derivatives contracts shall be at least 2 days as mandated by SEBI.

6. What is Extreme Loss Margin?

Extreme Loss Margin means margin to cover the loss in situations that lie outside the coverage of Initial
Margin. Extreme Loss margins shall be such percentage of the gross open positions as may be
prescribed by the Exchange and/ or SEBI from time to time and shall be deducted from the liquid assets
of the clearing member on an online, real time basis.
Presently, the Extreme Loss Margin levied by the Exchange is 1%.

7. What is Additional margin?

Additional Margin means margins specified by the Exchange or SEBI over and above any other margins.
Exchange shall have the right to impose additional risk containment measures over and above the risk
containment measures mandated by SEBI.

8. What is Special Margin?

Special Margins are levied by Exchange in case of unidirectional price movement or based on
Exchange’s evaluation in specific situations.
Exchange may levy special margins over and above the initial margin and the extreme loss margins.
Special margins may be levied generally on either long open positions or on short open positions and
shall be collected in any form of collateral or in Cash only as may be directed by the Exchange.

9. Concentration Margin

a) What type of position attracts concentration margin?

Concentration Margin shall be levied on contracts in which the Open Interest value exceeds the
threshold value as specified by the Exchange from time to time.

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 b) What is the percentage of Concentration Margin that will be levied by the exchange?
Concentration Margin will be levied at Clearing Member level. After the contracts are identified as
per the defined threshold, the Concentration Margin shall be levied as per the slabs specified by
the Exchange from time to time.

The concentration margin corresponding to a slab shall be applied only on incremental open
interest for that slab.

c) How will my open interest be calculated for computation of Concentration Margin?

Clearing Member’s Open Interest shall be computed as higher of summation of Long or Short
positions of each TM-Client combination in the respective contract grossed up at Clearing Member
Level.

Note: For detailed provisions related to concentration margin refer Circular no.:
MCX/T&S/397/2016 dated November 18, 2016

10. Risk Reduction Mode

i. The following message has popped up on my Member Admin and TWS terminal.

What does the above message mean?

The trading members/clearing members shall be mandatorily put in risk-reduction mode when 90% of
the member’s Liquid Assets available for adjustment against margins/deposits gets utilized for
margins/deposits. Members get alert on their terminal when their Margin utilization exceeds 90% of
available Margin Limit. As a risk management measure, when a member moves in to risk reduction
mode all his unexecuted orders shall be cancelled by the exchange system.

ii. Can I place fresh orders in Risk Reduction mode?

Fresh orders can be placed by the member only in Regular Lot (RL) with Immediate or Cancel (IOC) time
validation only. Fresh orders placed by members shall be checked for sufficiency of margins and orders
that do not satisfy sufficiency of margins will be rejected. Members would not be allowed to place fresh
orders with custodian participant code.

Following orders are not allowed in Risk reduction mode:

 New order in Spread Product would not be allowed, when Member is in Risk Reduction mode.
 Multi-leg orders (Spread IOC/2L/3L) and stop loss orders would not be allowed.

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iii. When will I get out of Risk Reduction Mode and trade in normal mode?
Members will be able to trade in normal mode as and when the margin utilization goes below 85 %.
The following message will pop up on TWS/Member Admin Terminal.

11. When does a member go in ‘Square Off’ mode?

A Member goes in square off mode when:

a. Margin utilization exceeds 100% of his Margin Limit.

OR
b. MTM Loss exceeds 75 % of the deposit.

When a member moves in to Square Off mode all unexecuted orders shall be cancelled by the
exchange system. Only square off trades can be executed by the member and no fresh position can be
taken by the member while in square off mode.

12. How do I come to know my margin utilization?

Member can check his margin utilization from Member Admin Terminal. Members receive alerts at
60%, 75% and 90% of their margin utilization.

Member can view their margin utilization in the following menu of Member Admin Terminal.
CONTROL MARGIN SURVEILLANCE WATCH

13. When will the provisions for Non-fulfillment of margin obligations be applicable to a
member?
For provisions related to Non-fulfillment of margin obligations refer circular no MCX/C&S/382/2016
dated November 04, 2016.

14. What is RPF?

RPF stands for Risk Parameter File.

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15. What is use of RPF?

The calculations of SPAN are executed by the Exchange/ Clearing Corporation and the result of these
calculations are called Risk arrays. Risk arrays, and other necessary data inputs for margin calculation
are provided to the members in a RPF.

16. From where will I get Daily Span Risk Parameter Files generated by Exchange?
Risk Parameter File (RPF) shall be updated based on the prices calculated at BOD (before start of
market hours), 10:30 am., 12:30pm., 1:30 pm., 3:00 pm., 5:00 pm., 7:00 pm., 8:30 pm., 10:30 pm., and
EOD (after end of market hours). The risk parameters files shall be made available to the members on
MCX website in downloads tab. In addition to the above timings, the Exchange may generate
additional Risk Parameter File(s) in case of volatile market scenario.

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