Moscow Exchange FBOT Form

APPENDIX 13

[Ineffective and Erroneous Transaction Fees] 

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Please find attached:

 Ineffective and Erroneous Transaction Fees
Moscow Exchange FBOT Form

APPENDIX 13

[Ineffective and Erroneous Transaction Fees] 

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I. Ineffective Transaction fees:

To define the term, any of the following actions is considered as the transaction:

 order placement (“Add Order”), 

 order cancellation (“DelOrder”), 

 order modification (made as concurrent order cancellation and new order placement with 

different parameters) (“MoveOrder”);

 modification of pair of orders (made as concurrent pair of orders cancellation and new pair 

of orders placement with different parameters) (“DelUserOrders”).

The ineffective transaction fee is calculated on each trading day as a total for all clearing registers

with the same Taxpayer ID (INN) (or a code substituting it) (later - the Registers) for the Moscow 

Exchange Derivatives Market.

The ineffective transaction fee is not charged if the number of transactions for all of the Firm’s 

Registers does not exceed the specified threshold. The threshold is set by the MB Technologies 

LLC (hereinafter, “Technical Center”) and is published on the Moscow Exchange website.

The ineffective transaction fee is calculated according to the formula:

TranFee = 0, 1 × max(∑k −∑(f × l); 0)

where:

TranFee ineffective transactions fee calculated during the current trading day (in RUB);

k

the grade for transactions made for the Firm’s Registers (the grade is determined 

by transaction type in accordance with Table 1);

f

the amount of exchange and clearing fees to be paid for trades made for all of the 

Firm’s Registers during the current trading day;

l

the grade for trades made for the Firm’s Registers (the grade is determined by 

trade type in accordance with Table 1).

Transactions are considered ineffective if the following condition is met:

∑k − ∑(f ∗ l) > 0

Table 1

The trade or transaction type is determined by a combination of the attributes 1-3: 

Transaction or trade type

Transaction

grade Trade grade

Attribute 1 Attribute 2 Attribute 3

0 0 0 k_1 l_1

0 0 1 k_2 l_2

0 1 0 k_3 l_3

0 1 1 k_4 l_4

1 0 0 k_5 l_5

1 0 1 k_6 l_6

1 1 0 k_7 l_7

1 1 1 k_8 l_8

Attribute 1-3 values are determined as follows:

Attribute 1: 1 – transaction or trade made for the Firm’s Register stated in the market maker 

agreement for a given instrument; 0 - transaction or trade made for the Firm’s Register not stated in 

the market maker agreement for a given instrument.

Attribute 2: 0 – futures contract (also Calendar Spread orders for Transactions); 1 – option. 
Moscow Exchange FBOT Form

APPENDIX 13

[Ineffective and Erroneous Transaction Fees] 

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Attribute 3: 1 – low liquid instrument, 0 – other instrument. Liquidity is determined by the list of low 

liquid instruments set by the Moscow Exchange and published on the Moscow Exchange website. 

Grades values for transactions and trades ((k_1-k_8 and l_1-l_8) are set by the Technical Center, 

and are published on the Moscow Exchange website. 

The ineffective transactions fee is deducted from the Firm’s Registers balance in proportion to the 

number of Transactions made per each Firm’s Register. 

II. Erroneous Transaction fee

A transaction is considered as Erroneous Transaction if it was assigned one of the Error Codes 

defined in paragraph 1 and 2.

The Erroneous Transaction fee is calculated per each trading login for the period starting from the 

first second of the current calendar day evening clearing session and until the next calendar day 

evening clearing session, exclusive (hereinafter, the “Calculation Period”).

The Erroneous Transactions fee defined in paragraph 1 and 2 is charged to the clearing account 

linked to the trading login.

1. Flood Control Transaction Fee

An order placement transaction (“Add Order”), order cancellation transaction (“DelOrder”), order 

modification transaction (made as concurrent order cancellation and new order placement with 

different parameters) (“MoveOrder”), modification of pair of orders (made as concurrent pair of 

orders cancellation and new pair of orders placement with different parameters) ( “DelUserOrders”) 

are considered as Flood Control Transaction if they were assigned by the “9999” Error Code, which 

means “Too many transactions sent from this login”.

Flood Control Transaction Fee is calculated for the Calculation Period according to the following 

formula:

TranFloodFEE = min(ΣTranFloodSEC, CapFloodMAX)

Flood Control Transaction fee is charged if the following condition is met

TranFloodFEE > CapFloodMIN

Parameters:

TranFloodFEE

Flood Control Transactions fee calculated during the Calculation Period (in 

RUB);

CapFloodMAX

a cap for the maximum fee value settled by the Technical Center and 

published on the Moscow Exchange website;

CapFloodMIN

the minimum limit of the fee settled by the Technical Center and published on 

the Moscow Exchange website;

TranFloodSEC

Flood Control Transactions fee calculated per second according to the 

following formula:

TranFloodSEC

=

{

 

 

round(min (max (QFL , round ((

QFL

< A >

)

2

; 2)), < B >) ∗< C > ; 2) → if QFL ≥ 5% ∗ 30 ∗ Capacityi

0 → if QFL < 5% ∗ 30 ∗ Capacityi

где:

QFL amount of the Flood Control errors per second;

Capacityi

the trading login throughput determined according to the procedure stated 

in Appendix 3 to the Information Technology Services Terms by the MB 

Technologies LLC (Clauses 3.1 – 3.3)* and used in the i-th second.

< A >, < B >,

< C >

Parameters for Flood Control Transaction fee’s calculation settled by the 

Technical Center and published on the Moscow Exchange website.
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APPENDIX 13

[Ineffective and Erroneous Transaction Fees] 

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round mathematical rounding down to the specified precision;

* - the Basic login allows Trading members to perform transactions with highest frequency (performance rate) calculated as 

the product of the following: 1) login’s performance unit of 30 transactions/sec, and 2) number of performance units 

indicated by the Trading member in the Connection Scheme Form. For the purpose of this clause, a transaction means any 

command produced to manage orders in accordance with the Plaza II FORTS API specification, and number of performing 

units must be only a positive integer.

For the 2 (two) first Calculation Periods during the calendar month when the Flood Control 

Transaction Fee exceeds the parameter CapFloodMAX, the Flood Control Transaction Fee is 

calculated but not charged. The Calculation Period refers to the calendar month, in which that 

Calculation Period ends.

2. Fee for Erroneous Transactions other than Flood Control Transaction

An order placement transaction (“Add Order”), order cancellation transaction (“DelOrder”), 

order modification transaction (made as concurrent order cancellation and new order 

placement with different parameters) (“MoveOrder”), modification of pair of orders (made as 

concurrent pair of orders cancellation and new pair of orders placement with different 

parameters) (“DelUserOrders”) are considered as Erroneous Transaction (other than Flood 

Control Transaction) if they were assigned by the one of the Error Codes stated in Table 2

(hereinafter, “Erroneous Transaction”). 

Erroneous transaction fee is calculated according to the following formula:

TranFee2 = min (CapMAX; max (2 ×∑Xi; 1 ×∑Xi

2

))

Erroneous transactions fee is charged if the following condition is met:

TranFee2 > CapMIN

Parameters:

TranFee2 erroneous transactions fee calculated during the Calculation period (in RUB);

CapMAX

a cap for the maximum value of the fee. The cap is set by the Technical Center 

and published on the Moscow Exchange website;

CapMIN

the minimum limit of the fee set by the Technical Center and published on the 

Moscow Exchange website;

Xi a per-second value truncated to integer and determined as follows:

Xi = RoundDown (

Qi

Li

; 0)

where:

Qi

amount of all grades for the i-th second (the grades are 

determined in accordance with Table 2);

RoundDown mathematical rounding down to the specified precision;

Li

limit of specific login determined as follows and rounded to 

integer:

Li = 10 × √2 × Capacityi

where:

Capacityi

the trading login throughput determined according to 

the procedure stated in Appendix 3 to the Information 

Technology Services Terms by the MB Technologies 
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APPENDIX 13

[Ineffective and Erroneous Transaction Fees] 

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LLC (Clauses 3.1 – 3.3)* and used in the i-th second.

* - the Basic login allows Trading members to perform transactions with highest frequency (performance rate) calculated as 

the product of the following: 1) login’s performance unit of 30 transactions/sec, and 2) number of performance units indicated 

by the Trading member in the Connection Scheme Form. For the purpose of this clause, a transaction means any command 

produced to manage orders in accordance with the Plaza II FORTS API specification, and number of performing units must 

be only a positive integer.

Table 2:

Transaction type* Execution result Error 

Code* Grade Q

AddOrder

Cross trade (31) Q1

Insufficient client account balance (332) Q2

Insufficient broker account balance (333) Q3

FOK order is not filled (4103) Q4

Session inactive (3) Q5

DelOrder Order not found (14) Q6

Session inactive (3) Q7

MoveOrder

Cross trade (31) Q8

Order not found (50) Q9

Insufficient client account balance (332) Q10

Insufficient broker account balance (333) Q11

Session inactive (3) Q12

DelUserOrders Order is filled, nothing to delete (0) Q13

Session inactive (3) Q14

*as per PlazaII FORTS API description.

Grades Q1-Q10 values are set by the Technical Center and are published on the Moscow 

Exchange website (please, see paragraph IV “Ineffective and erroneous transaction fees 

calculation parameters” below).

III. Disabling trading logins

Once the Block threshold for specific login reaches specific value, the Technical Center notifies the 

trading participant about the risk of login disabling. The threshold is set by the Technical Center and 

is published on the Moscow Exchange website. Trading participants are obliged to provide 

emergency contact information to the Moscow Exchange and keep it up to date. 

The Technical Center reserves the right to disable the trading login before the end of the next 

trading day if the following condition is met: 

max (2 ×∑xi; 1 ×∑xi

2

) > Block

where:

Block – the threshold value for the Calculation period. This threshold is set by the Technical Center 

upon agreement with the Information Technology Committee of the Moscow Exchange and is

published on the Moscow Exchange website;

other parameters are similar to those used in the formula for calculating erroneous transactions fee.

Once the trading login is disabled, the trading participant’s authorized representative should 

contact the Technical Center support team at +7(495)287-7691 or help@moex.com. The Technical 

Center will enable the trading login within 30 minutes after the issue which caused login disabling is 

fixed. If the trading login is disabled for the second time during the trading day, it can be enabled no 

earlier than at the beginning of the next trading day.

IV. Ineffective and erroneous transaction fees calculation parameters

I. Ineffective Transaction fee parameters

1.1. Parameters for Ineffective Transaction fee’s calculation
Moscow Exchange FBOT Form

APPENDIX 13

[Ineffective and Erroneous Transaction Fees] 

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The threshold is 2,000 transactions. 

Grades assigned to transactions and trades are as follows: 

Transaction or trade type Transaction

grade Trade grade

Attribute 1 Attribute 2 Attribute 3

0 0 0 1 40

0 0 1 1 40

0 1 0 0 0

0 1 1 0 0

1 0 0 0,5 100

1 0 1 0 0

1 1 0 0 0

1 1 1 0 0

Attribute 1: 1 – Transaction or Trade has been executed with indication of a Section 

specified in the market maker agreement for this instrument; 0 – Transaction or Trade has 

been executed with indication of a Section, not specified in the market maker agreement for 

this instrument.

Attribute 2: 0 – futures contract (calendar spread orders also – with transactions); 1 –

options. 

Attribute 3: 1 – low liquid instruments, 0 – other.

II. Erroneous Transaction fee parameters

2.1. Parameters for Flood Control Transactions fee’s calculation

Maximum fee value (CapFloodMAX) is set to RUB 45,000

Minimum fee value (CapFloodMIN) is set to RUB 1,000

<A> parameter = 50

<B> parameter = 250

<C> parameter = 3

2.2. Parameters for Erroneous Transactions other than Flood Control Transaction

Maximum fee value (CapMAX) is set to RUB 30,000

Minimum fee value (CapMIN) is set to RUB 1,000

Transaction grades are as follows: 

Transaction

type* Execution result ErrorCode Grade Q

AddOrder

Cross trade (31) 10

Insufficient client account balance (332) 20

Insufficient broker account balance (333) 20

FOK order is not filled (4103) 5

Session inactive (3) 20

DelOrder Order not found (14) 10

Session inactive (3) 20

MoveOrder

Cross trade (31) 10

Order not found (50) 10

Insufficient client account balance (332) 20

Insufficient broker account balance (333) 20

Session inactive (3) 20

DelUserOrders Operation completed, nothing to delete (0) 10

Session inactive (3) 20
Moscow Exchange FBOT Form

APPENDIX 13

[Ineffective and Erroneous Transaction Fees] 

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The Technical Center reserves the right to disable the logins if the Block threshold during the 

Calculation Period exceeds 30,000. Once the Block threshold during the Calculation Period 

reaches 25,000, the Technical Center sends out automatic notifications (when possible) 

about the risk of trading login disabling.