Description

BSE introduces a daily order message threshold of 10 crore messages per TM with charges of Rs. 0.0025 per additional message to facilitate balanced order flow management.

Summary

BSE is implementing a Trading Member (TM) level daily order message threshold framework in the Equity Cash Segment effective January 1, 2026. Each TM will receive a free threshold of 10 crore order messages per day, with charges of Rs. 0.0025 per message for orders exceeding this limit. The framework includes a grace period with no charges for January 2026, and the first threshold breach each month will be exempted from charges.

Key Points

  • Daily order message threshold of 10 crore messages per TM provided free of cost
  • Charges of Rs. 0.0025 per message for orders exceeding the daily threshold
  • All orders (add, modify, delete) in equity cash segment counted, excluding settlement auction orders
  • First threshold breach in each calendar month exempted from charges
  • Daily monitoring and reporting files provided to TMs starting January 1, 2026
  • Charges accumulated daily and recovered through monthly billing cycle
  • Applicable to all TMs including new and reactivated members

Regulatory Changes

BSE is introducing a new order flow management framework to regulate high-frequency order activity at the member level. This represents the first implementation of TM-level daily order message thresholds with associated charges in the equity cash segment. The framework aims to promote balanced and efficient order flow management across all trading members.

Compliance Requirements

  • Trading Members must monitor their daily order message count to manage costs
  • TMs should review daily files containing order counts starting January 1, 2026
  • From January 15, 2026, TMs must review files showing applicable charges for threshold breaches
  • Members must ensure sufficient funds for monthly charge recovery through the billing process
  • TMs need to adapt order management strategies to optimize message flow within the free threshold

Important Dates

  • January 1, 2026: Framework implementation begins; daily order count monitoring starts
  • January 15, 2026: Daily files will begin including charge information for breaches
  • January 1-31, 2026: Grace period with no charges levied (monitoring only)
  • February 2026 onwards: Actual charges applicable as per framework
  • Monthly: First threshold breach each month exempted; charges recovered in monthly billing cycle

Impact Assessment

Operational Impact: Trading members with high-frequency trading operations or algorithmic strategies generating large order volumes will need to review and potentially optimize their order management systems. The 10 crore daily threshold may require significant operational adjustments for members with excessive order-to-trade ratios.

Financial Impact: Members consistently exceeding the threshold will incur additional operational costs. At Rs. 0.0025 per message, a member exceeding by 1 crore messages daily would incur Rs. 25,000 per day (approximately Rs. 5.5 lakh monthly).

Market Impact: This framework is expected to reduce spurious order activity and improve overall market quality by disincentivizing excessive order modifications and cancellations. It promotes more thoughtful order placement strategies and may reduce noise in the order book.

Strategic Impact: High-frequency trading firms and algorithmic traders will need to evaluate cost-benefit ratios of their strategies, potentially leading to more efficient order routing and reduced message traffic.

Impact Justification

Introduces new cost structure for high-frequency trading members with significant operational and financial impact on order flow management strategies