Description

BSE introduces a daily order message threshold of 10 crore messages per TM with charges of Rs. 0.0025 per message beyond the threshold, effective January 1, 2026.

Summary

BSE is implementing a daily order message threshold framework for Trading Members (TMs) in the Equity Cash Segment to facilitate balanced and efficient order flow management. Each TM will receive a free threshold of 10 crore order messages per day, with charges of Rs. 0.0025 per message for volumes exceeding this limit. The framework becomes effective January 1, 2026, with a grace period in January 2026 where no charges will be levied.

Key Points

  • Daily free order message threshold: 10 crore messages per TM
  • Charge rate: Rs. 0.0025 per message beyond the threshold
  • All orders (add, modify, delete) in equity cash segment count towards the threshold, including odd lot orders but excluding settlement auction orders
  • First threshold breach each calendar month is exempted from charges
  • Daily reporting files to be provided to TMs starting January 1, 2026
  • Charges will appear in daily files from January 15, 2026 onwards
  • Monthly billing cycle for charge recovery
  • Applicable to new and reactivated members during any calendar month

Regulatory Changes

BSE is introducing a new charging framework for order message flow at the Trading Member level. This represents a shift from unlimited free order messages to a metered approach designed to manage order flow efficiency. The framework establishes clear monitoring mechanisms and cost structures for high-volume order activity.

Compliance Requirements

  • Trading Members must monitor their daily order message volumes
  • TMs should prepare systems to receive and process daily order count files from BSE
  • Members need to account for potential charges in their operational budgets from February 2026
  • TMs must adapt trading strategies and order management systems to optimize order flow within the threshold limits
  • Billing departments should integrate the new charges into monthly reconciliation processes

Important Dates

  • January 1, 2026: Framework implementation begins; daily order count files start being provided
  • January 1-31, 2026: Grace period with no charges levied (monitoring only)
  • January 15, 2026: Daily files will include charge information for threshold breaches
  • February 2026 onwards: Actual charges become applicable and will be recovered through monthly billing

Impact Assessment

High-Frequency Traders: Significant impact on members with algorithmic or high-frequency trading strategies that generate large order volumes through modifications and cancellations. These members may need to optimize order-to-trade ratios.

Cost Impact: For members exceeding the 10 crore threshold, operational costs will increase. For example, 1 crore excess messages = Rs. 25,000 in additional charges per day.

Operational Changes: Trading Members may need to review and optimize their order management systems, trading algorithms, and execution strategies to minimize unnecessary order messages.

Market Quality: The framework aims to improve market quality by discouraging excessive order message traffic and promoting more efficient order flow practices.

Exemption Benefit: The first breach exemption each month provides a buffer for occasional volume spikes without penalty.

Impact Justification

Significant operational and cost impact for high-frequency trading members with new daily order message charges beyond 10 crore threshold