Author: Huang Rong
In order to better guard against market risks, recently, China Financial Futures Exchange has made new amendments to the two major rules of "the maximum number of orders placed at each time of market price" and "the last trading day limit". The new rules will be implemented from now on.
According to the operation of simulation trading and the market's opinions on the contract rules, CFFEX has decided to modify Articles 27 and 63 of the simulation trading rules after study. The revised Article 27 is: "The minimum order quantity of each trading order is 1 lot, the maximum order quantity of each price limit order is 500 lots, and the maximum order quantity of each market price order is 50 lots. The trading order is valid on the same day". The revised Article 63 reads: "The circuit breaker range of the stock index futures contract is plus or minus 6% of the settlement price of the previous trading day, and the range of the price limit is plus or minus 10% of the settlement price of the previous trading day. There is no circuit breaker mechanism on the last trading day, and the range of the price limit is plus or minus 20% of the settlement price of the previous trading day.".
Yu Yiran, the head of Shanghai Medium term Risk Control Department, said that in the process of simulation trading, many investors had a high error rate in using market price orders. One of the purposes of limiting the maximum order number of market price orders each time was to reduce the error rate of trading; On the other hand, it is to enhance the continuity of transaction quotation. If the maximum number of orders placed each time is 500, the price may be very high or very low in an instant.
Yu Yi also said that the last trading day is also subject to the limit of opening and falling in order to prevent risks from gathering on the last trading day. In the process of simulation trading, the price of the spot contract differs greatly from the price of the spot market. If we focus on the last day and let the price return rationally, the last day's volatility and risk are too large.
