The "quotes generator", also known as the "trading machine" is software through which a large number of orders can be sent to TASE trading systems within a short period of time, in accordance with an algorithm set in the software. This type of trading is also known as "Algorithmic Trading".
The activity of quote generators on the stock exchange continues to grow from year to year and occupies a significant share of the total activity in the derivatives, bonds and stock market. Today approximately 2/3 of the orders currently executed on TASE are sent by quotes generators.
What are the OTR rules?
TASE's OTR regulation came into effect on January 1st 2019. It specifies ratios quote generators must adhere to. The purpose of the relationship is to protect the market from abnormal activity of Quote generators, as follows:
- Order Ratio - preventing overload on the computer and communications systems of the Stock Exchange and its members.
- Quantity Ratio - maintaining the integrity of trading.
Transaction based OTR Orders
All quote generators will be required to meet OTR limits, see attached >
OTR Vol Orders
For now, the OTR vol ratio is not activated. Parameters for OTR vol ratios will be determined at a later date, during 2019, and a notice will be published.
Parameters at the securities group level
Please note that the parameters are set at the securities or derivatives group level (as outlined in the following table) and that the vetting of a quote generator’s compliance to OTR limits is similarly conducted collectively, for all the securities of the same group, see attached >
Payment for the violation of OTR limits
TASE will demand payment from a member, should a quote generator operating through it violate an OTR limit.
In these cases, TASE members will pay TASE a sum, plus V.A.T., as set by the TASE board of directors from time to time, for each excess order, see attached >