To ensure fair and efficient market operations, allow for broad market participation and foster high quality liquid markets, LXDX provides transparent messaging thresholds.
LXDX operates a two-tiered system:
- Throttles: Limit, charge, and ban users with rolling 10-second throttles
- Trade-Ratios: End of day message volume count to filled volume scoring
Further details on each component's requirements are provided below.
1.1 Excessive messaging rates generated by a user's system can adversely impact all market participants. Messaging controls are designed to address this risk by:
- supporting valid trading activity
- preventing a malfunctioning trading system from negatively impacting the markets
1.2 Messages are monitored by the number of messages sent over the defined time interval. Each interval begins with the first message processed. At the end of the interval, if no violation has occurred, the message count and interval reset pending the next message processed.
1.3 If a User's system exceeds one or more of the thresholds, subsequent messages are rejected via a Throttle Reject message until the messages per second (MPS) rate falls below the threshold.
1.4 Users who continue to send messages beyond the Reject Threshold will begin being charged a penalty of 0.01 TUSD (or available equivalent) per message.
1.5 Continued excessive messaging that reaches the Ban Threshold will terminate the User's connection to the exchange and restrict the User's use of the platform until the next day's session.
1.6 The following table contains the Messaging Policy Thresholds:
Cancel or IOC
10 second window
10 second window
2. Trade Ratios
2.1 At the end of each Session, total volume of filled Orders is divided by the total volume placed in messages sent by the User in the session. This ratio is the Quote-To-Fill ratio or the Trade Ratio.
2.2 If the total number of messages sent by the User during the session is below 10,000 messages, the User is exempt from all Trade Ratio requirements. A User who has submitted more than 10,000 messages during a Session is determined an Active User and is subject to Trade Ratio requirements.
2.2 LXDX sets Trade Ratio requirements for all Active Users. Failures to satisfy Trade Ratio Requirements are considered Trade Ratio Violations and the number of Trade Ratio Violations are tracked via rolling weekly intervals.
- Beginning on the first day on which the Active User participates, an interval of length 7 days begins.
- At the end of the interval, if no Trade Ratio Violation has occurred, the Trade Ratio Violation Count and interval reset pending the next Session the User acts as an Active User.
- On the first and second Trade Ratio Violation, the User receives an email warning.
- On the third or higher Trade Ratio Violation, the User is disallowed to participate in the following day's Session.
2.3 The following table contains the Trade Ratio Requirements:
Trade Ratio Requirement