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Product benefits

Learn about the HFT Program requirements

See the ADV calculation table

The ADV is given by the sum of all contracts traded during the month, adjusted by the size of the contract and divided by the number of trading sessions in the period. =(∑(Adjusted quantity)/Number of sessions)

The %HFT Strategy is given by the minimum between the sum of the adjusted short and long quantities multiplied by 2 and divided by the total adjusted quantity. As a result, arbitrage strategies involving different contracts of the same underlying asset are now being considered to assess compliance with the requirement.

%HFT Strategy=min(∑(Adjusted short qty);∑(Adjusted long qty))∗2/∑(Total adjusted quantity)

Each contract has an ADV weight, which adjusts the quantity traded by the size of the contract.

The ADV weight can be found on the B3 portal under Products and Services, Fee Schedule.

 

 

Timeline

  • Go-live

    Available to the market

Technical details

  • Catalog changes

    No catalog changes

  • Main systems

    No systems impacted

  • Main related functions

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  • Certification roadmap

    No impact

  • What is the Sinacor version?

    No impact