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Price formation
New rule ensures price formation in the central order book.
Rule for Registration and Minimum Size of Cross Orders
New rule aims at a healthier market and strengthened central order book
A minimum size for cross orders to be registered in B3’s system was defined.
The new rule applies to entering cross orders in situations where the asset's spread is closed, and situations which do not originate from structured transactions or are intended to correct operational errors.
Additionally, B3 will observe the percentage of cross orders from those markets and act with control measures if the thresholds provided for in the rule are exceeded.
With the implementation of the new rules for registering cross orders, B3 identified many needs among its participants. Starting in 2Q23, B3 will implement new functionalities on its trading platform to address those needs. The first functionality will be the Identification of Transactions. Learn more about this below.
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Product benefits
Greater visibility
Allows greater oversight of the use of cross orders by the market.
New rule for minimum size and thresholds to enter cross orders
Learn more here
Phase 1 – Three-month adaptation period
Phase 2 – B3 monitoring and activity with intermediaries
Identification of Transactions
As of January 2023, B3’s systems will be programmed to identify structured transactions in order to reduce false positives and have the least possible number of inquiries to intermediaries.
• Post in up to T+5 cross orders executed in T0;
• Cross orders registered in the error account, registered between bid and ask, and those orders with a quantity greater than the minimum size will be excluded;
• Talks will be held with the market to model the identification of cross orders in vwap/twap and structured transactions.
B3 monitoring and activity with intermediaries done in a faster way.
• Enter in up to T+5 cross orders executed in T0 that did not comply with any of the situations provided for in the rule;
• At the end of the month, B3 will send a file consolidating all cross orders not complied with.
• Participants will have until the 15th day of the following month to provide clarification on transactions not complied with;
• B3 will assess each case individually and may apply sanctions.
The first functionality to be implemented will be the Identification of Transactions whereby the participant will have the option to indicate whether the transaction is about (i) Structured Transactions, (ii) Operational Error or (iii) TWAP/VWAP, through an additional field of the cross order, and will no longer need to justify it, but it will bring a great benefit to the participant, considering that B3 will use it as a justification for the transaction, eliminating the need for the participant to provide clarification on transactions that do not qualify.
We remind you that this indication will be optional. It should also be noted that, on December 29, 2022, an External Communication (attached to Specifications) was sent, informing of the updates in the technical specifications of the FIX Dictionary. In summary, the main updates were:
- Addition of a new field (35561- MinCrossQty) to the Security List of the Market Data, which is responsible for informing the minimum number of cross orders (this change requires an update of the fast template);
- Inclusion of new domains: Structured Transactions (1001), Operational Error (1002) and TWAP/VWAP (1003)
Timeline
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01/02/2023
Other
Other
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05/02/2023
Other
Other
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05/15/2023
Start of market tests
Start of market tests
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05/29/2023
Other
Other
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06/26/2023
Go-live
Available to the market
Technical details
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Catalog changes
No catalog changes
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Main systems
PUMA
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Main related functions
No functions impacted
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Certification roadmap
Optional and not available
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What is the Sinacor version?
No impact
