Please note that as per the regulatory guidelines, now all execution algos will be converting IOC Market orders to IOC Limit Orders. This change is introduced to reduce the risk of orders being executed at prices far from the Last Traded Price (LTP). Now, how will this work and what will be the limit price for such orders?

• For Futures and Stocks: The limit price will be within 3% of LTP. This will also be limited by daily price range specified for that scrip. Also, these orders won't sit in the order book as the validity is Immediate or cancel (IOC).

Buy: Placed above ask within 3% of LTP.

Sell: Placed below bid within 3% of LTP.

Example: If you have started an Algo for XYZ stock with an LTP of ₹100 with Daily Price Range (Exchange specified) is ₹90- ₹110 . It wants to trigger buy order at IOC market. Instead of market order, a limit order with market protection of 3% will be placed, i.e., the order will get executed at the next best offer within ₹103. Since, it is not breaching Daily Price Range (DPR) specified by exchange, therefore limit order will be placed at ₹103. Examples 2: If you have started an Algo for ABC stock with an LTP of ₹500 and Daily Price Protection (Exchange specified) is ₹487 - ₹521. It wants to place a sell order at IOC market. Instead, a limit order with market protection of 3% should be placed, i.e., ₹485. But this price is in breach of Daily Price Protection, therefore the limit order placed will be at ₹487 instead. The order will get executed at the next best price above ₹ 487.

• For Options: The limit price will be within 20% of LTP. Since options as an asset class is more volatile, therefore the cushion given for execution is also more. These orders being of the nature IOC (Immediate or cancel) won't sit in the order book.

Buy: Placed above ask with a differential of Max (20% of LTP, ₹5).

Sell: Placed below bid with a differential of Max (20% of LTP, ₹5).

Example: If you have started an Algo for XYZ options contract with an LTP of ₹100. It wants to trigger buy order at IOC market. Instead of market order, a limit order with market protection. The differential as per the formula is ₹20, therefore, the IOC limit order will be placed at ₹120 get executed at the next best offer within ₹120. Examples 2: If you have started an Algo for ABC options contract with an LTP of ₹15. It wants to trigger sell order at IOC market. Instead of market order, a limit order with market protection will be placed. The differential as per the formula is ₹3, which is less than ₹5(min difference). Therefore, a difference of ₹5 will be maintained. The IOC limit order will be placed at ₹10 and get executed at the next best price above ₹10.

• Impact: This change is introduced to reduce the risk of orders being executed at prices far from the Last Traded Price (LTP). But this could also lead to instances of no-fill.