An LMAX Exchange member is defined as General member, Broker member or Bank member, as applicable, who has been admitted to trade on an LMAX Exchange service in accordance with LMAX Exchange Rulebook, Rule 6 (Membership).

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Asset class Contract type Member type access
Spot FX ISDA governed standard spot FX Bank member, General member
Spot commodities ISDA governed standard Spot commodities Bank member, General member
Equity indices Standardised LMAX Exchange defined, CFD contracts Broker member, General member

Trading of FX, Spot commodity, and CFD contracts on LMAX Exchange is facilitated via bi-lateral clearing between members under ISDA agreements. The following prime brokers are active on LMAX Exchange: BNP Paribas, Citibank, JP Morgan, NatWest Markets.

  • Volatility bands

    Volatility bands are set per order book and are different for both Price makers and Takers. The bands reject a participant’s order if, for Price makers, the price on order is more than a defined percentage away from their last accepted price. For Price takers, the order is compared against the top of book price. Where a volatility band is breached, new orders from that participant will be rejected and an internal approval process is triggered to assess whether the volatility bands must be widened to enable the participant to continue to trade. Please view the Volatility Bands for each liquidity pool:

  • Inversion protection

    Further to volatility bands, market inversion limits are set per order book where there are two or more Market makers. Where a market inverts beyond the set inversion parameter no orders can be matched. Where there are at least 3 Maker participants and the market is inverted beyond the set threshold for more than 100ms, the Maker responsible for the inversion will have their orders cancelled and further order entry blocked for 15 seconds. Where the market is inverted beyond the set thresholds, Taker orders are rejected. Please view the Inversion Thresholds for each liquidity pool:

  • Order throttling

    LMAX Exchange operates real-time monitoring and alerting of the message rates and performance of all orders placed on production systems, on an individual session and aggregate basis. Order per second limits are set per FIX session, which applies for all instructions received over the FIX session. If the limit is breached, the FIX session is disconnected and re-connection blocked for 15 seconds. The default setting is 750 updates per second but can vary for Maker participants according to number of instruments and depth priced.

  • Order to trade ratios

    Order to trade ratio monitoring is conducted per participant per orderbook. Reports are run on a daily basis, over 15 minute windows and any outliers investigated and raised with participants.

  • Pre-trade controls

    Clip Size Limits set a maximum order size for each participant. Orders in excess of the clip size limit are rejected.

  • Working order limits

    Working Order Limits restrict the total unfilled passive order volume that can be submitted ‘per participant’ on each instrument. Orders with volume that will breach the limit are rejected.

  • Post trade controls

    Net Open Position Limits are set per Member and per DMA client as applicable. Email alerts are sent at 75%, 85% and 95% utilisation of a Participants limit. At 95% utilisation all trading is disabled for the member. Typically clip size limits are set to 5% of the credit limit to avoid a breach of 100%.

    For Non FX instruments trades are margined on a gross margin basis, in real time against limits agreed and set between each Member or applied to a DEA client. Alerts can be set up to be sent as a Member or DEA client’s account approaches pre-set margin utilisation levels.

  • Kill switch

    Where a participant’s NOP utilisation exceeds 95% they are automatically disconnected and all working orders cancelled. Where a participant breaches their set order update limit, they are disconnected and all orders cancelled. A participant’s activity can be disabled at any point in time by removing their credit limit.

  • Trade cancellation/ re-rate policy

    Please see Rules 14, 30, 37 and 43 in the LMAX Exchange Rulebook

  • Venue capacity

    LMAX Exchange performs frequent automated performance tests to ensure systems have sufficient capacity and can continue to meet their performance requirements. These consist of a mixture of targeted microbenchmarks that evaluate the performance of specific aspects of the system, and end-to-end tests that either generate synthetic load or replay production traffic against dedicated test environments.