Chapter I General Provisions
Article 1 The Rules are constituted to standardize and ensure the smooth operation of mock trading of stock index futures organized by the China Financial Futures Exchange (CFFEX).
Article 2 The CFFEX as well as its members and clients engaged in the mock trading shall observe the Rules.
Chapter II Qualification for Members Engaged in Mock Trading
Article 3 Technically capable futures companies may apply for members of mock trading, clearing members of mock trading or general clearing members of mock trading of the CFFEX to deal with the brokerage of mock trading. Technically capable securities companies and fund management companies may apply for members of mock trading of the CFFEX to deal with the proprietary business. Technically capable commercial banks may apply for special clearing members of mock trading of the CFFEX to deal with the clearing business of mock trading.
Applicants who apply for becoming or changing memberships shall lodge written applications to the CFFEX and sign relevant agreements with the CFFEX after obtaining approvals from the CFFEX.
Chapter III Management over Seats for Mock Trading
Article 4 The trading seat of a member engaged in mock trading is the trading channel for a member engaged in mock trading to directly input trading order and participate in auction trading of the CFFEX through the electronic communication system connected with the computer trading system of the CFFEX.
Article 5 Each member engaged in mock trading can apply for one trading seat to the CFFEX. Relevant application form shall be filled in in the process of application.
Article 6 The seats for mock trading shall be exclusively used for mock trading.
Chapter IV Coding for Mock Trading
Article 7 The CFFEX adopts the filing system of coding for mock trading. The coding for mock trading refers to the special codes for mock trading compiled by members engaged in mock trading according to the Rules. After completion of mock trading, the coding for mock trading shall automatically cease to be in force.
Article 8 The 12-digit trading code consists of two parts, namely member number and client number. The first four digits represent the member number, while the last eight ones are client number. For example, if the trading code is 000100001535, the member number is 0001, while the client number is 00001535.
Article 9 One client shall have only one client number in the CFFEX. However, it can open accounts at different members. Thus, its trading codes will have same client number and different member numbers.
Article 10 Members shall input clients’ information according to the clues in the system of the CFFEX, and shall not skip.
Article 11 Members shall file clients’ information about account opening, changing and cancelling with the CFFEX through electronic documents. Members shall ensure the truthfulness and accuracy of the clients’ information they filed.
Article 12 After the member inputs the client’s account opening information into the system of the CFFEX, the system will automatically generate a trading code for the client, which can not be used until it is confirmed by the CFFEX.
If the member who accepts the account opening is a trading member, the CFFEX shall send the confirmation information concerning successful accounting opening and trading code to the trading member and the clearing member who deals with clearing for the trading member after it receives the clients’ information.
Chapter V Mock Trading Contract
Article 13 The underlying index of the mock trading contract is CSI 300 Index of China Securities Index Co., Ltd. (CSI). The compilation formula, constituents, base period and adjustment of the above index are pursuant to relevant documents published by CSI.
Article 14 The Chinese short description of the contract is CSI 300 futures, with the English code of IF.
Article 15 The contract multiple of each contract is RMB300 per point. The contract size is the index point of stock index futures multiplied by the contract multiple.
Article 16 The minimum price change in the contract trading is 0.2 index point. The quoted index point in the trading shall be the integral multiples of 0.2 point.
Article 17 The contracts shall be delivered in four phases, namely the two consecutive months from the very month of trading as well as the two consecutive quarterly months in March, June, September and December. They shall be listed and traded simultaneously.
Article 18 The trading hours of the contracts are from 09:15 am to 11:30 am and from 01:00 pm to 03:15 pm. The trading hours of the contracts on the last trading day are from 09:15 am to 11:30 am and from 01:00 pm to 03:00 pm.
Article 19 The dialy price limit of the contract is ±10% of the settlement price on the previous trading day.
Article 20 The minimum trading margin of the CSI 300 Stock Index Futures contracts is 12% of the contract size.
Article 21 The contract shall be delivered in cash upon expiration.
Article 22 The last trading day of the contract is the 3rd Friday in the month when the contract expires, which can be postponed in case of public holidays.
Article 23 The last delivery day of the contract is its last trading day.
Article 24 The commission is charged at not higher than 0.005% of the transaction amount.
Chapter VI Mock Trading
Article 25 The orders can be classified into market order, limit order and other orders regulated by the CFFEX.
Market order refers to the order without fixing specific price, under which the deal is made according to the best offer that can be exercised on the market. The market order, under which no deal is made, will be cancelled automatically.
Limit order refers to the order, under which the deal is made according to the specific price or better offer. In the process of buying, the deal shall be made at the specific price or a price lower than the specific price. In the process of selling, the deal shall be made at the specific price or a price higher than the specific price. The limit order is valid on the very day. Those, under which no deal is made, can be cancelled.
Article 26 A market order can only be matched with a limit order, with the trade price being the specific price under the real-time best limit order.
Article 27 The quote of the order can only be within the limit of the contract price. The quote, which is beyond the price limit, is invalid.
Article 28 The minimum quantity of order placed under trading order each time is one lot. The maximum quantities of orders placed under limit order and market order each time are 100 and 50 lots, respectively.
Article 29 Mock trading adopts the way of continuous auction. The deals shall be matched in the principles of price priority and time priority according to the real trading quotes.
Article 30 The CFFEX will publish in advance the theoretical price of the newly listed contract, on which the price limit of the new contract on the first trading day is based.
Chapter VII Clearing of Mock Trading
Article 31 Clearing refers to the businesses of calculation and transfer of members’ trading margin, profit/loss, commission, gain and loss for delivery and other relevant amount according to the trading results and relevant regulations of the CFFEX.
Article 32 The CFFEX adopts the clearing member system, whereby the CFFEX conducts the settlement for its clearing members, who in turn conducts the settlement for its clients and trading members, who conducts the settlement for its clients.
Article 33 All the contracts whose bargain was struck through the trading system of the CFFEX shall be settled through the CFFEX.
Article 34 The minimum balance of the dummy settlement margin paid by the clearing members engaged in mock trading is RMB2 million. The clearing member and the trading member engaged in mock trading shall stipulate the minimum balance (which shall not be less than RMB0.5 million) of the dummy settlement margin paid by the trading member in the settlement agreement.
Article 35 Trading margin refers to the capital deposited by the clearing member at the special clearing account of the CFFEX to guarantee the performance of the contract. It is a margin which has been occupied by the contract. After the buyer and the seller reach a deal, the CFFEX will charge both parties trading margins according to a certain proportion of the contract value of position-holding.
The CFFEX will charge the trading margins according to the bought and sold open interests, respectively.
Article 36 The charging rate of the trading margin shall be executed according to relevant regulations of the CFFEX on rick control of mock trading.
Article 37 The trading margin charged by the clearing member towards the trading member and the client shall not be less than the trading margin charged by the CFFEX towards the clearing member, while the trading margin charged by the trading member towards the client shall not be less than the trading margin charged by the clearing member towards the trading member.
Article 38 The CFFEX adopts the mark-to-market system.
After the end of the trading each day, the CFFEX settles its clearing members’ all fees including all contracts’ profit/loss, trading margins, commissions and taxes according to the settlement price on that day, transfers the net amount of amounts receivable and amounts payable, and increases or decreases the settlement margins accordingly.
After completion of settlement at the CFFEX, the clearing member conducts the settlement towards its clients and trading members according to the principle stated in the above paragraph. The trading member conducts the settlement towards its clients according to the principle stated in the above paragraph.
The CFFEX charges its clearing members the trading and clearing commissions (including trading commission and clearing commission) according to the contract whose bargain is struck on the very day and the standard stipulated in the contract.
Article 39 The daily settlement prices of all contracts in mock trading is the daily settlement prices of all contracts in real trading.
Article 40 The daily profit/loss of futures contract is based on the daily settlement price, with the specific formula as follows:
Daily profit/loss = ∑ [(selling price – daily settlement price) × volume sold × contract multiple] + ∑ [(daily settlement price – purchasing price) × volume purchased × contract multiple] + (settlement price on the previous trading day – settlement price on the very day) × (open interest sold on the previous trading day – open interest purchased on the previous trading day) × contract multiple
Article 41 The daily profit/loss is transferred in the process of daily settlement, with the profit transferred into settlement margin and the loss deducted from settlement margin.
In the process of daily settlement, if the trading margin required in the clearing member’s account exceeds that on the previous trading day, the excessive part shall be deducted from the settlement margin. If the trading margin is less than that on the previous trading day, the excessive part shall be transferred into the settlement margin.
Other fees including the commissions shall be deducted from the settlement margin in the clearing member’s account.
Article 42 The specific formula for the balance of the settlement margin is as follows:
Balance of settlement margin on the very day = balance of settlement margin on the previous trading day + trading margin on the previous trading day – trading margin on the very day + profit/loss on the very day + deposit – withdrawal – commissions, etc.
The CFFEX will separate the settlement of balances of settlement margins in the brokerage account and the proprietary account of its clearing members engaged in mock trading.
Article 43 If the balance of the settlement margin of a clearing member is less than the required minimum balance after completion of settlement, the settlement result shall be deemed as the margin call issued by the CFFEX to the clearing member. The difference between the above two balances shall be the amount of margin called for.
If the settlement margin of a clearing member is still less than the required minimum balance on the next trading day, no new position shall be opened through the account concerned.
Article 44 After completion of daily settlement, the clearing member shall obtain relevant settlement data through the member service system.
Article 45 If the CFFEX can not provide the settlement data as scheduled under special circumstances, it will announce the time and way of providing the settlement data later.
Article 46 The clearing member shall obtain the settlement data provided by the CFFEX in time every day, and check and keep the above data well.
Article 47 If the clearing member dissents from the settlement data, it shall notify the CFFEX of it in written form within 30 minutes before the opening on the following day. Under special circumstances, the clearing member may notify the CFFEX of it in written form within 2 hours after the opening on the following day.
Article 48 If the clearing member doesn’t dissent from the settlement data within the above stipulated time limit, it shall be deemed that the clearing member recognizes the accuracy of the settlement data.
Article 49 Cash settlement is adopted for the stock index futures contracts.
After closing on the last trading day of stock index futures contracts, all open contracts shall be settled up. The CFFEX will transfer the settlement profit/loss to both parties of position-holding according to the final settlement price. The settlement profit/loss will be transferred by the CFFEX after the settlement on the last trading day from the margin account of the money-losing clearing member to that of the profit-winning clearing member.
Article 50 The final settlement price in mock trading is the final settlement price in real trading. The CFFEX is entitled to adjust the final settlement price of stock index futures according to the market condition.
Article 51 The delivery commission of stock index futures is 0.01% of the delivered amount. The CFFEX is entitled to adjust the rate according to the market condition.
Chapter VIII Risk Control in Mock Trading
Article 52 The CFFEX adopts the margin system, price limit system, position limit system, large position report system, forced liquidation system, forced position reducing system and risk alert system to control the risk in mock trading.
Article 53 The CFFEX adopts the trading margin system. The margin rate of the newly-listed contract will be fixed by the CFFEX and announced in advance.
Article 54 The CFFEX may adjust the trading margin rate according to the market risk, if one of the following situations occurs in the trading process of futures contract:
(1) no unilateral continuous offer when the price limit is reached in futures trading (hereinafter referred to as one-sided market);
(2) in the case of statutory national holidays;
(3) significantly increased market risk in the eyes of the CFFEX;
(4) other conditions recognized by the CFFEX.
Article 55 In case of adjustment to the trading margin of a futures contract, the CFFEX shall settle all positions of the contract according to the new trading margin rate on the trading day before the execution of the new margin rate. If the margin is insufficient, it shall be supplemented before the opening of the following trading day.
Article 56 The CFFEX adopts the price limit system. The price limit shall be fixed by the CFFEX, which can adjust the price limit of a futures contract according to the market condition.
Article 57 The price limit of a stock index futures contract is ±10% of the settlement price on the previous trading day.
The price limit of the contracts of quarterly months on the first trading day is ±20% of the listing base price. If bargains are made in the first trading day, the price limit stipulated in the contract will be adopted on the following trading day. If no bargains are made on the first trading day, the price limit on the previous trading day will be resumed on the following trading day.
The price limit of a stock index futures contract on the last trading day is ±20% of the settlement price on the previous trading day.
Article 58 One-sided market refers to a situation where there is no unilateral continuous offer when the price limit is reached. In other words, in the five minutes before closing, there are only bids (asks) at the limit price, without asks (bids) at the limit price, or as long as there are asks (bids), the deals can be made, but the trade price is the same as the limit price.
Article 59 When one-sided market in the same direction occurs in two consecutive trading days of a futures contract (The first trading day of one-sided market is called D1 trading day, the second trading day of one-sided market is called D2 trading day, and the trading day before the D1 trading day is called D0 trading day, similarly hereinafter), if the D2 trading day is the last trading day, the contract will be delivered and settled up directly; if the D2 trading day is not the last trading day, the CFFEX is entitled to take one or more following risk control measure(s) according to the market condition: increasing trading margin rate, limiting position-opening, limiting withdrawal, requiring position-closing within the stipulated time limit, forcing liquidation, suspending trading, adjusting price limit, forcing position-reducing, or other risk control measures.
Article 60 The CFFEX adopts the position limit system. Position limit refers to the maximum open interest of a contract that can be held by the member or the client and calculated in a unilateral way according to the regulations of the CFFEX.
Article 61 The total open interest of a client, who opens positions at different members, in a contract month can not exceed the position limit on a client.
Article 62 The position limits of a stock index futures contract for the member and the client are stipulated as follows:
(1) The unilateral position limit of a contract for a client number is 100 lots;
(2) If the total unilateral open interest of a contract after settlement exceeds 0.1 million lots, the clearing member’s unilateral open interest of the contract on the following trading day shall not exceed 25% of the total unilateral open interest of the contract.
Article 63 The CFFEX adopts the large position report system. The CFFEX may announce the standard for position report according to the market risk.
Article 64 The member or the client, whose open interest reaches the standard for report as regulated by the CFFEX, or who is required by the CFFEX to report, shall report to the CFFEX before closing on the following trading day.
Article 65 The CFFEX adopts the forced liquidation system. Forced liquidation refers to a compulsory measure taken by the CFFEX to close the relevant position of a member or a client who violates the rules.
Article 66 The CFFEX will impose forced liquidation on the position of a member or a client who conducts the following acts:
(1) The clearing member, whose dummy settlement margin balance is less than zero, fails to supplement the margin within the stipulated time limit;
(2) The client and the trading member engaged in proprietary business, whose open interest is beyond the position limit, fail to close position within the stipulated time limit;
(3) The penalty of forced liquidation is imposed due to violation against regulation and contract;
(4) The forced liquidation shall be imposed according to the contingency plan of the CFFEX;
(5) Other conditions under which the forced liquidation shall be imposed.
Article 67 Implementation principle of forced liquidation
The forced liquidation will first be executed by the member in the first session of trading after opening unless otherwise stipulated by the CFFEX. The CFFEX will enforce it if the member fails to complete it within the stipulated time limit.
(1) Implementation by member
If the forced liquidation is executed due to the reasons stated in Items (1) and (2) of Article 66, the implementation principle of forced liquidation can be fixed by the member on its own. But the result of forced liquidation shall comply with the regulation of the CFFEX.
(2) Implementation by the CFFEX
1. If the forced liquidation is executed due to the reason stated in Item (1) of Article 66, the CFFEX will choose the contract(s) with the largest open interest after the settlement on the previous trading day as the contract(s) on which the forced liquidation is imposed. Then, the position requiring forced liquidation will be allotted according to the position-holding proportions of all clients of the contract(s).
If forced liquidation shall be imposed on more than one clearing member, the CFFEX will choose the clearing members in turn in a descending order of the amount of dummy margin called for.
2. If the forced liquidation is executed due to the reason stated in Item (2) of Article 66, the excessive position held by the client and the trading member engaged in proprietary business will be imposed with forced liquidation. If the client holds positions at more than one member, the positions will be imposed with forced liquidation in a descending order of the amount of their open interest.
3. If the forced liquidation is executed due to the reason stated in Item (3), (4) or (5) of Article 66, the position imposed with forced liquidation will be fixed by the CFFEX according to the specific conditions of the member and the client concerned.
If the forced liquidation shall be imposed on a member due to both reasons stated in Items (1) and (2) of Article 66, the CFFEX will first fix the position to be imposed with forced liquidation due to Item (2), and then fix the position to be imposed with forced liquidation due to Item (1).
Article 68 Execution procedures of forced liquidation
(1) Notification. The CFFEX will deliver a “Notice of Forced Liquidation” (hereinafter referred to as the Notice) to relevant clearing member to issue its requirement for forced liquidation. Apart from the service from the CFFEX, the Notice will also be sent together with the settlement data on the very day. Relevant clearing member can obtain it through the system of the CFFEX.
(2) Execution and confirmation.
1. After opening, relevant clearing member shall close its position on its own until the requirement for position closing is met;
2. If the clearing member fails to complete the forced liquidation on its own within the stipulated time limit, the forced liquidation on the remaining part will be executed by the CFFEX directly;
3. Relevant clearing member can obtain the result of forced liquidation, which will be delivered together with the transaction log, through the member service system.
Article 69 The price of forced liquidation is formed in a market-oriented way.
Article 70 If the forced liquidation can not be completed within the stipulated time limit due to price limit or other market reasons, the forced liquidation imposed on the remaining position can be postponed to the next trading day in the principle stated in Article 72 until the forced liquidation is completed.
Article 71 The CFFEX will take relevant measures on the clearing member concerned according to the settlement result on the very day if the forced liquidation fails to be completed on the very day due to price limit or other market reasons.
Article 72 If the forced liquidation imposed on relevant position has to be postponed due to price limit or other market reasons, the person bearing direct responsibility shall assume all the consequent losses. If the position closing fails to be completed, the holder of the position shall continue to assume the position-holding responsibility or delivery obligation.
Article 73 The profit resulting from forced liquidation executed by the member belongs to the person bearing direct responsibility, while the profit resulting from forced liquidation executed by the CFFEX shall be executed according to relevant national regulations. The loss resulting from forced liquidation shall be assumed by the person bearing direct responsibility.
Article 74 Forced position reducing refers to the CFFEX’s practice of automatically matching the orders at limit price on the very day for position closing, whose bargains have not been struck, with the clients enjoying the net position profit of the contract at the limit price on the very day according to the open interest proportions.
Article 75 Methods of forced position reducing
(1) If a client holds both long and short positions, its orders for closing out of the net position shall be included in the scope of forced position reducing. The remaining orders for closing out will automatically be matched with reverse positions.
(2) Quantity of positions to be closed
Quantity of positions to be closed refers to all positions whose bargains at the limit price in the system of the CFFEX are not struck and whose existence leads to the fact that the unit net position loss of the client’s contract is not less than 10% of the settlement price on the D2 trading day after closing on the D2 trading day.
Clients, who don’t want to close positions through the above method, can cancel their orders before market closure.
(3) Unit net position profit/loss of the client’s contract
Unit net position profit/loss of the client’s contract refers to the summation of the position profits/losses of the client’s contract divided by the net open interest. The summation of the position profits/losses of the client’s contract refers to the profits or losses of all the positions it held in such contract, calculated on the basis of the difference between the settlement price of D0 day and the settlement price of D2 day for all the transactions executed before D0 day (inclusive), and also the difference between the settlement price of D2 day and the actual execution price for all the transactions executed on D1 day and D2 day.
(4) Scope of clients, who enjoy unit net position profit, for position closing
All profit-winning net positions of the clients whose unit net position profits are more than zero according to the above method shall be listed into the scope of position closing.
(5) Distribution principle of position-closing quantity
1. The position-closing quantity is distributed by stages according to the amount of profit.
First, it will be distributed to the positions from which the unit net position profits are not less than 10% of the settlement price on the D2 trading day (hereinafter referred to as positions with over 10% profit). Then, it will be distributed to the positions from which the unit net position profits are less than 10% yet not less than 6% of the settlement price on the D2 trading day (hereinafter referred to as positions with over 6% profit). Lastly, it will be distributed to the positions from which the unit net position profits are less than 6% of the settlement price on the D2 trading day yet more than zero (hereinafter referred to as positions with profit).
2. The distribution proportion at each stage is based on the ratio of the quantity of positions to be closed (the quantity of remaining positions to be closed) to the quantity of profit-winning positions which can be used to close out at each stage.
If the quantity of positions with over 10% profit is not less than that of positions to be closed, the actual quantity of positions for closing out will be distributed, with the quantity of positions to be closed, to the positions with over 10% profit according to the ratio of the quantity of positions to be closed to that of positions with over 10% profit.
If the quantity of positions with over 10% profit is less than that of positions to be closed, the actual quantity of positions for closing out will be distributed, with the quantity of positions with over 10% profit, to the clients holding positions to be closed according to the ratio of the quantity of positions with over 10% profit to that of the positions to be closed. Then, the quantity of remaining positions to be closed will be distributed in turn to the positions with over 6% profit and the positions with profit according to the above method. If there are still remaining positions, no distribution will be made.
(6) Execution of forced position reducing
Forced position reducing will be executed after closing on the D2 trading day. The result of forced position reducing will be included in the member’s trading log on the D2 trading day.
(7) Price of positions reduced compulsorily
The price of the positions reduced compulsorily shall be the limit price of the contract on the D2 trading day.
The economic losses resulting from the forced position closing according to the Rules shall be assumed by the members and their clients.
Article 76 The CFFEX adopts the risk alert system. The CFFEX may take, when necessary, one or more than one such measures as reporting, interview for reminding, written warning and issuing risk warning notice to caution against and dispel risks.
Chapter IX Penalties for Violations
Article 77 All members and clients engaged in mock trading shall participate in mock trading in the principles of active participation and honest trading, and shall not conduct the following violations:
(1) Members engaged in mock trading persuade its clients to gamble with real capital by leveraging the price information in mock trading;
(2) manipulating market price;
(3) other conditions violating the regulations of the CFFEX or the principle of good faith.
Article 78 If members and clients engaged in mock trading are suspected of violations, before the violations are confirmed, the CFFEX may impose the following temporary measures on the parties under investigation to prevent further expansion of the consequences of violations and ensure the execution of penalties:
(1) stopping accepting applications for new trading codes;
(2) limiting deposits;
(3) limiting withdrawals;
(4) limiting position-opening;
(5) lowering position limit;
(6) increasing margin rate;
(7) closing position within stipulated time limit
(8) forcing liquidation.
Article 79 If members or clients engaged in mock trading violate the regulations of the CFFEX, the CFFEX shall order them to make corrections and may impose measures including interview for reminding, written warning, circular of criticism, public censure, limit on position opening, forced liquidation, trading suspension, disqualification from mock trading, business suspension or limit, and adjustment or cancellation of member qualification for mock trading on them according to the seriousness of the circumstances.
Chapter X Supplementary Provisions
Article 80 The interpretation right of the Rules resides in the CFFEX.
Article 81 The Rules shall take effect as of April 16, 2010 and become invalid after completion of mock trading.
Form of CSI 300 Stock Index Futures Contract for Mock Trading
Form of CSI 300 Stock Index Futures Contract for Mock Trading