Trading Venue price bands, thresholds, preview, and prune

Configure the static and dynamic price bands and the maximum order quantity and notional per market, preview how many resting orders a tighter setting would strand, and prune them as an explicit separate action.

Price bands and order thresholds are the market's intake guardrails. The static band rejects orders priced too far from the session's reference price, the dynamic band rejects orders too far from the moving last trade, and the maximum quantity and notional caps reject oversized orders. All four are checked at intake with a named rejection reason, and none of them ever halts the market or cancels a resting order on its own. Halting stays a decision the operator makes by hand.

Before you start

You hold the venue-operator role: platform administrator or organization owner.
The market is listed. Bands and thresholds are per-market settings, editable at any time.

The four controls

Control	Anchor	Rejects	Inactive when
Static band	The session reference: the previous session's official close, else the last opening-auction clearing price	An order priced outside the half-width around the anchor	No half-width set, or the market has produced no session reference yet
Dynamic band	The moving last-trade price, falling back to the feed reference	An order priced outside the half-width around the current anchor	No half-width set
Maximum quantity	Not applicable	An order above the base-quantity cap	No cap set
Maximum notional	Not applicable	An order above the quote-notional cap	No cap set

Both bands express a half-width in basis points. The static band also bounds the opening auction: an uncross that would clear outside it is refused and escalated to you instead of printing a dislocated open. These bands are separate from the price protection band, which bounds what a market order or triggered stop may execute at; the protection band is set at listing and applies at execution, the bands here apply at intake.

The existing minimum lot size and minimum notional from the market's trading grid keep working unchanged; the maximums on this page are their new counterparts.

Edit the bands and thresholds

Open the band editor

Go to Venue operations, open the market, and open Bands and thresholds.

Preview the impact

Enter the candidate values. The editor shows how many resting orders would fall outside the new settings before you save anything. A widening change affects no resting order; only a tightening one can strand orders outside the new band.

Save

Save the configuration. It takes effect at intake immediately. Resting orders are untouched: an order that rested inside the old band keeps resting outside the new one.

Prune, if you choose to

If stranded resting orders should not stay on the book, run Prune out-of-band orders as a separate, confirmed step. The prune mass-cancels exactly the resting orders outside the current settings and releases their reserved balances, and it reports the cancelled order ids.

Troubleshooting

Issue	What to check
The static band rejects nothing	The market has no session reference yet: no official close and no auction clearing price has been recorded. The band activates from the first one.
An order inside the band was still refused at execution	The protection band bounds execution separately. An order can pass intake and still refuse quantity that would next fill outside the protection band.
The preview count and the prune count differ	The book moved between preview and prune. The prune acts on the orders outside the settings at prune time.
A trader reports a band rejection	Expected: the rejection names the failed band or threshold. The trader can reprice inside the band or wait for the anchor to move.

Trading venue market structure for how the bands compose with the protection band
Configure trading calendars for the official close that anchors the static band
Halt, resume, and delist a market for the manual halt that bands deliberately never trigger

Set price bands and thresholds