What does the error 'The order was cancelled by the exchange because the price is outside the current allowed limit price protection range' mean?

The error The order was cancelled by the exchange because the price is outside the current allowed limit price protection range is displayed when orders are placed outside the Limit Price Protection (LPP) range in index/stock F&O contracts.

The LPP range is dynamically adjusted as contract prices change. The exchanges established these limits to strengthen pre-trade risk control measures and to prevent freak trades. Freak trades are defined as trades that could be executed at prices significantly above or below the current market price.

LPP implementation has been made applicable to both limit orders and Stop Loss - Limit (SL-L) orders in stock and index F&O contracts. When SL-L orders are triggered outside the LPP range, they are rejected.

For limit orders, ensure the limit price is within the LPP range. For stop-loss limit orders, ensure both the trigger and limit prices are within the LPP range.

LPP range calculations:

• The LPP range for NSE futures (PDF), and options (PDF) are calculated as follows:
  • Futures: A range of +/- 3% is applied.
  • Options:
    • For options where premium values exceed ₹50: A range of +/- 40% is applied.
    • For options where premium values fall below ₹50: A range of +/- ₹20 is applied (as an absolute value).

Example scenario

• • Nifty futures are trading at ₹20,000:
    • Range value: 3% of ₹20,000 = ₹600
    • Upper range: ₹20,600 (₹20,000 + ₹600)
    • Lower range: ₹19,400 (₹20,000 - ₹600)
    • Orders must be placed between ₹19,400 and ₹20,600, or they will be rejected.
  • When an options contract's premium is trading at ₹75:
    • Since ₹75 is exceeded by the ₹50 threshold, a 40% range is applied
    • Range value: 40% of ₹75 = ₹30
    • Upper range: ₹105 (₹75+₹30)
    • Lower range: ₹45 (₹75-₹30)
    • Orders must be placed between ₹45 and ₹105, or they will be rejected.
  • When the premium is trading at ₹25:
    • Since ₹25 falls below the ₹50 threshold, a ₹20 fixed range is applied
    • Upper range: ₹45 (₹25+₹20)
    • Lower range: ₹5 (₹25-₹20)
    • Orders must be placed between ₹5 and ₹45, or they will be rejected.
• The LPP range for BSE F&O (WEB) is calculated as follows:
  • Futures: A range of +/- 3%, subject to a minimum LPP of ₹1.50 (as an absolute value).
  • Options: A range of +/- 60%, subject to a minimum LPP of ₹30 (as an absolute value).
    

Example scenario

• • A Futures contract is trading at ₹70,000:
    • LPP Range: 3% of ₹70,000 = ₹2,100 which falls above the minimum LPP of ₹1.50
    • Upper limit: ₹72,100 (70,000 + 2,100)
    • Lower limit: ₹67,900 (70,000 - 2,100)
    • Orders must be placed between ₹72,100 and ₹67,900, or they will be rejected.
  • A Futures contract is trading at ₹49:
    • LPP Range: 3% of ₹49 = ₹1.47 which falls below the minimum LPP of ₹1.50
    • Upper limit: ₹₹50.50 (₹49+₹1.50)
    • Lower limit: ₹47.50(₹49-₹1.50)
    • Final LPP range: ₹47.50 to ₹50.50
  • An option is trading at ₹500:
    • LPP Range: 60% of ₹500 = ₹300 which falls above the minimum LPP of ₹30
    • Upper limit: ₹800 (₹500+₹300)
    • Lower limit: ₹200 (₹500-₹300)
    • Orders must be placed between ₹800 and ₹200, or they will be rejected.
  • An option is trading at ₹40:
    • 60% of 40 = ₹24 which falls below the minimum LPP of ₹30
    • Upper limit: ₹70 (₹40+₹30)
    • Lower limit: ₹10 (₹40-₹30)
    • Orders must be placed between ₹70 and ₹10, or they will be rejected.