Trading in the single-price auction system is a based on an auction procedure, i.e. determination of a security's price based on orders submitted before the start of trading.
The first phase of the session is the so-called pre-opening phase, during which the system accepts buy and sell orders, but no transactions are executed.However, the indicative opening price (IOP) is calculated and published.
Next, using the appropriate algorithm, the computer system calculates the single price at which transactions are to be executed.The single price is determined on the basis of broker orders containing a limit price and orders with no such limit.Once the single price is published, it becomes the price at which transactions are concluded.
In determining the single price, the system uses the following principles:
- Maximisation of trading volume,
- Minimisation of the difference between the numbers of securities in buy and sell orders possible to execute at a given price,
- Minimisation of the difference between the price determined and the reference price.
- After announcement of the single price, additional buy and sell orders can be placed with limits equal to the given single price, i.e. the post-auction phase begins.
Orders are prioritised for execution by price and time of acceptance or activation, observing the principle of minimising the number of transactions.First, all must-be-filled orders, then those with a limit price better than the single price are executed in full.Next, market-on-opening orders are realised, and then those with a limit price equal to the determined single price.If it is not possible to determine a single price within the permissible price variation limits, a non-transactional price is always given.In such situation, transactions are not executed, and this price becomes the reference price for the next session.
In the case of the single-price system with two auctions, currently in use on the Exchange, the procedure of determining the price and concluding transactions is carried out twice daily.This means that after the first post-auction phase, another pre-opening phase occurs, the IOP is calculated once more, and the second single price of the day is determined for securities traded in the single-price auction system.After this single price is published, the post-auction phase begins for a second time that day.
0 comments:
Post a Comment