market architecture of selected stock exchanges in ... - Gilles Daniel

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50The Trading DayTable 18: Opening Hours of the JSETrading Days Time frame Time zoneMonday to Friday excluding public holidays 08. 30 to 18. 00 GMT + 02:00 hoursFigure 13: Trading Phases of the JSE08. 30 -08. 35 08. 35 – 09. 00 09. 00 – 16. 50 16. 50 – 17. 00 17. 00 – 18. 00OpenOpeningauctionContinuous tradingLiquidity IntradayAuctionVolatilityAuctionVWAPClosingauctionPost-traderun-off12. 00 – 12. 15Table 19: Trading Period Time Description JSETrading Period Time DescriptionOpen 08. 30 – 08. 35 This is a systemic period, during which all orders that have expiredovernight will be removed from the system.Opening auction 08. 35 – 09. 00 The opening auction consists of two phases, the call phase and theuncrossing phase. During the call phase LO and MO may be entered,modified, and deleted. Information on the state of the order book isprovided throughout the call period but no execution occurs. During theuncrossing phase, the auction price is determined and book is uncrossed.Continuous trading 09. 00 – 16. 50 types LO, AA, AB being entered (no market orders without executionContinuous order entry and execution occur with a wide variety of orderconstraints).Trading Period Time DescriptionPrice volatilityauctionIntraday liquidityauctionRandomThis period is entered when instruments in the ZA01 and ZA02 segmentsbreach their specified volatility bands. As in all auctions, this periodconsists of a call phase when orders are entered for the auction and anuncrossing phase when the uncrossing algorithm is run and orders areexecuted where possible.Instruments in functional segments ZA03, ZA04 and local NSXinstruments in ZA11 are subject to an intra-day liquidity-focusing12. 15 – 12. 30 auction. As in all auctions, this period consists of a call phase whenorders are entered for the auction and an uncrossing phase when theuncrossing algorithm is run and orders are executed where possible.Closing VWAP 16. 40 – 16. 50 The closing VWAP is calculated over the last ten minutes of continuoustrading and should not be confused with the general VWAP that iscalculated throughout the trading day. This VWAP calculation is usedfor closing price determination if no closing price could be determinedduring the closing auction.
51Closing Auction 16. 50 – 17. 00 The closing auction occurs over the last ten minutes of the trading day.As in all auctions, this period consists of a call phase when orders areentered for the auction and an uncrossing phase when the uncrossingalgorithm is run and orders are executed where possible. The pricedetermination from this auction is used to calculate the closing price.Post trade run-off 17. 00 – 18. 00 This period is used for general 'housekeeping' activities, orders may bemodified or cancelled, trades may be modified or reported. No orderentry may take place in this phase and no automatic execution will occur.At 18h 00 , systemic closure of the trading system and official end to thetrading day.Trade Reporting 08. 30 – 18. 00 Reporting of late trades must, however, be entered by 08h45 on theTrade reporting may take place at any time during the trading day.following trading day.Settlement T+5Settlement will occur five days after trade (T+5), no special terms (e.g.same day settlement) will be allowed.At the JSE, all auctions follow a similar process whether it is an opening auction,intra-day auction, volatility auction or closing auction. The JSE centrally calculatesthe indicative auction price and the volume with the auction algorithm, disseminatingin real-time throughout the auction. Following the call phase, there is a thirty secondrandom period, after which the system determines if auction extensions have to beinitiated. The system checks whether executable market order volume remainsunexecuted after the auction or if the auction price compared to the last order bookprice is outside the volatility bands for that instrument.If no extension phase is required the auction algorithm will run during the pricedetermination phase. Having defined the auction price, the order book then will beuncrossed. During the matching process, market orders will be given preference overlimit orders. If there is no execution for market orders they are carried over intocontinuous trading. Then, they are vulnerable to every opposite order enteredregardless of price.In order to make the start of the next trading phase unpredictable, and thus minimizemarket manipulation, the continuous auction starts at a random time. After theauction call period, a random period will occur, which lasts for a maximum of thirtyseconds.
Page 1 and 2:
MARKET ARCHITECTURE OF SELECTED STO
Page 3 and 4:
ITABLE OF CONTENTSList of Figures .
Page 5 and 6:
IIIList of Figures 1Figure 1: Equit
Page 7 and 8: VTable 33: Criteria for Auction Ext
Page 9 and 10: 11 Introduction1.1 Motivation and O
Page 11 and 12: 3Figure 2: World Equity Market Capi
Page 13 and 14: 51.2 Course of ExplorationThis thes
Page 15 and 16: 72.2 The selected Stock ExchangesHa
Page 17 and 18: 92.2.2 The National Stock Exchange
Page 19 and 20: 112.2.3 The São Paulo Stock Exchan
Page 21 and 22: 13Table 3: São Paulo Stock Exchang
Page 23 and 24: 15Table 4: Shanghai Stock Exchange
Page 25 and 26: 17Table 5: Istanbul Stock Exchange
Page 27 and 28: 19Table 6: Warsaw Stock Exchange St
Page 29 and 30: 212.3 Organizational StructureTable
Page 31 and 32: 232.5 Exchange RatesFor the purpose
Page 33 and 34: 25compensation of this service, the
Page 35: 273.3.2 Brokered MarketsIn a broker
Page 38 and 39: 30price and quantity (Cohen and Sch
Page 40 and 41: 32However, the impact of electronic
Page 42 and 43: 343.6 Orders and Order Books3.6.1 T
Page 44 and 45: 36“Minimum Fill” (or “Minimum
Page 46 and 47: 38Figure 9: Order RoutingExchangeEx
Page 48 and 49: 40Figure 11: Order Book in an Order
Page 50 and 51: 42all exchanges. Generally, more th
Page 52 and 53: 44and decide if a parallel trading
Page 54 and 55: 46groups of similar liquidity (see
Page 56 and 57: 48Order TypesGenerally, there are t
Page 60 and 61: 52Matching and uncrossingAs already
Page 62 and 63: 54Figure 14: Volatility Bands at th
Page 65 and 66: 57Table 24: Market Types and Order
Page 67 and 68: 59The three stages of price variati
Page 69 and 70: 61according to price/time priority
Page 71 and 72: 63The Trading DayTable 29: Opening
Page 73 and 74: 65Additionally, there are special a
Page 75 and 76: 67Table 34: Discretionary Trading H
Page 77 and 78: 69Order Entry ParametersThe rules o
Page 79 and 80: 71Trading unitsPrices of B-shares o
Page 81 and 82: 73Market ParticipantsISE members au
Page 85 and 86: 774.6 The Warsaw Stock ExchangeIn t
Page 87 and 88: 79Must-be-filled orders can be plac
Page 89 and 90: 81Figure 19: Trading Phases of the
Page 91 and 92: 83executable at a determined price
Page 93 and 94: 854.7 The Dubai International Finan
Page 98 and 99: 905 ConclusionThe ever-increasing n
Page 100 and 101: 92Table 56: Synoptical Table of Mar
Page 102 and 103: 94Trades effected through the Elect
Page 104 and 105: 967 ReferencesLiteratureBARUCCI, E.
Page 106 and 107: 98GIRIDHAR, G., 2004. Market Micros
Page 108 and 109:
100PECHLANER, V. M., 2001. An Analy
Page 110:
102EIDESSTATTLICHE ERKLÄRUNGIch er
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