Date : 25-07-2000
Please note the changes are in the Example 2 table, the opening price should be 0.310 which is the highest instead of 0.300 which is the lowest. Singapore Exchange Securities Trading (SGX-ST) today announced new Pre-Open and Pre-Close Routines for the stock market starting 21 August 2000. When implemented,
these routines will increase efficiency in order-matching, enhance market integrity and extend accessible hours for investors.
Pre-Open Routine
The Pre-Open Routine is a 30-minute session before regular trading starts at 0900 hrs. It comprises the Pre-Open Period and the Non-Cancel Period. During the Pre-Open Period (0830 - 0859 hrs), buy and sell orders can be entered, amended or withdrawn. However, they will not be matched and executed during this
period.
The Non-Cancel Period is between 0859 and 0900hrs, during which input, amendment and withdrawal of orders are not permitted. Orders that can be matched are executed at a single computed price, which will be the same as or better than the price at which the orders are entered.
This computed price shall be the opening price for the day. Unmatched orders will be carried forward into the regular trading session. This routine
facilitates the smooth flow and matching of orders once the regular trading session starts.
Pre-Close Routine
At 1700 hrs, all unmatched orders are carried forward to the Pre-Close Routine, which runs for 6 minutes and consists of a Pre-Close Period and a
Non-Cancel Period.
Similarly, orders can be entered, amended or cancelled during the Pre-Close Period (1700 to 1705 hrs). During the Non-Cancel Period (1705 to 1706 hrs), orders are matched and executed at a closing price computed for the day, while unmatched orders will become void. This routine makes it difficult for anyone to manipulate closing prices with a single transaction at an unusually high or low price, just before the trading session ends.
Computation of Opening and Closing Prices
The Opening / Closing Price will be determined in accordance with the following methodology:
* Any bid/offer at a given price may also be executed at a lower/high price
* The cumulative bid volume at any price is the bid quantity at that price plus the sum of bid quantities at all higher prices.
* The cumulative offer volume at any price is the offer quantity at that price plus the sum of offered quantities at all lower prices.
* Sell/buy pressure occurs when the cumulative offer/bid volume exceeds the cumulative bid/offer volume at a particular price.
* The tradable volume at any price is the smaller of the cumulative bid/offer volume.
* The price overlap is the range of prices where tradable volumes are possible.
* The equilibrium is the price range within the price overlap where buy pressure changes to sell pressure.
The equilibrium price is either one of the following:
* The price within the equilibrium that has the largest trade volume, or
* If there is no unique price, the average of all prices within the equilibrium with the maximum trade volume or,
* The average is rounded to the next multiple of the minimum price multiple for this stock in the direction of the previous day price.
* If there is no settlement price, the average price is rounded to the next highest price multiple.
* If there is only buy or sell pressure within the price overlap.
The opening price will be the one of the following :
* with only buy pressure within the price overlap, the highest price within the overlap with a non-zero trade volume will be the opening price, or
* with only sell pressure within the price overlap, the lowest price within the overlap with a non-zero trade volume will be the opening price.
If there is no buy and sell pressure within the price overlap, the opening price will be the one of the following:
* The average of all prices within the overlap, or
* If the price average is not the correct multiple, the average is rounded to the next multiple in the direction of the previous day price.
* If there is no previous day price, the average price is rounded to the next highest price multiple.
Example 1
Cumulative Bid Vol..... Bid Qty........ Price.....Offer Qty .....Cumulative Offer Vol...Tradable Price....Buy sell pressure.....Tradable Vol
.....- ............................... -.............. 9.80 .......22...................101............................9.80 .................................-
......2...........................2...................9.70........41...................79 ...........................9.70.................S................2
.....18...........................16............. 9.60.........20...................38.............................9.60.................S................18
........40..........................22..............9.50......14...................18...............................9.50.................B................18
.......78........................38..............9.40..........2.....................4................................9.40.................B................4
.......167.......................89..............9.30..........2............... 2.....................................9.30.................B................2
........267.....................100 ............9.20...........-.................... -...............................9.20..................................-
In this example, trades are possible at prices between 9.3 and 9.7. However, the buy pressure changes to sell pressure from 9.5 to 9.6. Since the same number of trades can be executed at both prices, the opening price would be 9.5 and 9.6 depending on which price is closer to the previous day's price.
Example 2
Cumulative Bid Vol..... Bid Qty........ Price.....Offer Qty......Cumulative Offer Vol.....Tradable Price.......Buy sell pressure......Tradable Vol
-................................ - ............. 0.345.....- ...................5....................... 0.345................................. -
-...................................- ............. 0.32......- ...................5....................... 0.32..................................
16....................................16............. 0.31......- ...................5....................... 0.31...............B.................. 5
16.................................- ............. 0.305.....- ...................5....................... 0.305..............B.................. 5
16.................................-.............. 0.300.....5 ...................5....................... 0.30...............B.................. 5
16.................................-.............. 0.255.....- ...................-....................... 0.255................................. -
26................................10............. 0.25......- ...................-....................... 0.25.................................. -
Sunday, June 5, 2011
Move to improve SGX market transparency
THE Singapore Exchange (SGX) has launched a public consultation on proposed tweaks to the pre-opening and pre-closing routines of the securities market.
SGX said yesterday that the changes would improve market transparency. It is first proposing to publish the indicative equilibrium price (IEP) in real time throughout the pre-open and pre-close phases.
SGX's pre-open period runs from 8.30am to 8.59am, while its pre-close session is from 5.01pm to 5.05pm.
Created in 2000, these pre-open and pre-close sessions are used to electronically match orders that were not executed during trading hours. They were introduced to get rid of index-rigging and price-fixing.
During these times, market players can currently see the total buy and sell quantities, but at various bid and offer prices.
SGX is now proposing to publish IEP - the price at which orders would be executed if auction matching were to occur at that point. This price would then form the opening or closing price instead. IEP is used in markets such as Hong Kong as well.
'With this information, market participants are better able to assess market demand and supply conditions, and adjust their orders accordingly,' SGX said yesterday.
In its second proposal, SGX has asked for a 'random end' to the pre-close phase of the closing routine. Currently, the pre-close phase is fixed at five minutes after the trading session. SGX now wants to randomise the end of the pre-close phase for a varying duration between four and five minutes.
The end of the pre-close phase will be synchronised across all counters. The varying time period aims to protect the integrity of the closing price against the impact of sudden large entry and withdrawal orders, SGX said.
'Together with other initiatives including a reduction in the minimum bid size of securities from July 4, 2011, these new improvements are expected to enhance the market.'
Adapted from The Business Times (By Jamie Lee)
SGX said yesterday that the changes would improve market transparency. It is first proposing to publish the indicative equilibrium price (IEP) in real time throughout the pre-open and pre-close phases.
SGX's pre-open period runs from 8.30am to 8.59am, while its pre-close session is from 5.01pm to 5.05pm.
Created in 2000, these pre-open and pre-close sessions are used to electronically match orders that were not executed during trading hours. They were introduced to get rid of index-rigging and price-fixing.
During these times, market players can currently see the total buy and sell quantities, but at various bid and offer prices.
SGX is now proposing to publish IEP - the price at which orders would be executed if auction matching were to occur at that point. This price would then form the opening or closing price instead. IEP is used in markets such as Hong Kong as well.
'With this information, market participants are better able to assess market demand and supply conditions, and adjust their orders accordingly,' SGX said yesterday.
In its second proposal, SGX has asked for a 'random end' to the pre-close phase of the closing routine. Currently, the pre-close phase is fixed at five minutes after the trading session. SGX now wants to randomise the end of the pre-close phase for a varying duration between four and five minutes.
The end of the pre-close phase will be synchronised across all counters. The varying time period aims to protect the integrity of the closing price against the impact of sudden large entry and withdrawal orders, SGX said.
'Together with other initiatives including a reduction in the minimum bid size of securities from July 4, 2011, these new improvements are expected to enhance the market.'
Adapted from The Business Times (By Jamie Lee)
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