Micex-RTS Stock Exchange preps new post-trading auction features

Source: Micex-RTS Stock Exchange

On February 13, 2012, Micex-RTS Stock Exchange will launch additional features for submitting and executing trades during the post-trading auction held in the Main Market sector.

The innovation implies that limit orders residing on the book that were submitted to the trading system of CJSC MICEX Stock Exchange during the main trading period but were not filled or partially filled, including orders of market-makers and iceberg orders, will also participate in the post-trading auction. Upon completion of the trading period, such orders will not be removed from the Trading system and will automatically roll over to the post-trading auction. Orders with equal prices will be filled according to the time priority principle. Orders not filled during the post-trading auction, will be removed after the end of the auction, i.e. at 6.50 pm MSK.

During the post-trading auction at the stage of orders collection, the indicative auction price calculated based on an assumption that at a given moment there are counter orders with matching prices in the Trading system, will be disseminated. The above-mentioned price will be recalculated each time the order queue changes. At the same time, the indicative number of securities involved in trades with the indicative auction price will be published.

From 13 February the following new fields will be added to the Trading system screens to display the above-mentioned indicators:

  • Field CLOSING_AUCTION_PRICE shows the indicative (calculated) post-trading auction price taking into account all orders registered at a given moment (upon the completion of the auction the actual post-trading auction price is shown in this field).
  • Field CLOSING_AUCTION_VOLUME shows the indicative (calculated) number of board lots involved in trades executed at the indicative price.

Post-trading auction is a period of the Main trading mode available in the Main Market sector of the Securities Market of MICEX Stock Exchange. The auction is held to determine the "Last Trade Price" value. The post-trading auction was introduced on November 21, 2011 and is held on the Exchange's trading days from 6.45 pm MSK to 6.50 pm MSK. During the auction trades in stocks and depositary receipts on stocks are executed. 

Comments: (0)

Featured job
All Jobs »