- Implementation Shortfall
- VWAP
- TWAP
- POV (Participate)
- Iceberg
- dagger
Sunday, January 16, 2011
market knowledge and trading rules - KOSPI
1. Korea exchanges
- there're several markets
- for equities, there're KOSPI and KOSDAQ markets
2. trading hour (Mon-Fri excluding public holiday; local time)
- quotation receiving hours: 0800-1500
- trading hours: 0900-1500
- it also has off-hours session
i) pre-hours: 0730-08-30 quotation receiving hours; 0730-0830 trading hours
ii) post-hours: 1500-1800 quotation receiving hours; 1510-1800 trading hours
- Dec/31 is a holiday; if it falls in a holiday or Saturday, one previous business day closest to the Dec/31
3. quotations
- quotations are trading orders placed to Exchange Trading System by member firms whether it be customer orders or proprietary trading orders
- quotation types
i) limit quotation
ii) market quotation
iii) limit-to-market-on-close quotation
iv) immediately executable limit quotation
v) best limit quotation
- KRX member firms may entail following conditions to limit quotation, market quotation, and immediately executable limit quotation
i) IOC (immediate or cancel) - part of whole qty
ii) FOK (fill or kill) - entire qty
- the price at market closing is determined by individual auction at a single price method (call auction)
- cancellation & correction of quotations
i) cancel part or entire quantity; if partial cancel, the submitted time of the initial quotation shall be valid for execution priority
ii) correction refers to change of price; KRX member firm may correct price to the partial or entire quotation; execution priority for the corrected part will be the correction submit time
4. trading unit is 10 (or 1 if base price of issue on that day is above KRW 50,000); trading unit for off-hour session is 1;
5. ticks
- minimum price intervals at which quotations can be made. it's determined by trading efficiency (system capacity) and lower transaction cost (tight spreads)
| Share price (KRW) | Tick size |
|---|---|
| lower than 1,000 | 1 |
| 1,000 - 5,000 | 5 |
| 5,000 - 9,990 | 10 |
| 10,000 - 49,950 | 50 |
| 50,000 - 99,900 | 100 |
| 100,000 - 499,500 | 500 |
| higher than 500,000 | 1000 |
6. daily price limit
- for KOSPI market, it's 15% (disregard the residual amounts so that all the price limits are set as available tick size)
7. prices
- base price: previous close price
- open price: is determined by the quotations received during 0800-0900 period (single price call auction method)
7. settlement
- T+2
9. for more details
eng.krx.co.kr
an example on how to compute the opening & closing price
On many exchanges, the single price determined for the Opening and Closing Routine Price is based on the following methodology: The equilibrium price is one of the following: In this case, the Opening price will be $0.285 with 5,000 shares being matched (as 5,000 is the higher of the two tradable volumes when the sell pressure changes to buy pressure). |
market knowledge and trading rules - SGX
1. trading hour (Mon-Fri excluding public holiday; local time)
- pre-open routine: 0830 - 0900 (pre-open 0830-0859; non-cancel 0859-900)
- morning session: 900 - 1230 (adjust phase 1230-1359; non-cancel 1359-1400)
- afternoon session: 1400 - 1700
- pre-close routine: 1700 - 1706 (pre-close 1700-1705; non-cancel 1705-1706)
- half-day trading on eves of Christmas, New Year and Lunar New Year, ie, pre-open 830-900, normal trading session 900-1230, and pre-close 1230-1236
- when a holiday falls on Sunday, the following Monday will be a public holiday
2. pre-open, adjust phase and pre-close routines break down
- they are aimed at increasing efficiency and transparency of the marketplace, so as to facilitate smooth price movements during the opening and closing sessions of trading
- pre-open period (0830-0859)
i) order input, mod, cancel
ii) no order match yet
- non-cancel period (0859-0900)
i) no order input, mod, cancel
ii) order that can be matched are executed based on a single "opening" price computed by SGX trading system
iii) unmatched orders will flow into regular trading session
- lunch break hours (1230-1359)
i) order input, reduce in qty or cancel
ii) no order matching
- adjust phase non-cancel period (1359-1400)
i) no order input, mod or cancel
ii) orders that can be matched will be executed at a single price computed based an algorithm set by SGX trading system
- pre-close (1700-1705)
i) order input, mod or cancel
ii) no order match
- non-cancel period (1705-1706)
i) no order input, mod or cancel
ii) orders that can be match will be executed at a single "closing" price
iii) unmatched orders will be discarded
3. types of orders
- limit order
4. epic codes for all Singapore listed stocks are alphanumeric; stocks can be quoted in SGD and USD; stocks can only be traded in board lots of 1,000 in Ready market; however odd lot can also be trading in Unit Share Market (Odd Lot Market)
5. ticks
- dependent on the current share price (need to double verify with exchange website)
| Share price (S$) | Tick size |
|---|---|
| lower than 1.00 | 0.005 |
| 1.00 - 9.99 | 0.01 |
| higher than 10.00 | 0.02 |
6. tolerance level
- 6 ticks
7. settlement
- T+3
- T+2 (standalone FX transactions)
8. supported FIX message types
- administrative message types (logon, logout, heartbeat, test request etc)
- trading message types (new order single, execution report, order cancel request etc)
- market status and security status types (security definition, trading session status etc)
- other message types (news, business message request)
- for details, check exchange website
9. for more details
www.sgx.com
Saturday, January 15, 2011
market knowledge and trading rules - HKSE
1. trading hour (Mon-Fri excluding public holiday; local time)
- pre-open auction session: 930 - 1000
- morning session: 1000 - 1230
- extended morning session: 1230 - 1430 (for extended trading securities only)
- afternoon session: 1430 - 1600
- half-day trading (ie, no extended morning and afternoon sessions) on eves of Christmas, New Year and Lunar New Year
2. pre-open session break down
a) 930 - 945 (order input period)
- input of both at-auction limit orders and at-auction orders
- orders mod or cxl
b) 945 - 950 (pre-order matching period)
- input of at-auction orders only
- no order mod or cxl
c) 950 - 958 (order matching period)
- orders are matched at the final Indicative Equilibrium Price
d) 958 - 1000 (blocking period)
- a break between pre-open and continuous trading sessions; no order input, mod or cxl
e) at the end of pre-open session, all unmatched orders shall be cancelled and deleted from the exchange automatically except for those at-auction limit orders whose specified price does not deviate 9 times or more from nominal price at that time
3. cancellation of orders
- orders entered in the morning session is permitted to cancel from 30 minutes before the afternoon trading session of the same trading day
4. trade prices
- closing price: median of last five nominal price at 15-second interval from 1559 to 1600.
- previous closing price
- open price: indicative equilibrium price
- day low price
- day high price
- bid price
- ask price
- current bid price
- current ask price
5. indicative equilibrium price (IEP) and indicative equilibrium volume (IEV)
- IEP is the price at which the max number of shares (IEV) can be traded if matching occurs at that time point; they're continuously re-calculated and updated each when a new order comes in during the order input period of the pre-opening session
6. types of orders
- at-auction limit order (orders with specified price during pre-open session)
- at-auction order (orders without specified price during pre-open session)
- limit order (only limit orders permitted during continuous trading session)
-- limit order
-- enhanced limit order
-- special limit order
7. epic codes for all HK listed stocks are numeric; different stocks have different board lots
8. ticks
- dependent on the current share price
| Share price (HK$) | Tick size |
|---|---|
| 0.01 - 0.25 | 0.001 |
| 0.25 - 0.50 | 0.005 |
| 0.50 - 10.00 | 0.01 |
| 10.00 - 20.00 | 0.02 |
| 20.00 - 100.00 | 0.05 |
| 100.00 - 200.00 | 0.10 |
| 200.00 - 500.00 | 0.20 |
| 500.00 - 1,000.00 | 0.50 |
| 1,000.00 - 2,000.00 | 1.00 |
| 2,000.00 - 5,000.00 | 2.00 |
| 5,000.00 - 9,995.00 | 5.00 |
9. tolerance level
- 24 ticks (or 9 ticks for 1 bid/ask made in pre-open session)
10. settlement
- T+2
11. for more details
www.hkex.com.hk
Subscribe to:
Posts (Atom)
