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

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

some concepts

- Exotics Trading desk (derivatives trading)

- Synthetic Trading desk (structured products, PNotes)

- Program Trading desk (sales trading and agency trading)

- Electronic Execution desk (sales trading)

- Dealers

- give-up trade

program trading

It's also called basket trading or portfolio trading. Different from single order trading, it's defined as an electronic transaction involving 15 or more stocks.

Just found that traders are splitting client orders into 2 parts, the 90% are sent to algo trading engine, while the other 10% are done by human!

停止给自己找麻烦

最近又做了一件非常笨的事情，给自己带来了非常多的麻烦，弄得自己心情很烦躁。

多嘴或者多管闲事真是一个非常不好的毛病，不但对自己没有任何好处，还会给自己带来无尽的麻烦和烦恼。希望从现在开始吸取教训，不要犯同样的错误！

从现在开始, 让这成为自己的一个准则: 做好自己的事情,少管闲事.

hash in Perl

1. doesnt have order

OSI - OCC - OPRA

to be updated...

HKG info (1)

1. red chip -

2. blue chip -

3. H Share

Sybase Points (1)

1. can't capture the correct return status of isql to OS

--- as an alternative, we do a grep for Error or Msg in the log file

Questions...

1. what's newline character in sed?

- eg, sed 's/\n/,/' is not working; instead, I use tr to accomplish what I want to do.