borsaitaliana
Differences
This shows you the differences between two versions of the page.
| Both sides previous revisionPrevious revisionNext revision | Previous revision | ||
| borsaitaliana [2017/02/06 10:38] – [Auction Mechanisms] maya | borsaitaliana [2023/02/27 11:59] (current) – hammed | ||
|---|---|---|---|
| Line 4: | Line 4: | ||
| [[http:// | [[http:// | ||
| - | Currency: Euro (EUR)\\ | + | Currency: Euro (EUR) |
| - | Time Zone: +01:00 | + | |
| + | [[https:// | ||
| - | [[http:// | ||
| ===== Trading Summary ===== | ===== Trading Summary ===== | ||
| + | |||
| Borsa Italiana uses the Millennium IT platform for its equity cash markets. | Borsa Italiana uses the Millennium IT platform for its equity cash markets. | ||
| - | ==== Lit Order Types ==== | + | ==== Order Types ==== |
| - | * Limit Buy/Sell (DAY/IOC) | + | |
| - | * Market Buy/Sell (DAY) | + | |
| - | ==== Available ATS ==== | + | |
| - | * [[batseurope|BATS Europe]] | + | * Market Buy/ |
| - | | + | |
| - | * [[turquoise|Turquoise]] | + | |
| + | **Please Note**: Market Orders are disabled during the Opening Auction call, Re-Opening Auction Call and Closing Auction call for symbols in certain segments. The detailed rules are written in the official [[https:// | ||
| ==== Basic Market Rules ==== | ==== Basic Market Rules ==== | ||
| + | |||
| * Lot Size: 1 share. | * Lot Size: 1 share. | ||
| * Tick Size: varies by price, as follows (for more information, | * Tick Size: varies by price, as follows (for more information, | ||
| Line 49: | Line 48: | ||
| * Short Sale Rules: naked short selling is prohibited; a locate/ | * Short Sale Rules: naked short selling is prohibited; a locate/ | ||
| * Circuit Breakers: Borsa Italiana has automatic controls on trading in place, as described in the [[http:// | * Circuit Breakers: Borsa Italiana has automatic controls on trading in place, as described in the [[http:// | ||
| + | * **Note:** as part of pre-trade transparency requirements under the new MiFID II rule, Europe hidden or hidden portion of iceberg (e.g., CHIX-X Bats and Turquoise reserve/ | ||
| ==== Auction Mechanisms ==== | ==== Auction Mechanisms ==== | ||
| - | Borsa Italiana has both Opening and Closing auctions. For more details, see the TRM2 - Millennium Exchange Business Parameters document on the [[http:// | + | |
| + | Borsa Italiana has both Opening and Closing auctions. For more details, see the TRM2 - Millennium Exchange Business Parameters document on the [[http:// | ||
| === Open === | === Open === | ||
| **Opening auction** (08:00 - 09:00) | **Opening auction** (08:00 - 09:00) | ||
| - | * Pre-auction, | + | * Pre-auction, |
| === Close === | === Close === | ||
| - | The closing price is defined by the following auction mechanism: | + | The closing price is defined by the following auction mechanism. |
| **Auction** means an auction conducted in a trading platform in respect to qualifying orders at the auction price pursuant to the following process: | **Auction** means an auction conducted in a trading platform in respect to qualifying orders at the auction price pursuant to the following process: | ||
| - | | + | * a) The auction price will be the price at which volume is maximized |
| - | | + | * b) If the volume is maximized at multiple prices, the auction price will be at which the order imbalance |
| - | * Buy side: Aggregate | + | * Buy side: aggregate |
| - | * Sell side: Aggregate | + | * Sell side: aggregate |
| - | | + | * c) If the order imbalance is minimized at multiple prices, the concept of market pressure will be used and calculated as follows: |
| - | * If all the prices at which the order imbalance is minimized have a buy imbalance (remaining quantity is on the buy side), | + | * If all the prices at which the order imbalance is minimized have a buy imbalance (remaining quantity is on the buy side), the highest price will be used |
| - | * If all the prices at which the order imbalance is minimized have a sell imbalance (remaining quantity is on the sell side), the lowest price will be used. | + | * If all the prices at which the order imbalance is minimized have a sell imbalance (remaining quantity is on the sell side), the lowest price will be used |
| * If the prices at which the order imbalance is minimized have buy and sell imbalances, then the highest price of the buy imbalances and the lowest of the sell imbalances will be used | * If the prices at which the order imbalance is minimized have buy and sell imbalances, then the highest price of the buy imbalances and the lowest of the sell imbalances will be used | ||
| - | | + | * d) If step c) resulted in two prices, then the auction price is determined as follows: |
| * If the Static reference price (most recent auction price) is equal to or greater than the highest price, then the highest price is chosen as the auction price | * If the Static reference price (most recent auction price) is equal to or greater than the highest price, then the highest price is chosen as the auction price | ||
| - | * If the Static reference price is equal or less than the lowest price, then the lowest price is chosen as the auction price | + | * If the Static reference price is equal to or less than the lowest price, then the lowest price is chosen as the auction price |
| * If the Static reference price is in between the two prices, then the static reference price is chosen as the auction price | * If the Static reference price is in between the two prices, then the static reference price is chosen as the auction price | ||
| - | | + | * e) Orders will be executed by matching compatible orders of opposite |
| - | | + | * f) Orders will be given price, and then time, priority |
| **Auction Periods** | **Auction Periods** | ||
| - | 1. **Continuous trading** (09:00 - 09: | + | 1. **Continuous trading** (09:00 - 09:00:59 - 17:30) |
| * Continuous trading occurs | * Continuous trading occurs | ||
| - | * Orders may be entered, | + | * Orders may be entered, |
| 2. **Closing auction call** (17:30 - 17:35) | 2. **Closing auction call** (17:30 - 17:35) | ||
| Line 90: | Line 92: | ||
| * Orders will be matched based on price-time priority | * Orders will be matched based on price-time priority | ||
| - | **Order Types:** Limit order only. | + | **Order Types:** Limit and Market-on-Close. |
| ===== See Also ===== | ===== See Also ===== | ||
| * [[market_guides|Market Guides]] | * [[market_guides|Market Guides]] | ||
| - | |||
borsaitaliana.1486395514.txt.gz · Last modified: 2017/02/06 10:38 by maya