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| lse [2017/02/07 10:49] – [Auction Mechanisms] maya | lse [2023/02/27 11:58] (current) – [Basic Market Rules] hammed | ||
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| ====== London Stock Exchange (LSE) ====== | ====== London Stock Exchange (LSE) ====== | ||
| + | |||
| The primary equity market in the United Kingdom and a member of the London Stock Exchange Group which also includes Borsa Italiana. | The primary equity market in the United Kingdom and a member of the London Stock Exchange Group which also includes Borsa Italiana. | ||
| [[http:// | [[http:// | ||
| | | ||
| - | Currency: British Pence (GBx)\\ | + | Currency: British Pence (GBX) |
| - | Time Zone: UTC 00:00 | + | |
| - | [[http:// | + | * [[http:// |
| - | [[http:// | + | |
| - | ==== Lit Order Types ==== | + | ==== Order Types ==== |
| - | * Limit Buy/Sell (Day/IOC) | + | |
| - | * Market Buy/Sell (Day) | + | |
| - | ==== Available ATS ==== | + | |
| - | * [[batseurope|BATS Europe]] | + | * Market Buy/ |
| - | | + | |
| - | * [[turquoise|Turquoise]] | + | |
| ==== Basic Market Rules ==== | ==== Basic Market Rules ==== | ||
| Line 23: | Line 19: | ||
| * Tick Size: for more information, | * Tick Size: for more information, | ||
| * Short Sale Rules: naked short selling is prohibited. For more information, | * Short Sale Rules: naked short selling is prohibited. For more information, | ||
| - | * Circuit Breakers: an auction will be triggered when the price of a potential execution is more than a defined percentage above or below the applicable reference price(s). For more information, | + | * Circuit Breakers: an auction will be triggered when the price of a potential execution is more than a defined percentage above or below the applicable reference price(s). For more information, |
| * Minimum Order Size for ASM6 Sector Symbols: symbols in the ASM6 sector of LSE have a minimum order size equal to 40% of Nominal Market Size (i.e., the size that is quoted by the market maker). | * Minimum Order Size for ASM6 Sector Symbols: symbols in the ASM6 sector of LSE have a minimum order size equal to 40% of Nominal Market Size (i.e., the size that is quoted by the market maker). | ||
| * Market Maker System on Some Equity Segments: the following market segments involve a market maker (not fully electronic). Orders submitted for symbols trading on these segments may behave differently and may cause delays in order acknowledgement and execution compared to fully electronic segments: | * Market Maker System on Some Equity Segments: the following market segments involve a market maker (not fully electronic). Orders submitted for symbols trading on these segments may behave differently and may cause delays in order acknowledgement and execution compared to fully electronic segments: | ||
| * AIM/ | * AIM/ | ||
| + | * **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/ | ||
| ==== Minimum Quantity at Touch ==== | ==== Minimum Quantity at Touch ==== | ||
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| * All auction orders, aggressive orders, and passive orders that are priced at touch or less competitively will continue to be accepted | * All auction orders, aggressive orders, and passive orders that are priced at touch or less competitively will continue to be accepted | ||
| * Incoming passive orders less than 40% EMS that would otherwise create a new BBO will be rejected on entry | * Incoming passive orders less than 40% EMS that would otherwise create a new BBO will be rejected on entry | ||
| + | |||
| ==== Auction Mechanisms ==== | ==== Auction Mechanisms ==== | ||
| - | The LSE auction mechanism is the same for price monitoring auction (circuit breakers), | + | |
| + | The LSE auction mechanism is the same for price monitoring auction (circuit breakers), | ||
| === Open === | === Open === | ||
| - | The opening auction occurs at 08:00 and is preceded by a 10-minute order entry phase from 07: | + | |
| + | The opening auction occurs at 08:00 and is preceded by a 10-minute order entry phase at 07:50 - 08:00. During | ||
| === Close === | === Close === | ||
| - | The closing price defined by following closing auction mechanism: | + | The closing price is defined by following |
| - | **Auction** means an auction conducted in a trading platform | + | **Auction** means an auction conducted in a trading platform |
| The execution price for an auction will be the price that: | The execution price for an auction will be the price that: | ||
| * Maximizes the executable volume | * Maximizes the executable volume | ||
| * If more than one execution price would result in the same executable volume, the price that minimizes the surplus volume will be chosen | * If more than one execution price would result in the same executable volume, the price that minimizes the surplus volume will be chosen | ||
| - | * If more than one execution price would result in the same surplus volume at the execution price , the price that reflects the balance of pressure on the order book is chosen | + | * If more than one execution price would result in the same surplus volume at the execution price, the price that reflects the balance of pressure on the order book is chosen |
| - | * If the balance of pressure on the order book is even, the auction price will be equivalent to the reference price (last traded price on the central book). | + | * If the balance of pressure on the order book is even, the auction price will be equivalent to the reference price (last traded price on the central book) |
| * If there is no reference price, the lowest price will be chosen | * If there is no reference price, the lowest price will be chosen | ||
| **Auction Periods** | **Auction Periods** | ||
| - | 1. **Continuous Trading** (08:00 - 12:00) | + | 1. **Continuous Trading** (08:00 - 16:30) |
| - | * Closing orders may be entered with ATC or GTA validity tags which will remain dormant until the closing auction call | + | * Closing orders may be entered with ATC or GTA validity tags, which will remain dormant until the closing auction call |
| * No closing orders will be matched | * No closing orders will be matched | ||
| - | * Orders may be entered, amended | + | * Orders may be entered, amended, and cancelled |
| - | 2. **Intraday Auction** (12:00:01 - 12:05) | ||
| - | * Orders may be entered, amended & cancelled | ||
| - | * Orders will not be matched | ||
| - | |||
| - | 3. **Continuous Trading** (12:05:01 - 16:30) | ||
| - | * Closing orders may be entered with ATC or GTA validity tags which will remain dormant until the closing auction call | ||
| - | * No closing orders will be matched | ||
| - | * Orders may be entered, amended & cancelled | ||
| - | 4.** Closing Auction Call** (16:30:01 - 16:35) | + | 2.** Closing Auction Call** (16:30:01 - 16:34:30) |
| - | * Orders may be entered, amended | + | * Orders may be entered, amended, and cancelled |
| * Orders will not be matched | * Orders will not be matched | ||
| - | 5. **Closing Price Crossing Session** (16:35:01 - 16:40:00) | + | 3. **Closing Price Crossing Session** (16:34:31 - 16:40:00) |
| * Orders will be matched | * Orders will be matched | ||
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| For more information on LSE auction mechanisms, see the [[http:// | For more information on LSE auction mechanisms, see the [[http:// | ||
| - | ===== Additional Info ===== | ||
| ===== See Also ===== | ===== See Also ===== | ||
| * [[market_guides|Market Guides]] | * [[market_guides|Market Guides]] | ||
| - | ===== References ===== | ||
lse.1486482567.txt.gz · Last modified: 2017/02/07 10:49 by maya