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sgx [2017/01/30 14:32] – [Auction Mechanisms] mayasgx [2023/02/27 12:04] (current) – hammed
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 ====== Singapore Stock Exchange (SGX) ====== ====== Singapore Stock Exchange (SGX) ======
 +
 The Singapore Stock Exchange is the primary exchange in Singapore. The Singapore Stock Exchange is the primary exchange in Singapore.
  
-[[http://www.sgx.com | Homepage]]+[[https://www2.sgx.com/ | Homepage]]
  
-Currency: Singapore Dollar (SGD)\\ +Currency: Singapore Dollar (SGD)
-Time Zone: UTC +08:00+
  
-[[http://www.sgx.com/wps/portal/sgxweb/home/trading/securities/trading_hours_calendar | Trading Hours & Holiday Calendar]] +[[https://www2.sgx.com/securities/trading | Trading Hours]]\\ 
-===== Trading Summary ===== +[[https://www.mom.gov.sg/employment-practices/public-holidays | Holiday Calendar]]
-More information on securities trading at the SGX can be found on the [[http://www.sgx.com/wps/portal/sgxweb/home/trading/securities | Trading & Settlement]] page.+
  
-==== Lit Order Types ==== +==== Order Types ==== 
-  * Limit Buy/Sell/Short (DAY/IOC) + 
-  * Market Buy/Sell/Short (DAY/IOC)+  * Limit Buy/Sell→ShortSell (Day/IOC) 
 +  * Market Buy/Sell→ShortSell (Day/IOC)
  
 ==== Basic Market Rules ==== ==== Basic Market Rules ====
-  * Lot Size: 1000 shares. + 
-  * Tick Size: defined by product type and price. The tick size for equities is listed in the following table. For information on other products, see the [[http://www.sgx.com/wps/portal/sgxweb/home/trading/securities/trading_settlement | Trading & Settlement]] page.+  * Lot Size: 100 shares. 
 +  * Tick Size: defined by product type and price. The tick size for equities is listed in the following table.
  
 ^ Price Range (SGD) ^ Tick Size (SGD) ^ ^ Price Range (SGD) ^ Tick Size (SGD) ^
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 | 10 and above | 0.01 | | 10 and above | 0.01 |
  
-  * Short Sale Rules: short sell orders must be marked appropriately. For more information, see [[http://rulebook.sgx.com/en/display/display_viewall.html?rbid=3271&element_id=6074 | Chapter 8A]] of the Rulebooks.+  * Short Sale Rules: short sell orders must be marked appropriately. For more information, see [[https://rulebook.sgx.com/rulebook/chapter-8a-marking-sell-orders-0| Chapter 8A]] of the Rulebooks. 
 +  * Circuit Breakers: for more information, you can see the [[https://www.sgx.com/securities/trading#Circuit%20Breakers|Trading]] page. 
 ==== Auction Mechanisms ==== ==== Auction Mechanisms ====
-The opening and closing market phases of the Singapore Stock Exchange are described in detail in [[http://rulebook.sgx.com/en/display/display.html?rbid=3271&element_id=1771 | Practice Note 8.2.1]], which can be found under the [[http://rulebook.sgx.com/en/display/display_main.html?rbid=3271&element_id=889 | SGX-ST Rules]] page.+ 
 +The opening and closing market phases of the Singapore Stock Exchange are described in detail in [[https://www.sgx.com/securities/trading | Practice Note 8.2.1]], which can be found under the [[https://rulebook.sgx.com/ | SGX-ST Rules]] page.
  
 === Open === === Open ===
 +
 Orders can be entered from 08:30:00 to 08:59:00 (pre-open), followed by a non-cancellation period from 08:59:00 to 09:00:00, after which order matching will occur and the market will open. Orders can be entered from 08:30:00 to 08:59:00 (pre-open), followed by a non-cancellation period from 08:59:00 to 09:00:00, after which order matching will occur and the market will open.
  
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     * This phase will end randomly at any time from 08:58 to 08:59 hours.     * This phase will end randomly at any time from 08:58 to 08:59 hours.
   * Non-Cancel Phase (08:58 - 59 - 09:00)   * Non-Cancel Phase (08:58 - 59 - 09:00)
-    * This phase will begin immediately after the Pre-Open Phase ends, which may be at any time from 08:58 to 08:59 hours. +    * This phase will begin simultaneously with the end of the Pre-Open Phase, which may be at any time from 08:58 to 08:59 hours. 
-      * No input, amendment, and cancellation of orders.+      * No input, amendment, nor cancellation of orders.
     * Orders that can be matched are matched at a single price computed based on an algorithm set by SGX-ST. The computed price will be the opening price for the day.     * Orders that can be matched are matched at a single price computed based on an algorithm set by SGX-ST. The computed price will be the opening price for the day.
     * Unmatched orders are carried forward into the morning trading session.     * Unmatched orders are carried forward into the morning trading session.
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 Orders that can be matched are matched at a single price computed based on an algorithm set by SGX-ST. The computed price will be the closing price for the day. Orders that can be matched are matched at a single price computed based on an algorithm set by SGX-ST. The computed price will be the closing price for the day.
  
-**Note:** in PPro8, the Flatten button does not work in the closing auction for this market. Instead, orders can be flattened only by manually sending a limit order that is not too aggressive, i.e., set close to the market price.+**Note:** in PPro8, the Flattening button does not work in the closing auction for this market. Instead, orders can be flattened only by manually sending a limit order that is not too aggressive, i.e., set close to the market price.
  
 The methodology for computing the single price is as follows: The methodology for computing the single price is as follows:
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   * d) The tradable volume at any price is the lower of the cumulative bid or offer volume.   * d) The tradable volume at any price is the lower of the cumulative bid or offer volume.
   * e) The price overlap is the range of prices where tradable volumes are possible.   * e) The price overlap is the range of prices where tradable volumes are possible.
-  * f) The equilibrium is the price range within the price overlap where buy pressure changes to sell pressure (see Example 1). The computed price is either one of the following:+  * f) The equilibrium is the price range within the price overlap where buy pressure changes to sell pressure. The computed price is either one of the following:
       * i. The price within the equilibrium that has the largest trade volume, or       * i. The price within the equilibrium that has the largest trade volume, or
       * ii. If there is no unique price, the average of all prices within the equilibrium with the maximum trade volume, or       * ii. If there is no unique price, the average of all prices within the equilibrium with the maximum trade volume, or
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       * iv. If there is no last traded price, the average price is rounded to the next lower price multiple.       * iv. If there is no last traded price, the average price is rounded to the next lower price multiple.
   * g) If there is only buy or sell pressure within the price overlap, or if there is zero buy and sell pressure within the price overlap, or if the buy pressure and sell pressure are separated by a range of prices within the price overlap with zero pressure, the computing mechanism can be found in reference guide below   * g) If there is only buy or sell pressure within the price overlap, or if there is zero buy and sell pressure within the price overlap, or if the buy pressure and sell pressure are separated by a range of prices within the price overlap with zero pressure, the computing mechanism can be found in reference guide below
 +
 +The methodology for computing the single price at which orders at the end of the Opening Routine, Closing Routine, and Adjust Phase are matched (“Equilibrium Price”) is as follows:
 +
 +  * The Equilibrium Price is the price that has the largest tradable volume and the lowest imbalance. “Imbalance” refers to the net difference between the cumulative bid volume and cumulative ask volume.
 +  * If the highest tradable volume occurs at more than one price the Equilibrium Price is the price with the lowest imbalance.
 +  * If the highest tradable volume and lowest imbalance occur at more than one price (“the price overlap”) the Equilibrium Price is determined by market pressure.
 +  * If the highest tradable volume and lowest imbalance occur at more than one price and there is both buy and sell pressure or nil pressure within the price overlap, the Equilibrium Price is:
 +    * the price within the price overlap that is the closest to the last traded price, or
 +    * where there is no last traded price, the lowest price within the price overlap.
 +
 +The Closing Range shall be the last 15 minutes of the Trading Phase, or such other time as may be determined by SGX-ST and notified to the market from time to time.
  
 Unless otherwise specified, SGX-ST may use any of the following as the closing price of a Prescribed Security for a Trading Day: Unless otherwise specified, SGX-ST may use any of the following as the closing price of a Prescribed Security for a Trading Day:
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   * the last traded price that occurred prior to the Closing Range; or   * the last traded price that occurred prior to the Closing Range; or
   * the closing price of the previous Market Day.   * the closing price of the previous Market Day.
- 
-The Closing Range shall be the last 15 minutes of the Trading Phase, or such other time as may be determined by SGX-ST and notified to the market from time to time. 
  
 Where SGX-ST deems it necessary or desirable for ensuring a fair, orderly, and transparent market or the integrity of the market, or for proper management of systemic risk in the market, SGX-ST may use an alternative formula and/or procedure to determine the closing price of a Prescribed Security. Where SGX-ST deems it necessary or desirable for ensuring a fair, orderly, and transparent market or the integrity of the market, or for proper management of systemic risk in the market, SGX-ST may use an alternative formula and/or procedure to determine the closing price of a Prescribed Security.
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 2. **Order Matching** (17:04-05 - 17:06) 2. **Order Matching** (17:04-05 - 17:06)
  
-No order entry, amendment, or cancellation is allowed in this phase. All existing orders are matched at a single price according to the algorithm set by SGX-ST. All unmatched orders following the non-cancel phase at the close of trading will lapse. The computed single price will be the closing price of the day+No order entry, amendment, or cancellation is allowed in this phase. All existing orders are matched at a single price according to the algorithm set by SGX-ST. All unmatched orders following the non-cancel phase at the close of trading will lapse. The computed single price will be the closing price of the day.
  
-**Auction Order Types:** Limit order with TIF set as DAY+**Auction Order Types:** Limit order with TIF set as DAY. 
 + 
 +For more information on the auction mechanisms on the Singapore Stock Exchange, see [[ http://rulebook.sgx.com/en/display/display.html?rbid=3271&element_id=1771 | Practice Note 8.2.1]].
  
-For more information on the auction mechanisms on the Singapore Stock Exchange, see [[ http://rulebook.sgx.com/en/display/en/display/display_main.html?rbid=3271&record_id=9579 | Practice Note 8.2.1]]. 
 ===== See Also ===== ===== See Also =====
   * [[market_guides|Market Guides]]   * [[market_guides|Market Guides]]
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sgx.1485804720.txt.gz · Last modified: 2017/01/30 14:32 by maya