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thailand [2017/01/30 16:52] – [Auction Mechanisms] mayathailand [2024/03/22 09:55] (current) – [Auction Mechanisms] hammed
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 ====== Stock Exchange of Thailand (SET) ====== ====== Stock Exchange of Thailand (SET) ======
 +
 SET is the primary equities exchange in Thailand. SET is the primary equities exchange in Thailand.
  
-[[http://www.set.or.th/en/index.html | Homepage]]+[[https://www.set.or.th/en/home | Homepage]]
  
-Currency: Thai Bhat (THB)\\ +Currency: Thai Bhat (THB) 
-Time Zone: +07:00+ 
 +[[https://www.set.or.th/set/holiday.do?language=en&country=US | Holiday Calendar]]\\ 
 +[[https://www.set.or.th/en/market/information/trading-procedure/trading-hours | Trading Hours]]
  
-[[http://www.set.or.th/set/holiday.do?language=en&country=US | Holiday Calendar]]\\ 
-[[http://www.set.or.th/en/products/trading/equity/tradingsystem_p2.html | Trading Hours]] 
 ===== Trading Summary ===== ===== Trading Summary =====
 +
 The SET has two principal methods of trading: Automatic Order Matching (AOM) and Put-Through (PT). The SET has two principal methods of trading: Automatic Order Matching (AOM) and Put-Through (PT).
  
-**Automatic Order Matching (AOM)** trading performs the order matching process according to price, then time, priority, without human intervention. After brokerage houses electronically send buy or sell orders from their offices to the SET mainframe computer, the CONNECT system queues the orders and arranges them according to a price-then-time priority. This means orders are first grouped according to price, with the best price taking precedence. Then, within each price group, orders are arranged according to time.+**Automatic Order Matching (AOM)** trading performs the order matching process according to price, then time, priority, without human intervention. After brokerage houses electronically send buy or sell orders from their offices to the SET mainframe computer, the SET CONNECT system queues the orders and arranges them according to a price-then-time priority. This means orders are first grouped according to price, with the best price taking precedence. Then, within each price group, orders are arranged according to time.
  
-In terms of matching, there are two methods: Continuous Order Matching and Auction.+There are two matching methods: Continuous Order Matching and Auction.
  
-**Continuous Order Matching** procedures operate during the regular trading sessions. The CONNECT continuously matches the first buy and sell orders in the queue, and, at the same time, confirms each executed transaction via the member's (broker's) terminal.+**Continuous Order Matching** procedures operate during the regular trading sessions. The SET CONNECT trading system continuously matches the first buy and sell orders in the queue, and, at the same time, confirms each executed transaction via the member's (broker's) terminal.
  
-The **Auction** matching is utilized in calculating the opening and closing prices of a security at the opening and closing of the trading hours. This method allows brokers to enter their orders to be queued for matching at a specified time at a single price that generates the greatest trading volumes for that particular stock.+The **Auction** matching is utilized in calculating the opening and closing prices of a security at the opening and closing of the trading hours. This method allows brokers to enter their bid/ask orders to be queued for matching at a specified time at the price that generates the greatest trading volumes for that particular stock.
  
 In **Put Through (PT) Trading**, when the trading value crosses over 10,000 units, which is equivalent roughly to 10 million Baht, an alternative method provided by TBX called “Put Through” must be selected. The counterparties can negotiate off the exchange. Once the deal is concluded, the seller can initiate the put through transaction, which then needs to be verified by the buyer. Once the confirmation process is completed, the buyer will allow that transaction to go to the next process, clearing and settlement. In **Put Through (PT) Trading**, when the trading value crosses over 10,000 units, which is equivalent roughly to 10 million Baht, an alternative method provided by TBX called “Put Through” must be selected. The counterparties can negotiate off the exchange. Once the deal is concluded, the seller can initiate the put through transaction, which then needs to be verified by the buyer. Once the confirmation process is completed, the buyer will allow that transaction to go to the next process, clearing and settlement.
-==== Lit Order Types ==== 
-  * Limit order 
-  * Market order 
- 
  
 +==== Order Types ====
  
 +  * Limit Buy/Sell→ShortSell
 +  * Market Buy/Sell→ShortSell
  
 ==== Basic Market Rules ==== ==== Basic Market Rules ====
 +
   * Lot Size: minimum lot size is 100 shares for most stocks. For stocks priced THB 500 or more for 6 consecutive months, the minimum lot size is 50 shares.   * Lot Size: minimum lot size is 100 shares for most stocks. For stocks priced THB 500 or more for 6 consecutive months, the minimum lot size is 50 shares.
   * Tick Size: as listed in the following table:    * Tick Size: as listed in the following table: 
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   * Short Sale Rules: only stocks in SET50 Index are allowed to be sold short. Uptick rules apply. "Covered" short sale confirmation required.   * Short Sale Rules: only stocks in SET50 Index are allowed to be sold short. Uptick rules apply. "Covered" short sale confirmation required.
   * Circuit Breakers: if the index falls by 10% from the previous day's close, trading is suspended for 30 minutes. If the index falls by 20% from the previous day's close, trading is suspended for 60 minutes.   * Circuit Breakers: if the index falls by 10% from the previous day's close, trading is suspended for 30 minutes. If the index falls by 20% from the previous day's close, trading is suspended for 60 minutes.
-  * For more information, see the [[http://www.set.or.th/set/notification.do?idLv1=3&idLv2=25&language=en&country=US|Rules Book]].+  * For more information, see the [[https://www.set.or.th/en/rules-regulations/main|Rule Book]]. 
 ==== Auction Mechanisms ==== ==== Auction Mechanisms ====
  
 === Open === === Open ===
  
-The opening auction is randomized to occur between 9:55 and 10:00 for calculating the opening price for the morning trading session. The opening for the afternoon session is also randomized to occur between 14:25 and 14:30 for calculating the opening price for the afternoon trading session.+The opening auction is randomized to occur between 9:55 and 10:00 for calculating the opening price for the morning trading session. The opening for the afternoon session is also randomized to occur between 13:55 and 14:00 for calculating the opening price for the afternoon trading session.
  
-Time to Submit LOO - 9:30 - 9:55 (14:30 for afternoon session) +Time to Submit LOO - 9:30 - 9:55 (14:00 for afternoon session) 
  
 === Close === === Close ===
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 The SET's trading systems randomly select the closing time between 16:35 - 16:40. Therefore, members will have an extra period from 16:30 to the random closing time to place additional orders that will not be matched or executed until the random closing time. At the random closing time, the SET calculates the closing price by the Auction method, which is the same method for determining the opening price in the pre-open session. From all the valid orders in the system, the closing price will be determined from: The SET's trading systems randomly select the closing time between 16:35 - 16:40. Therefore, members will have an extra period from 16:30 to the random closing time to place additional orders that will not be matched or executed until the random closing time. At the random closing time, the SET calculates the closing price by the Auction method, which is the same method for determining the opening price in the pre-open session. From all the valid orders in the system, the closing price will be determined from:
  
-- The price that generates the greatest executable volume. +1. The price that generates the greatest executable volume. 
    
-- If there is more than one such price at which there is maximum executable volume, the price with minimum unexecuted volume (“minimum imbalance” or “minimum order surplus”) will be chosen.+2. If there is more than one such price at which there is maximum executable volume, the price with minimum unexecuted volume (“minimum imbalance” or “minimum order surplus”) will be chosen.
    
-- If there is more than one price in 2., the market pressure on the side of the book with the minimum imbalance decides the execution price.+3. If there is more than one price in 2., the market pressure on the side of the book with the minimum imbalance decides the execution price.
   * If all the imbalances are on the buy side, there is a greater demand to buy the security and prices are likely to go up. The higher of the possible limit prices is therefore used as the auction price.   * If all the imbalances are on the buy side, there is a greater demand to buy the security and prices are likely to go up. The higher of the possible limit prices is therefore used as the auction price.
   * If all the imbalances are on the sell side, there is a greater demand to sell the security and prices are likely to go down. The lower of the possible limit prices is therefore used as the auction price.   * If all the imbalances are on the sell side, there is a greater demand to sell the security and prices are likely to go down. The lower of the possible limit prices is therefore used as the auction price.
-  * If the imbalances are on both buy and sell side, select the two prices nearest to the price level where the imbalance changes sign. Among those two prices, the one that closest to the reference price** are used as the auction price. +  * If the imbalances are on both buy and sell side, select the two prices nearest to the price level where the imbalance changes sign. Among those two prices, the one that is closest to the reference price is used as the auction price. 
-  * For each price level, if aggregated buy volume and aggregated sell volume are equal (no imbalance), the potential auction price that is closest to the reference price** (usually the last traded price) will be chosen.+  * For each price level, if aggregated buy volume and aggregated sell volume are equal (no imbalance), the potential auction price that is closest to the reference price (usually the last traded price) will be chosen.
  
 The reference price will always equal the last traded price. If the stock has never traded before, the reference price is an IPO price. If there is no reference price, the highest potential auction price will be chosen. The reference price will always equal the last traded price. If the stock has never traded before, the reference price is an IPO price. If there is no reference price, the highest potential auction price will be chosen.
  
-**Note:** Since ATO and ATC orders contain first-matching priority over limit price order, the system will determine the price of ATO and ATC orders as follows: +**Note:** because At-the-Open and At-the-Close orders contain first-matching priority over limit price order, the system will determine the price of ATO and ATC orders as follows: 
-  * For a bid order, the price of the order is the higher of highest bid price plus one tick and highest offer price in the orderbook +  * For a bid order, the price of the order is the higher of highest bid price plus one tick and highest offer price in the order book 
-  * For an offer order, the price of the order is the lower of the lowest offer price minus one tick and the lowest bid price in the orderbook+  * For an offer order, the price of the order is the lower of the lowest offer price minus one tick and the lowest bid price in the order book
  
 **Auction Periods** **Auction Periods**
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 1. **Morning Trading Session** (09:55:00 - 10:00 - 12:30) 1. **Morning Trading Session** (09:55:00 - 10:00 - 12:30)
   * Regular matching rules   * Regular matching rules
-2. **Afternoon Trading Session** (14:25:00 - 14:30:00 - 16:30)+2. **Afternoon Trading Session** (13:55:00 - 14:00:00 - 16:30)
   * Regular matching rules   * Regular matching rules
 3. **Pre-Close** (16:30 - 16:35:00 - 16:40:00) 3. **Pre-Close** (16:30 - 16:35:00 - 16:40:00)
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 **Order Types:** Limit and Market DAY orders may be used to participate in the closing auction. **Order Types:** Limit and Market DAY orders may be used to participate in the closing auction.
  
-For more information, see the [[http://www.set.or.th/tch/en/equity/services.html | Clearing and Settlement System]], [[http://www.set.or.th/en/products/trading/equity/tradingsystem_p2.html | Trading Hours]], and  +For more information, see the [[http://www.set.or.th/tch/en/equity/services.html | Clearing and Settlement System]], and,[[https://www.set.or.th/en/market/information/trading-procedure/trading-hours | Trading Hours]] pages. 
-[[http://www.set.or.th/en/products/trading/equity/tradingsystem_p7.html | Off-Hours Trading]] pages.+
 ===== Additional Info ===== ===== Additional Info =====
  
 ==== Financial News ==== ==== Financial News ====
   * [[http://www.bangkokpost.com/business/news | Bangkok Post Business News]]   * [[http://www.bangkokpost.com/business/news | Bangkok Post Business News]]
-  * [[http://www.bangkokpost.com/business/finance | Bangkok Post Finance]] 
   * [[http://www.thailand-business-news.com/ | Thailand Business News]]   * [[http://www.thailand-business-news.com/ | Thailand Business News]]
  
 ==== Market Data ==== ==== Market Data ====
-  * [[http://www.set.or.th/set/commonslookup.do?language=en&country=US | ASX Market Data]]+  * [[http://www.set.or.th/set/commonslookup.do?language=en&country=US | SET Market Data]]
  
 ===== See Also ===== ===== See Also =====
   * [[market_guides|Market Guides]]   * [[market_guides|Market Guides]]
- 
thailand.1485813125.txt.gz · Last modified: 2017/01/30 16:52 by maya