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Table of Contents
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.
Currency: British Pence (GBx)
Time Zone: UTC 00:00
Lit Order Types
- Limit Buy/Sell (Day/IOC)
- Market Buy/Sell (Day)
Available ATS
Basic Market Rules
- Lot Size: 100 shares.
- Tick Size: for more information, see the Price Format Schedules of the Millennium Exchange Business Parameters document on the Technical Specifications page.
- Short Sale Rules: naked short selling is prohibited. For more information, see the Short Selling page.
- 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, see the Guide to Trading System page.
- 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:
- AIM/AIMI/ASQ1/ASQ2/ASQN/ASX1/ASX2/ASXN/SFM2/SFM3/SFM4/SSQ3/SSQ4/SSX3/SSX4
Minimum Quantity at Touch
Recently, LSE has introduced a new MQAT (Minimum Quantity at Touch) functionality operating on a number of the non-FTSE350 sectors for equity securities on SETS. MQAT is only applied on entry and not to orders that are already present on the order book. It does not apply during any auction phases.
- During regular trading, any passive order must be at least 40% of the security's ruling EMS (market maker obligation size) in order to set a revised Best Bid or Offer (BBO)
- 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
Auction Mechanisms
The LSE auction mechanism is the same for price monitoring auction (circuit breakers), open and closing auctions. The details of how the mechanism works can be found in section 7.2 of the document found here.
Open
The opening auction occurs at 08:00 and is preceded by a 10-minute order entry phase from 07:50-08:00. During this order entry phase orders can be entered but will not be matched.
Close
The closing price defined by following closing 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:
The execution price for an auction will be the price that:
- 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 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 there is no reference price, the lowest price will be chosen
Auction Periods
1. Continuous Trading (08:00 - 12:00)
- 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
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)
- Orders may be entered, amended & cancelled
- Orders will not be matched
5. Closing Price Crossing Session (16:35:01 - 16:40:00)
- Orders will be matched
Order Types: Market & Limit orders will be eligible to participate in the closing auction
For more information on the auction mechanisms on the London Stock Exchange, please see here & trading parameters downloadable here, After Market Trading