Asia Stock Exchanges[z]

Asia Stock Exchanges

July 7, 2009

This article is to summarise the trading rules of some Asia stock
exchanges. Those rules are very important to know if we need to develop
any trading system against those exchanges.

1. Hong Kong Stock Exchange

1.1 Order Type

Order types trading in security market are:

Order Type	Description	Allowed in Session
At-auction order	Order will be matched at Indicative Equilibrium Price (“IEP”). Unfilled quantity of market order will be cancelled after market open Exchange will accept At-auction order when there is no IEP available. However, the order can not be traded if there is not IEP at matching time.	Open auction and close auction
At-auction Limit order	Order will be matched to price or IEP, whichever is better. Unfilled quantity of order will be carried over to continuous trading session.	Open auction and close auction
Limit order	Order will be only matched exactly at the order price.	Continuous trading
Enhanced Limit Order(ELO)	Order price can be matched up to 5 price spread. Unfilled quantity will remain in the market and become limit order in the market.	Continuous trading
Special Limit Order(SLP)	Order price can be matched up to 5 price spread. Unfilled quantity will be cancelled from market.	Continuous trading

1.2 Sessions

The trading sessions for the main board are:

Sessions	Time	Notes
Order Input	09:30 – 09: 45	-        At-auction orders and at-auction limit orders can be entered, modified and cancelled. -        Short selling is not allowed. -        Reporting of pre-open trades by brokers is allowed.
Pre-order Matching Period	09:45 – 09:50	-        Only at-auction orders can be entered. -        Short selling is not allowed. Orders cannot be modified and cancelled. -        Reporting of pre-open trades by brokers is allowed.
Order Matching Period	09:50 – 09:58	-        Orders will be matched in order type, price and time priority at the final IEP. -        Unmatched at-auction orders will be cancelled after order matching. -        Unmatched at-auction limit orders will be converted into limit orders and carried forward to the Morning Trading Session provided that the specified price of an at-auction limit order does not deviate 9 times or more from the nominal price.
Blocking Period	09:58 – 10:00	-        This is a break between the Pre-opening Session and the Morning Trading Session
Morning Session	10:00 – 12:30	-        Orders are continuously entered and matched
Lunch break	12:30 – 14:00	-        Orders in market are not allowed to be entered, amended and cancelled.
Pre-afternoon Session	14:00 – 14:30	-        Orders are allowed to be cancelled only
Afternoon Session	14:30 – 16:00	-        Orders are continuously entered and matched
Pre-close Order Input (currently suspended)	16:00 – 16:08	-        At-auction orders and at-auction limit orders can be entered, modified and cancelled. -        Short selling is not allowed.
Pre-close Matching (currently suspended)	16:08 – 16:10	-        Only at-auction orders can be entered. -        Short selling is not allowed. Orders cannot be modified and cancelled.

1.3 Lot Size

HKEX trade stocks in lots. The lot size is
stock specific which would require a database to store those
information for each stock.

1.4 Maximum order size

HKEX allows up to order size of 3000 lots.

1.5 Price Tick Table

From $	To $	Tick
0.01	0.25	0.001
0.25	0.50	0.005
0.50	10.00	0.010
10.00	20.00	0.020
20.00	100.00	0.050
100.00	200.00	0.100
200.00	500.00	0.200
500.00	1000.00	0.500
1000.00	2000.00	1.000
2000.00	5000.00	2.000
5000.00	9995.00	5.000

1.6 Price volatility limit

HKEX has imposed a price
validation on the order entered into the market. Subject to sessions
and existing orders in market, any order with price of over 24-spread
of last price or nominal price will be rejected.

2. Australia
Stock Exchange

2.1
Order Types

Order Type	Description	Allowed in Session
Limit(LMT)	Order will be traded at the limit price or better	Continuous trading session and auction
Market	Order will be traded at the best available price in the market.	Continuous trading
Market to Limit (MTL)	Order will be priced as the best bid(sell) or best ask(buy) once entered into market	Continuous trading and auction
Best (BST)	Order will be priced as the best bid(buy) or best ask(sell) once entered into market	Continuous trading and auction

 

2.2 Time
Validity

Time validity is the order attribute controls the life of an order in
market. ASX supports the following time validity:

Time Validity	Description
Day order	Order will stay in market until the end of day unless get fully traded
Good Till Cancel(GTC)	Order will stay in market until the date or number of days user specifies, unless get fully traded
Fill and Kill(FAK)	Order will get traded as much as the order condition and market price/liquidity allow, the rest will be cancelled immediately from market.
Fill or Kill(FoK)	Order will get traded FULLY or cancelled from market immediately.

2.3 Sessions

Sessions	Time	Notes
Pre-Open	07:00 – 10:00	Allows: -        Order entry -        Order Amendment -        Order Cancellation -        Order activation -        Order inactivation -        Trade Reporting -        Trade Cancellation
Open	10:00 – 10:10	Stocks in alphabetic  groups are matched and opened for continuous trading as below: Markets 1 AB – 10:00:00 Markets 2 CF – 10:02:15 Markets 3 GM – 10:04:30 Markets 4 NR – 10:06:45 Markets 5 SZ – 10:09:00
Continuous Trading	10:00 – 16:00	Allows: -        Order entry -        Order Amendment -        Order Cancellation -        Order activation -        Order inactivation -        Trade Reporting -        Trade Cancellation
Pre-Close(Pre CSPA)	16:00 – 16:10	Same as pre-open
Close(CSPA)	16:10 – 16:12	Close auction is conducted at the commencement of this session. Outstanding orders are carried forward to next session

2.4
Lot Size

ASX trades at no lot size limit.

2.5 Maximum Order Size

999,000,000

2.6 Price ticks

The price step is defined by products and price ranges, The details can
be found in

http://www.asx.com.au/supervision/rules_guidance/asxl/asx_market_rule_procedures.pdf

2.7 Short Sell Rules

-    Short sell order price can not be lower
than previous close price during pre-open

-    Short sell order price can not be lower
than last trade price during continuous trading

-    Short sell order price can not be lower
than best ask during pre-close

-    No more than 10% of the securities on
issue may be short sold.

3. Taiwan Stock Exchange

3.1 Order Types

Order Type	Description	Allowed in Session
Limit(LMT)	Order will be traded at the limit price or better	Continuous trading session and pre-open
Market	Exchange doesn’t support this native

3.2 Sessions

Sessions	Time	Notes
Pre-Open	08:30 – 09:00	Allows: -        Order entry -        Order Amendment -        Order Cancellation
Open Auction	9:00	Orders are matched
Continuous Trading	9:00 – 13:25	Allows: -        Order entry -        Order Amendment -        Order Cancellation
Pre-close	13:25 – 13:30	Allows: -        Order entry -        Order Amendment -        Order Cancellation -        No matching
Off-hour Trading	14:00 – 14:30
Odd-lot Trading	13:40 – 14:30
Block Trading	09:30 – 09:40 11:30 – 11:40 13:35 – 13:50

3.3 Lot Size

Lot size for most of stocks are 1000.

3.4 Maximum Order Size

499 Lots

3.5 Price Tick Table

From	To	Tick
0	10	0.01
10	50	0.05
50	100	0.10
100	500	0.50
500	1000	1.00
1000	-	5.00

3.6 Volatility Control

Exchange will only allow a stock
price to fluctuate +/- 7% of previous close, which means any order
price is out of 7% of previous close range will be rejected.

In
order to control volatility, additional checks are in place. When the
exchange system detects that the potential execution price of a
specific stock is likely to fall out of a specified range (+/-3.5%) of
the last traded price, matching for that stock is postponed for two to
three minutes. Market participants are informed of this situation and
may modify their existing orders or enter new orders to cope with the
order imbalance of that security. However, this information is not
visible to our traders in any of the ETT application stack.

However,
volatility interruption is not applicable during the opening session
and the last 10 minutes of regular trading hours (i.e. 1:20 p.m. to
1:30 p.m.). Those stocks whose reference price for the opening call
auction is below 1 NT$ or whose matching is restricted to every 5 or 10
minutes are not subject to intra-day volatility interruption.

4. Korea Stock Exchange

Korea
stock exchange(KRX) was created through integration of three exchanges,
two of which allow stock trading – KOSDAQ(Korea Securities Dealer
Automated Quotations) and KSE(Korea Stock Exchange)

4.1 Order Types

Order Type	Description	Allowed in Session
Limit(LMT)	Order will be traded at the limit price or better	All sessions
Market	Order will be traded at the market price	All sessions
Limit-to-Market	The order is places in the market as limit order, but any outstanding unfilled portion of the order at 14:50 us converted into a market order for the closing auction	All sessions
Immediately Executable Limit Order	The order is sent down to exchange without a limit price specified, but at the time it hits exchange it takes the best price from opposite side. Any unexecuted portion of the order sits in exchange at that price.	All sessions
Best Limit Order	The order price is set to the best bid(for buy order) and the best ask(for sell order) upon hitting the market	All sessions

4.2 Time Validity

Time Validity	Description
Fill or Kill(FoK)	Order will get traded FULLY or cancelled from market immediately.
Immediate or Cancel(IOC)	Order will get traded as much as it can upon hitting the market, left quantity will be cancelled from market.

4.3 Sessions

Sessions	Time	Notes
Pre-hour session	07:30 – 08:30	Allows: -        Order entry -        Order Amendment -        Order Cancellation At previous close price only. Orders get matched continuously since buy/sell is the same price
Pre-Open	08:00 – 09:00	Allows: -        Order entry -        Order Amendment -        Order Cancellation No order matching
Open Auction	9:00	Orders are matched
Continuous Trading	9:00 – 14:50	Allows: -        Order entry -        Order Amendment -        Order Cancellation
Pre-Close	14:50 – 15:00	Allows: -        Order entry -        Order Amendment -        Order Cancellation No order matching
Close Auction	15:00	Orders are matched

4.4 Lot Size

Exchange	Previous Close	Lot Size
KOSDAQ	Any	1
KSE	< KRW 50,000	10
	>= KRW 50,000	1

In addition, some changes to lot size were made for KSE effective from
11 Feb 2008. And according to the new rule

“The Korea Exchange (KRX) has announced that where certain stocks in
the Stock Market division (KSE) see a sudden surge in

quotations,
they will amend the standard trading unit from the usual 10 shares to
100 shares. The stock will be designated by the Korea Exchange, which
will advise investors two to three days in advance of the change taking
effect”

4.5 Maximum Order Size

10 Billion WON is the maximum value per order

4.6 Price Tick Table

Price Range	KOSDAQ	KSEE	ETF
< KRW 5,000	KRW 5	KRW 5	KRW 5
KRW 5,000<= Price < KRW 10,000	KRW 10	KRW 10	KRW 5
KRW 10,000<= Price < KRW 50,000	KRW 50	KRW 50	KRW 5
KRW 50,000<= Price < KRW 100,000	KRW 100	KRW 100	KRW 5
KRW 100,000<= Price < KRW 500,000	KRW 100	KRW 500	KRW 5
KRW 50,0000<= Price	KRW 100	KRW 1000	KRW 5

5. Singapore Stock Exchange

Singapore Exchange Limited
(SGX) is Asia-Pacific’s first demutualised and integrated securities
and derivatives exchange. The focus of this section is Singapore cash
stock exchange SGX-ST.

5.1 Order Types

The only order type allowed by SGX-ST is limit.

Order condition FOK is also supported at SGX-ST (IOC is not natively
supported)

5.2 Sessions

Sessions	Time	Notes
Pre-Open	08:30 – 08:59	-        Order Entry -        Order Amendment -        Order Cancellation -        No trades
Open auction	08:59 – 09:00	Matching auction orders
Morning Session	09:00 – 12:30	-        Order Entry -        Order Amendment -        Order Cancellation
Adjust	12:30 – 13:59	-        Order Entry -        Order Amendment -        Order Cancellation -        No trades
Block	13:59 – 14:00	Trading activity is frozen
Afternoon Session	14:00 – 17:00	-        Order Entry -        Order Amendment -        Order Cancellation
Pre-Close	17:00 – 17:05	-        Order Entry -        Order Amendment -        Order Cancellation -        No order matching
Close Auction	17:05 – 17:06	Matching auction orders

5.3 Lot Size

Lot sizes for stocks are mostly 1000.

5.4 Price Tick Table

SGX allows stocks to be traded with different currencies.

Denomination Currency	Price Range	Minimum Bids	Forced Bids
S$	Price < $1	$0.005	+/- 10
	$1 <= Price < $10	$0.010
	Price >=$10	$0.020
HK$	Price < $0.25	$0.001	+/- 10
	$0.25 <= Price < $0.50	$0.005
	$0.50 <= Price < $10.00	$0.010
	$10.00 <= Price < $20.00	$0.020
	$20.00 <= Price < $100.00	$0.050
	$100.00 <= Price < $200.00	$0.100
	$200.00 <= Price < $500.00	$0.200
JPY ¥	Price < ¥2,000	¥1	+/- 10
	¥2,000 <= Price <¥3,000	¥5
	¥3,000 <= Price <¥30,000	¥10
	¥30,000 <= Price < ¥50,000	¥50
	¥50,000 <= Price < ¥100,000	¥100
	Price >= ¥100,000	¥1,000

5.5 Maximu Order Size

999,999,999

5.6 Short Sell

Short sell is not allowed in SGX.

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