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 |
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 |
|
Pre-order Matching Period |
09:45 – 09:50 |
- Only at-auction orders can be entered. - Short selling is not allowed. Orders cannot be - Reporting of pre-open trades by brokers is |
|
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 - Unmatched at-auction limit orders will be |
|
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 |
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 |
16:08 – 16:10 |
- Only at-auction orders can be entered. - Short selling is not allowed. Orders cannot be |
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 |
|
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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