The continuous auctions procedure shall be used for trading in structured products.
Trading takes place through the entire day and starts with the pre-trading phase followed by the main trading phase and ends with the post-trading phase.
During the pre-call phase all market participants may enter, modify or delete orders. Furthermore, exchange members acting as liquidity providers may enter or delete quotes.
The start of the main trading phase is triggered at the end of the pre-trading phase. Orders are matched in auctions. An auction consists of the pre-call phase, an optional call phase and price determination phase.
During the pre-call and call phase all market participants may enter, modify or delete orders. Furthermore, exchange members acting as liquidity providers may enter or delete quotes.
The start of the post-trading phase is triggered after the end of the main trading phase. If an auction is still running at this time, it will be ended regularly (after the scheduled period for the call-phase ends) and post-trading in concerned security might start only after the maximum period for the call-phase ends.
The end of the main trading phase is followed by a post-trading phase in which traders, except market makers, may enter orders and change or delete their own orders that have not been executed. Newly entered orders will be traded in the appropriate trading procedures on the next trading day, subject to any execution or validity restrictions that may apply.
Trading in Continuous Auction
An auction consists of the pre-call phase, an optional call phase and price determination phase. The optional call phase serves to avoid partial execution and supports the processing of stop orders.
The number of auctions during the main trading phase and the time periods between the individual auctions and the duration of the pre-call phase is determined primarily by the issuer. This is influenced by the quality of the quotes (quote volumes and spreads) as well as his/her response times during the call phase. Moreover, further factors of influence are the defined maximum duration of the call phase and order book liquidity.
Auction price determination
Price determination takes into account all quotes and all orders that are in the order book at the time of price determination.
The auction price is the price at which the highest order volume can be executed and the lowest surplus per limit in the order book is given within the price spread defined by the quote (including bid and ask limit of the quote). The price/time priority ensures that a maximum of one order is executed partially.
If the order book situation is unclear, i.e., there is more than one limit with the same executable volume, further criteria are applied to determine the auction price. After price determination, the remaining quote is not deleted.