Bt1b Presentation Aug-oct2007

BURSA TRADE SECURITIES

Presentation to Dealers’ Representatives August – October 2007

Objective of the Slides Note :

•

Please print out a copy of the slides as reference material when you attend the Bursa Trade Securities briefing.

•

A webcast of the presentation will be posted on Bursa Malaysia’s website in September 2007

http://www.bursamalaysia.com/website/bm/trading/ bursa_trade.html

1

Bursa Trade Securities Presentation

Table of Contents Overview BT Securities – Trading Features BT Securities - Other Features WinScore Screens Subsequent Release – Other Features Appendix

2

Bursa Trade Securities Presentation

Overview Trends observed: increased growth and competition for domestic liquidity; and increased growth and competition for global liquidity

FLEXIBILITY – Easy access to multiple products across multiple markets SPEED – Faster execution CONTROL – Control over trading strategies

WHAT INTERMEDIARIES ARE DOING?

WHAT EXCHANGES ARE DOING?

GLOBAL ACCESS - Market & Products HIGH FLEXIBILITY & CONNECTIVITY (IT) - International Standard Protocol (FIX/MMTP) - Order Mgmt System - Risk Mgmt System

TRADING PLATFORM DEREGULATION

WHAT INVESTORS WANT?

MARKET ACCESS

PRODUCTS

COST EFFICIENCY

TOWARDS OPEN ARCHITECHTURE VIA INT’L STANDARD PROTOCOL 3

Bursa Trade Securities Presentation

Overview Malaysia Towards:“ A Developed Exchange” supports a high velocity market; facilitates a fairer & more orderly market; enables open-access; and is on par with the performance & capabilities of leading exchanges in the developed markets.

NEW TRADING PLATFORM BURSA TRADE (BT)

BT Derivatives – Live Nov ‘06

BT Securities – Target 4Q ‘07

4

Bursa Trade Securities Presentation

Overview - Benefits of BT Securities BT Securities

SPEED & CAPACITY

200 orders/second

1,300 orders/second

10 second matching

Real-time matching

Turn-around time < 3 seconds

Turn-around time < 2 seconds

FEATURES

Pre-opening price not transparent

Transparent pre-opening price

3 best price limits

5 best price limits

No trading-at-last phase

Trading-at-last capability

Closing price = Last done price

Natural closing price

FLEXIBILITY

As Is

Market order & Limit order only

More order types

Fixed Static Threshold

Static & Dynamic Threshold

Hard-coded

Scalable & Parameterized

No Open API

Open API – DMA ready 5

Bursa Trade Securities Presentation

Overview - Project Plan Bursa will be in constant communication with various stakeholders : June 07

July 07

Aug 07

Sept 07

System Integration & IUAT

Briefings /Engagements Oct 07

Collaterals

Ready

EUAT EUAT Start

Dec 07

Nov 07

Target Launch End ‘07

EUAT sign-off

Securities Commission Participating Organisations Information Vendors Dealer Representatives / Remisiers Media

Webcast

FAQ FAQ June 07

July 07

Aug 07

Sept 07

6

Oct 07

Investors

Nov 07

Bursa Trade Securities Presentation

Dec 07

Overview – BT Architecture BT Securities

AS IS

SCORE (OMT) SCORE (DBT)

NSC

TRADING

TCS

SIS

SURVEILLANCE

ARAMIS

MASA

MARKET DATA

DIFF

Owned & Managed by Bursa

Owned by AEMS Managed by Bursa

7

Bursa Trade Securities Presentation

BT Securities: Trading Features

8

Bursa Trade Securities Presentation

Market Segments No changes in current market segments for Securities ‰ ‰ ‰ ‰ ‰

Normal Market Odd-Lot Market Buying in Normal Market Buying in Odd Lot Market Direct Business Transaction

9

Bursa Trade Securities Presentation

Trading Phases - Summary

Afternoon Session

Morning Session

8.30am 9.00am

Trading At Last

9.00am 12.15pm 12.20pm 12.20pm

to 12.30pm

LUNCH

Pre Opening Continuous Pre Closing Opening Trading Closing

10

Pre Opening Continuous Pre Closing Trading Opening Trading Closing At Last 2.00pm

2.30pm

2.30pm

4.45pm

4.50pm 4.50pm

to 5.00pm

Bursa Trade Securities Presentation

Pre-Opening Phase BENEFITS OF TOP DURING PRE OPENING • Orders can be entered, modified and deleted. • No matching of orders & quotes. • Theoretical opening price (TOP) of each instrument is dynamically calculated. • Information is broadcast to market based on orders & quotes in order book

Pre - Opening Continuous Pre - Closing Opening Opening Trading Closing

• Allows market to understand demand & supply conditions. • Allows market to find natural price level as opposed to last trading session’s price as a reference to start trading. • Allows investor to gauge market and price to be traded at opening. • Useful for IPOs

Trading Lunch Pre - Opening At Last Opening

11

Continuous Pre - Closing Trading Closing

Bursa Trade Securities Presentation

Trading At Last

Pre Opening Phase Current Securities Model

Proposed New Model

Order Entry & Maintenance





Order Matching

X

X

Theoretical Opening Price

X



Pre - Opening Continuous Pre - Closing Opening Trading Closing

Trading Lunch Pre - Opening At Last Opening

12

Timing 0830-0900 1400-1430

Continuous Pre - Closing Trading Closing

Bursa Trade Securities Presentation

Trading At Last

Matching Matching Mechanism: Mechanism: TOP/TCP TOP/TCP Algorithm Algorithm Current Securities Model

 X

Theoretical Pricing Algorithm for Pre Opening and Pre Closing:

Proposed New Model

1.

The theoretical opening price (TOP) is the price that maximizes the number of shares traded.



2.

If there are more than 1 prices based on Rule 1*, the TOP will be based on the one with minimize the number of unfilled shares.



X

3(i) If there are still more than 1 prices based on Rule 2* and the imbalance of unfilled shares is on the buy side, the TOP will be the highest price therein.



X

3(ii) If there are still more than1 prices based on Rule 2* and the imbalance of unfilled shares is on the sell side, the TOP will be the lowest price therein.



4.





Otherwise the TOP used is the price closest to the reference price * Rule 1 – 3 : Refer to Appendix 13

Bursa Trade Securities Presentation

Best -Opening Best Buy/Sell Buy/Sell Screen Screen during during Pre Pre-Opening Best Buy/Sell (XYZ) B/Qty

Buy

Sell

S/Qty

34,600

3.04

3.04

32,700

49,700

3.00

3.06

1,900

8,000

2.99

3.08

16,900

16,400

2.98

3.10

8,500

5,400

2.97

3.12

21,650

TOP = RM3.04 14

Bursa Trade Securities Presentation

WinScore Screen

15

Bursa Trade Securities Presentation

Opening Phase BENEFITS • Matching is based on price and time priority. • Time priority instead of randomised algorithm. • Time priority is a fairer method. Derivatives also uses time priority. • Streamline Securities and Derivatives matching methods.

• Opening price is last TOP calculated before matching. • Opening price & quantity of contract matched are broadcast. • At end of Opening Auction period, system will automatically move to Continuous Trading. • If no matching can be done at opening, price of first trade occurring in main trading session is designated as the opening price.

Pre - Opening Continuous Pre - Closing Opening Trading Closing

Trading Lunch Pre - Opening Continuous Pre - Closing At Last Opening Trading Closing

16

Bursa Trade Securities Presentation

Trading At Last

Opening Phase Current Securities Model

Opening Price

Pre - Opening Continuous Pre - Closing Opening Trading Closing

No Indicator

Timing 0900 1430

Proposed New Model

Indicator-Theoretical Opening Price (TOP)

Trading Lunch Pre - Opening Continuous Pre - Closing At Last Opening Trading Closing

17

Bursa Trade Securities Presentation

Trading At Last

Continuous Trading Phase • • • • • •

BENEFITS • Continuous Matching • Increase liquidity • Align with the practices of other major markets. • Streamline Securities and Derivatives trading mechanisms.

Orders can be entered, modified and deleted. Trading takes place on a continuous basis. Each incoming order are checked immediately for possible execution. Unexecuted portion of such order is added to the order book. Matched trades can be viewed on Broker Front End. Matching will be based on Price and Time Priority.

Pre - OpeningContinuous Pre - Closing Opening Trading Closing

Trading Lunch Pre - Opening Continuous Pre - Closing At Last Opening Trading Closing

18

Bursa Trade Securities Presentation

Trading At Last

Continuous Trading Phase

Current Securities Model Order Entry & Maintenance Order Matching

Pre - OpeningContinuous Pre - Closing Opening Trading Closing

 10-second continuous auction

Timing 0900-1215 1430-1645

Proposed New Model

 Continuous

Trading Lunch Pre - Opening Continuous Pre - Closing At Last Opening Trading Closing

19

Bursa Trade Securities Presentation

Trading At Last

Price Determination – Continuous Trading Current SCORE (Sell Side) Price Determination Rules in Current Market: current Last Done Price 3.00

Current BUY

SELL

OR

Limit Order 3.00 100 lots



Limit Order 3.10

EARLIER ENTRY

Limit Order 2.90 100 lots

Market Order 500 lots

Limit Order 3.10 100 lots

500 lots

300 lots done at Price 3.10

20

Bursa Trade Securities Presentation

Price Determination – Continuous Trading Bursa Trade (Sell Side) Price Determination Rules in Continuous Trading (in addition to the price/time priority rules): current Last Done Price 3.00

Bursa Trade BUY

SELL

Market Order 500 lots OR

Limit Order 3.00 100 lots



Limit Order 3.10 Limit Order 3.10 100 lots

500 lots

21

100 lots done at EARLIER ENTRY

Limit Order 2.90 100 lots

RM 2.90 100 lots done at RM 3.00 100 lots done at RM 3.10

Bursa Trade Securities Presentation

Price Determination – Continuous Trading Current SCORE (Buy Side) Price Determination Rules in Current Market: current Last Done Price 2.97

Current BUY

SELL

EARLIER ENTRY

Limit Order 3.00 100 lots

Market Order 500 lots

Limit Order 2.98 100 lots



300 lots done at Price 2.97

OR

Limit Order 2.97 Limit Order 2.97 100 lots

500 lots

22

Bursa Trade Securities Presentation

Price Determination – Continuous Trading Bursa Trade (Buy Side) Price Determination Rules in Continuous Trading (in addition to the price/time priority rules): current Last Done

Bursa Trade

Price 2.97

BUY 100 lots done at RM 3.00

RM 2.98 100 lots done at RM 2.97

EARLIER ENTRY

100 lots done at

SELL

Limit Order 3.00 100 lots Limit Order 2.98 100 lots Limit Order 2.97 100 lots

23

Market Order 500 lots 

OR

Limit Order 2.97 500 lots

Bursa Trade Securities Presentation

Pre-Closing Phase BENEFITS • Allows market to find natural closing price at end of day when trading activities tend to surge. • When combined with closing price auction (ie the next phase), this will mitigate price manipulation of last done price.

• Starts immediately after end of continuous trading phase. • Order entry performed by members-automatically updated in order book without giving rise to trades. • Theoretical closing price (TCP) is calculated each time a new order is entered into the order book. • TCP is published.

Pre - Opening Continuous Pre - Closing Opening Trading Closing

Trading Lunch Pre - Opening At Last Opening

24

Continuous Pre - Closing Trading Closing

Bursa Trade Securities Presentation

Trading At Last

Pre Closing Phase Current Securities Model

Timing 1215-1220 1645-1650

Proposed New Model

Order Entry & Maintenance

X



Order Matching

X

X

Theoretical Closing Price

X



Pre - Opening Continuous Pre - Closing Opening Trading Closing

Trading Lunch Pre - Opening At Last Opening

25

Continuous Pre - Closing Trading Closing

Bursa Trade Securities Presentation

Trading At Last

Closing Phase BENEFIT • •

•

Same as Opening Auction. Closing price for securities traded for day is defined in this phase. If no price is issued in this phase, closing price shall be last traded price during main trading session. In event of no trading quotation during Trading Day, closing price is last known traded price.

Pre - Opening Continuous Pre - Closing Opening Trading Closing

Closing price will not be easily manipulated.

Trading Lunch Pre - Opening At Last Opening

26

Continuous Pre - Closing Trading At Last Trading Closing

Bursa Trade Securities Presentation

Closing Phase Current Securities Model

Closing Price

Pre - Opening Continuous Pre - Closing Opening Trading Closing

Last done price

Proposed New Model Last Theoretical Closing Price (TCP)

Trading Lunch Pre - Opening At Last Opening

27

Timing 1220 1650

Continuous Pre - Closing Trading Trading Closing At Last

Bursa Trade Securities Presentation

Trading At Last Phase

BENEFITS • Increase liquidity. • Provides a last call opportunity for traders to close positions. • Gives credibility to last done price (as opposed to current practice where last done price could be based on one or two trades.) • Positive step towards after-hour trading.

• Only applicable to Securities Market. • Orders can be entered & matched at closing price only.

Pre - Opening Continuous Pre - Closing Opening Trading Closing

Trading Lunch Pre - Opening At Last Opening

28

Continuous Pre - Closing Trading At Last Trading Closing

Bursa Trade Securities Presentation

Trading At Last Phase Current Securities Model

Proposed New Model

Order Entry & Maintenance

X



Order Matching

X



Pre - Opening Continuous Pre - Closing Opening Trading Closing

Trading Lunch Pre - Opening At Last Opening

29

Timing 1220-1230 1650-1700

Continuous Pre - Closing Trading Trading Trading Closing At AtLast Last

Bursa Trade Securities Presentation

Order Type Order Type

Pre-Opening / Pre-Closing

Limit Order











X

Market Order

Continuous Trading

30

Trading At Last

Bursa Trade Securities Presentation

BT Securities: Other Features

31

Bursa Trade Securities Presentation

Trading Status of a Securities Current Securities Model

Proposed New Model

Trading status of a securities • Open • Suspended

Trading status of a securities • Open • Suspended • Reserved • Frozen

32

Bursa Trade Securities Presentation

Reserve State •

Order entry, modification and cancellation are permitted for the securities

•

The current trading status for the securities is automatically changed to ‘Reserved’ when the following occurs 9 Market order cannot be fully executed 9 Potential match price is outside static threshold during pre-opening 9 Market-on-Opening has no counterpart

33

Bursa Trade Securities Presentation

Odd Lot Market Current Securities Model

Order Type

All or None

Proposed New Model

Allow Partial Matching

Order Validity

Good for Day

Good for Session

Matching Mechanism

Time Priority

Price/Time Priority

Price Limit Control

None

34

Yes

Bursa Trade Securities Presentation

Direct Business Transaction (DBT) Current System • Not able to provide realtime VWAP (Previous VWAP Price - Pvwap)

BT Securities •

Capable of generating realtime VWAP

35

Bursa Trade Securities Presentation

Market Timing - Securities Trading Cycles

Normal Market

Odd Lot

Buying In

Pre Opening

8:30am

8:30am

7:30am

*Opening Auction

9:00am

9:00am

8:30am

Continuous Trading

9:00am

9:00am

8:30am - 12:30pm

Pre Closing

12:15pm

12:15pm

*Closing Auction

12:20pm

12:20pm

Trading At Last

12:20pm to 12:30pm

12:20pm to 12:30pm

Lunch

Lunch

Lunch

Lunch

Pre Opening

2:00pm

2:00pm

1:30pm

*Opening Auction

2:30pm

2:30pm

2:00pm

Continuous Trading

2:30pm

2:30pm

2:00pm - 5:00pm

Pre Closing

4:45pm

4:45pm

*Closing Auction

4:50pm

4:50pm

Trading At Last

4:50pm - 5:00pm

4:50pm - 5:00pm

*Switch over to next phase is instantaneous upon completion of this phase Not applicable to Direct Business Trades as these are off market transaction. 36

Bursa Trade Securities Presentation

BT Securities: WinScore Screens

37

Bursa Trade Securities Presentation

Current Market Segment

38

Bursa Trade Securities Presentation

Enhanced WinScore (Normal Market)

39

Bursa Trade Securities Presentation

Enhanced WinScore (Odd Lot)

40

Bursa Trade Securities Presentation

Enhanced WinScore (Buying-in Market)

41

Bursa Trade Securities Presentation

Enhanced WinScore (DBT Market)

42

Bursa Trade Securities Presentation

BT Securities: Other Features in Subsequent Releases

43

Bursa Trade Securities Presentation

New Market Order Types & Trading Conditions BT Securities New Order Types • Market On Opening (MOO) • Market On Closing (MOC) • Stop Order Execution Condition • Fill And Kill • Fill or Kill • Market to Limit • Iceberg order Validity Condition • Good For Session • Good For Day • Good Till Cancelled • Good Till Date 44

Bursa Trade Securities Presentation

Trading Safeguards Current Securities Model

Proposed New Model

• ‘Fixed Static Threshold’ - Fixed at 30% or 30 cents

• Static Threshold - Designed to detect any major price movement

for price lower than RM1.00.

compared to the Static Reference Price (SRP). - At a defined range above/below the SRP. SRP = Previous day closing price.

• Dynamic Threshold - Designed to detect and manage large price movements compared to last-done price (Dynamic Reference Price-DRP) - Defined range above/below DRP DRP = Last done price.

45

Bursa Trade Securities Presentation

Bursa Trade – Roll-Out & Future Plans BT Derivatives - 2006

BT Securities - 2007

BT Securities - Subsequent Release(s) Securities Market Trading Model

Derivatives Market Trading Model New Trading Phases • Pre-Opening • Opening Auction • Continuous Trading • Pre-Closing • Closing Auction • Trading At Last

Matching Mechanism: • TOP algorithm • Price/time priority

Matching Mechanism • TOP algorithm • Price/time priority

New order types: • Market on Opening • Market To Limit & Minimum Order. Automated Price Limit Mechanism for FCPO, FPKO & FKLI

Enhanced Information Dissemination 5 best limits.

New Order and Execution Type for Equities Market Classification of securities into Liquid and Illiquid / Auction Trading Liquidity Provider Trading Safeguards: Dynamic Range Limits and Static Range Limits

Odd Lot trading allowed partial matching

User Defined Strategies

46

Bursa Trade Securities Presentation

TRADING

New Trading Phases • Pre-Opening • Opening Auction • Continuous Trading • Pre-Closing • Closing Auction

THANK YOU

Bursa Central Contact [email protected]

47

Bursa Trade Securities Presentation

Appendix

48

Bursa Trade Securities Presentation

BT Securities: Examples on Trade Matching • TOP/TCP Matching algorithm • Matching under continuous trading

49

Bursa Trade Securities Presentation

Matching Matching Mechanism: Mechanism: TOP/TCP TOP/TCP Algorithm Algorithm Current Securities Model

 X

Theoretical Pricing Algorithm for Pre Opening and Pre Closing:

Proposed New Model

1.

The theoretical opening price (TOP) is the price that maximizes the number of shares traded.



2.

If there are more than 1 prices based on Rule 1, the TOP will be based on the one with minimize the number of unfilled shares.



X

3(i) If there are still more than 1 prices based on Rule 2 and the imbalance of unfilled shares is on the buy side, the TOP will be the highest price therein.



X

3(ii) If there are still more than1 prices based on Rule 2 and the imbalance of unfilled shares is on the sell side, the TOP will be the lowest price therein.



4.





Otherwise the TOP used is the price closest to the reference price 50

Bursa Trade Securities Presentation

Example 1 on TOP Algorithm under Rule 1 The market for ABC immediately before the market opens is:

BUY

SELL

Order

Qty

Price

Price

Qty

Order

A

45

1.00

1.00

66

E

B

250

1.00

1.00

175

F

C

32

1.02

1.01

36

G

D

19

1.03

1.05

50

H

51

Bursa Trade Securities Presentation

Example 1 on TOP Algorithm under Rule 1 (cont’d) R1 : Determining the Maximum Executable Volume The principle establishes the price(s) at which maximum volume will be executed Buy The Cumulative Buy Quantity at any price is the buy quantity at that price plus the sum of the buy quantities at all highest Price.

Sell

Cumulative Buy Quantity

Buy Quantity at Price

Price

Sell Quantity at Price

Cumulative Sell Quantity

0

0

1.05

50

327

19

19

1.03

0

277

51

32

1.02

0

277

51

0

1.01

36

277

346

295

1.00

241

241

52

The Cumulative Sell Quantity at any price is the sell quantity at that price plus the sum of the sell quantities at all lowers Price.

Bursa Trade Securities Presentation

Example 1 on TOP Algorithm under Rule 1 (cont’d) Cumulative Buy Quantity

Price

Cumulative Sell Quantity

Maximum Executable Volume

0

1.05

327

0

19

1.03

277

19

51

1.02

277

51

51

1.01

277

51

346

1.00

241

241

The Executable Volume at each price is the maximum quantity which may be traded at that price .The Maximum Executable Volume overall is highest number in this column. In this example 241 is the Maximum Executable Volume.

TOP = RM1.00

53

Bursa Trade Securities Presentation

Example 2 on TOP Algorithm Rule 2

The market for XYZ immediately before the market opens is:

BUY Order

Qty

A

SELL Price

Price

Qty

Order

45

66

E

B

60

50

F

C

32

5.15

5.10

42

G

D

19

5.15

5.15

35

H

54

Bursa Trade Securities Presentation

Example 2 on TOP Algorithm under Rule 2 (cont’d) R1 : Determining the Maximum Executable Volume The principle establishes the price(s) at which maximum volume will be executed Buy The Cumulative Buy Quantity at any price is the buy quantity at that price plus the sum of the buy quantities at all highest Price.

Sell

Cumulative Buy Quantity

Buy Quantity at Price

Price

Sell Quantity at Price

Cumulative Sell Quantity

105

105

MO

0

193

156

51

5.15

35

193

156

0

5.10

42

158

156

0

MO

116

116

55

The Cumulative Sell Quantity at any price is the sell quantity at that price plus the sum of the sell quantities at all lowers Price.

Bursa Trade Securities Presentation

Example 2 on TOP Algorithm under Rule 2 (cont’d)

Cumulative Buy Quantity

Price

Cumulative Sell Quantity

Maximum Executable Volume

105

MO

193

105

156

5.15

193

156

156

5.10

158

156

156

MO

116

116

56

The Maximum Executable Volume at each price is the maximum quantity which may be traded at that Price .The Maximum Executable Volume Overall is highest number in this column. In this example 156 is the Maximum Executable Volume.

Bursa Trade Securities Presentation

Example 2 on TOP Algorithm under Rule 2 (cont’d) R2 : Establishing the Minimum Surplus The second principle ascertains the eligible price levels at which the unfilled or unmatched quantity is a minimum. The quantity of shares left in the market at the auction price should always be the lowest possible. Cumulative Buy Quantity

Price

Cumulative Sell Quantity

Maximum Executable Volume

105

Minimum Surplus (CBQ-CSQ)

MO

193

105

156

5.15

193

156

(-) 37

156

5.10

158

156

(-) 2

156

MO

116

116

Ignoring the positive and negative signs, the lowest amount displayed in this column is 2. The minimum surplus is 2.

TOP = RM 5.10

57

Bursa Trade Securities Presentation

Example 3 on TOP Algorithm under Rule 3 Example 3: The market for CZY immediately before the market opens is:

BUY

SELL

Order

Qty

Price

Price

Qty

Order

A

45

3.10

2.98

66

H

B

250

3.08

2.98

50

I

C

32

3.08

2.99

36

J

D

18

3.04

3.00

175

K

E

497

3.00

3.06

20

L

F

80

2.99

3.08

169

M

G

164

2.98

3.10

84

N

58

Bursa Trade Securities Presentation

Example 3 on TOP Algorithm under Rule 3 (cont’d) R1 : Determining the Maximum Executable Volume The principle establishes the price(s) at which maximum volume will be executed Buy The Cumulative

Cumulative Buy Quantity

Sell

Buy Quantity at Price

Price

buy quantity at any price is the

Sell Quantity at Price

Cumulative Sell Quantity

The Cumulative sell quantity at any price is the

45

45

3.10

84

600

sell quantity at

327

282

3.08

169

516

that price plus

327

0

3.06

20

347

the sum of the

345

18

3.04

0

327

sell quantities

at all highest

345

0

3.02

0

327

Price.

842

497

3.00

175

327

922

80

2.99

36

152

1,086

164

2.98

116

116

buy quantity at that price plus the sum of the buy quantities

at all lowers Price.

59

Bursa Trade Securities Presentation

Example 3 on TOP Algorithm under Rule 3 (cont’d) Cumulative Buy Quantity

Price

45

3.10

Cumulative Sell Quantity

Maximum Executable Volume

The Executable volume at each price

600

45

Is the maximum Quantity which may

327

3.08

516

327

327

3.06

347

327

345

3.04

327

327

345

3.02

327

327

842

3.00

327

327

Be traded at that Price .The Maximum Executable volume Overall is highest Number in this Column. In this example 327 is The Maximum

922

2.99

152

152

1,086

2.98

116

116

60

Executable Volume

Bursa Trade Securities Presentation

Example 3 on TOP Algorithm under Rule 3 (cont’d) R2 : Establishing the Minimum Surplus The second principle ascertains the eligible price levels at which the unfilled or unmatched quantity is a minimum. The quantity of shares left in the market at the auction price should always be the lowest possible. Cumulative Buy Quantity

Price

Cumulative Sell Quantity

Maximum Executable Volume

Minimum Surplus (CBQ-CSQ)

Ignoring the Positive and Negative signs

45

3.10

600

45

327

3.08

516

327

(-)189

327

3.06

347

327

(-)20

345

3.04

327

327

(+)18

345

3.02

327

327

(+)18

842

3.00

327

327

(+)515

922

2.99

152

152

1,086

2.98

116

116

The lowest Amount Displayed in this Column is 18, There are the

61

Minimum Surplus is 18.

Bursa Trade Securities Presentation

Example 3 on TOP Algorithm under Rule 3 (cont’d) R3 : Ascertaining where the Market Pressure exists The third principle involves ascertaining where the market pressure of the potential auction prices exists: on the buy or the sell side. A positive sign (+) indicates a surplus will be left on the buy side, demonstrating buy side pressure at the conclusion of the auction. A negative sign (-) indicates a surplus will remain on the sell side, demonstrating sell side pressure at the conclusion of the auction. Cumulative Buy Quantity

Price

Cumulative Sell Quantity

Maximum Executable Volume

45

3.10

600

45

327

3.08

516

327

(-)188

327

3.06

347

327

(-)20

345

3.04

327

327

(+)18

345

3.02

327

327

(+)18

842

3.00

327

327

(+)517

922

2.99

152

152

1,086

2.98

116

116

Minimum Surplus (BQ-SQ)

A negative sign (-) indicates the Surplus will Exit on the sell Side A positive sign (+) indicates the Surplus will Exit on the buy side

TOP = RM 3.04 62

Bursa Trade Securities Presentation

Example 4 on TOP Algorithm under Rule 4 The market for XYZ immediately before the market opens is:

BUY

SELL

Order

Qty

Price

Price

Qty

Order

A

45

3.10

2.98

66

K

B

250

3.08

2.98

50

L

C

32

3.08

2.99

36

M

D

19

3.04

3.00

175

N

E

497

3.00

3.06

19

O

F

80

2.99

3.08

169

P

G

10

2.98

3.10

85

Q

H

54

2.97

3.12

216

R

I

9

2.96

3.14

114

S

J

50

2.95

3.16

30

T

63

Bursa Trade Securities Presentation

Example 4 on TOP Algorithm under Rule 4 (cont’d) R1 : Determining the Maximum Executable Volume The principle establishes the price(s) at which maximum volume will be executed Buy The Cumulative buy quantity at

Cumulative Buy Quantity

Sell

Buy Quantity at Price

Price

Sell Quantity at Price

Cumulative Sell Quantity

The Cumulative sell quantity at any price is the

any price is the

sell quantity at

buy quantity at

45

45

3.10

85

600

that price plus

327

282

3.08

169

515

the sum of the

327

0

3.06

19

346

sell quantities

at all highest

346

19

3.04

0

327

Price.

346

0

3.02

0

327

843

497

3.00

175

327

923

80

2.99

36

152

933

10

2.98

116

116

the sum of the buy quantities

that price plus

at all lowers

64

Bursa Trade Securities Presentation

Price.

Example 4 on TOP Algorithm under Rule 4 (cont’d) Cumulative Buy Quantity

Price

Cumulative Sell Quantity

Maximum Executable Volume

45

3.10

600

45

327

3.08

515

327

The Executable volume at each price Is the maximum Quantity which may Be traded at that

327

3.06

346

327

346

3.04

327

327

346

3.02

327

327

Price .The Maximum Executable volume Overall is highest Number in this Column. In this

843

3.00

327

327

923

2.99

152

152

example 327 is The Maximum Executable Volume

933

2.98

116

65

116

Bursa Trade Securities Presentation

Example 4 on TOP Algorithm under Rule 4 (cont’d) R2 : Establishing the Minimum Surplus The second principle ascertains the eligible price levels at which the unfilled or unmatched quantity is a minimum. The quantity of shares left in the market at the auction price should always be the lowest possible. Cumulative Buy Quantity

Price

Cumulative Sell Quantity

Maximum Executable Volume

Minimum Surplus (CBQ-CSQ)

45

3.10

600

45

327

3.08

515

327

(-)188

327

3.06

346

327

(-)19

The lowest

346

3.04

327

327

(+)19

Amount

346

3.02

327

327

(+)19

843

3.00

327

327

(+)516

923

2.99

152

152

Minimum

933

2.98

116

116

Surplus is 19.

Ignoring the Positive and Negative signs

Displayed in this Column is 19,

66

There are the

Bursa Trade Securities Presentation

Example 4 on TOP Algorithm under Rule 4 (cont’d) R3 : Ascertaining where the Market Pressure exists The third principle involves ascertaining where the market pressure of the potential auction prices exists: on the buy or the sell side. A positive sign (+) indicates a surplus will be left on the buy side, demonstrating buy side pressure at the conclusion of the auction. A negative sign (-) indicates a surplus will remain on the sell side, demonstrating sell side pressure at the conclusion of the auction. Cumulative Buy Quantity

Price

Cumulative Sell Quantity

Maximum Executable Volume

45

3.10

600

45

327

3.08

515

327

(-)188

Exit on the sell

327

3.06

346

327

(-)19

Side

346

3.04

327

327

(+)19

A positive sign

346

3.02

327

327

(+)19

(+) indicates the

843

3.00

327

327

(+)516

923

2.99

152

152

933

2.98

116

116

67

Minimum Surplus (BQ-SQ)

A negative sign (-) indicates the Surplus will

Surplus will Exit on the buy side

Bursa Trade Securities Presentation

Example 4 on TOP Algorithm under Rule 4 (cont’d) R4: Consulting the Reference Price The fourth and final principle determines an auction price from the range of prices established in Principle 3 on the basis of their proximity to a reference price

In our example, if the algorithm was being used to determine the morning auction price for XYZ, and the previous trading day's closing price was RM3.04 or lower, then the official auction price for XYZ would be established at RM3.04. If the previous trading day's closing price was RM3.06 or higher, then the official auction price for XYZ would be RM3.06. For this example, we will assume the previous trading day's closing price was RM3.04, therefore, the official auction price is RM3.04.

TOP = RM3.04

68

Bursa Trade Securities Presentation

BT Securities: Price Determination under Continuous Trading

69

Bursa Trade Securities Presentation

Price Determination - Continuous Trading Price Determination Rules in Continuous Trading (in addition to the price/time priority rules): Rule 1: If an incoming Market Order or Limit Order meets an order book in which there are only Limit Orders on the other side, then the incoming Order is executed : With respect to non-executed sell orders - at the lowest sell limit. With respect to non-executed buy orders - at the highest buy limit.

70

Bursa Trade Securities Presentation

Price Determination - Continuous Trading Price Determination Rules in Continuous Trading (in addition to the price/time priority rules): SCORE

current Last Done

Example 1 Rule 1:

Price 3.30

BUY

RM 3.30

SELL

Limit Order 3.00 OR

Limit Order 3.02



EARLIER ENTRY

Market Order

Limit Order 3.30

Limit Order 4.00

Limit Order 4.00

New Last Done Price 3.00

71

Bursa Trade Securities Presentation

Price Determination - Continuous Trading Price Determination Rules in Continuous Trading (in addition to the price/time priority rules): Example 2 Rule 1: BUY

current Last Done

SCORE

Price 2.80

RM 2.80

SELL

New Last Done Price 3.00

Limit Order 3.00 EARLIER ENTRY

Market Order

Limit Order 2.99 

Limit Order 2.80

OR Limit Order 2.10

Limit Order 2.70

72

Bursa Trade Securities Presentation

Price Determination - Continuous Trading Price Determination Rules in Continuous Trading (in addition to the price/time priority rules): Rule 2: If an incoming Market Order meets an order book in which there are only Market Orders on the other side, then the incoming Market Order is executed : at the reference price = as general rule, reference price is the last automated trade. If this is not available (e.g. due to a long period of suspension), Bursa Malaysia will determine it.

73

Bursa Trade Securities Presentation

Price Determination - Continuous Trading Price Determination Rules in Continuous Trading (in addition to the price/time priority rules): Example 1 Rule 2:

SCORE Last Done Price

BUY

Market Order

SELL



Market Orders

Last Done Price

If no trade, Last Done Price = Last Adjusted Closing Price 74

Bursa Trade Securities Presentation

Price Determination - Continuous Trading Price Determination Rules in Continuous Trading (in addition to the price/time priority rules): Example 2 Rule 2: BUY SELL



Market Orders

SCORE Last Done Price

Market Order

Last Done Price

If no trade, Last Done Price = Last Adjusted Closing Price 75

Bursa Trade Securities Presentation

Price Determination - Continuous Trading Price Determination Rules in Continuous Trading (in addition to the price/time priority rules): Rule 3(i): If an incoming Market Order meets an order book in which there are Market Orders and Limit Orders on the other side, then the incoming Market Order is executed against the Markets Orders in accordance with the Price/Time Priority: With respect to non-executed sell orders - at the Reference Price or lower (at the lowest limit of the executable orders). With respect to non-executed buy orders - at the Reference Price or higher (at the highest limit of the executable orders).

76

Bursa Trade Securities Presentation

Price Determination - Continuous Trading Price Determination Rules in Continuous Trading (in addition to the price/time priority rules): Example 1 Rule 3 (i):

BUY

SCORE

current Last Done Price 3.40

RM 3.40

SELL

Market Order 1 

Market Order 2

EARLIER ENTRY

Market Order

Limit Order 3.30 Limit Order 3.40

New Last Done Price price 3.30 77

Bursa Trade Securities Presentation

Price Determination - Continuous Trading Price Determination Rules in Continuous Trading (in addition to the price/time priority rules): Example 2 Rule 3 (i):

BUY

current Last Done

SCORE

Price 3.14

RM 3.14

SELL

Market Order 1 EARLIER ENTRY

Market Order 2



Limit Order 3.24 Limit Order 3.20 Market Order Last Done Price price 3.24 78

Bursa Trade Securities Presentation

Price Determination - Continuous Trading Price Determination Rules in Continuous Trading (in addition to the price/time priority rules): current Last Done Example 3 Rule 3 (i): Market Order

Price 3.40

BUY

SCORE RM 3.40

SELL

Market Order 1



EARLIER ENTRY

Market Order 2 Limit Order 3.44 Limit Order 3.50

New Last Done Price price 3.40 79

Bursa Trade Securities Presentation

Price Determination - Continuous Trading Price Determination Rules in Continuous Trading (in addition to the price/time priority rules): BUY

Example 4 Rule 3 (i):

current Last Done

SCORE

Price 3.14

RM 3.14

SELL

Market Order 1 EARLIER ENTRY

Market Order 2 

Limit Order 3.10 Limit Order 3.04 Market Order New Last Done Price price 3.14 80

Bursa Trade Securities Presentation

Price Determination - Continuous Trading Price Determination Rules in Continuous Trading (in addition to the price/time priority rules): Rule 3(ii): If an incoming Limit Order meets an order book in which there are Market Orders on the other side, then the incoming Limit Order is executed against the Markets Orders in accordance with the Price/Time Priority: With respect to non-executed sell orders - at the Reference Price or lower (at the lowest limit of the executable orders). With respect to non-executed buy orders - at the Reference Price or higher (at the highest limit of the executable orders).

81

Bursa Trade Securities Presentation

Price Determination - Continuous Trading Price Determination Rules in Continuous Trading (in addition to the price/time priority rules): current Last Done Price 3.40

Example 1 Rule 3 (ii):

SCORE

BUY

SELL

RM 3.34

Limit Order 3.34



EARLIER ENTRY

Market Order 1

Market Order 2

new Last Done Price 3.34 82

Bursa Trade Securities Presentation

Price Determination - Continuous Trading Price Determination Rules in Continuous Trading (in addition to the price/time priority rules): current Last Done Price 3.30

Example 2 Rule 3 (ii):

BUY

SELL

SCORE RM 3.24

Market Order 1 EARLIER ENTRY



Market Order 2 Limit Order 3.24 New Last Done price 3.30

83

Bursa Trade Securities Presentation

Price Determination - Continuous Trading Price Determination Rules in Continuous Trading (in addition to the price/time priority rules): Rule 3(iii):

If an incoming Limit Order meets an order book in which there are Market Orders and Limit Order on the other side, then the incoming Limit Order is executed against the Markets Orders in accordance with the Price/Time Priority: With respect to non-executed sell orders - at the Reference Price or lower (at the lowest limit of the executable orders). With respect to non-executed buy orders - at the Reference Price or higher (at the highest limit of the executable orders).

84

Bursa Trade Securities Presentation

Price Determination - Continuous Trading Price Determination Rules in Continuous Trading (in addition to the price/time priority rules): Example 1 Rule 3 (iii):

BUY

SCORE

current Last Done Price 3.40

RM 3.36

SELL

Market Order 1 

Market Order 2

EARLIER ENTRY

Limit Order 3.36

Limit Order 3.30 Limit Order 3.40

New Last Done Price price 3.30 85

Bursa Trade Securities Presentation

Price Determination - Continuous Trading Price Determination Rules in Continuous Trading (in addition to the price/time priority rules): Example 2 Rule 3 (iii):

BUY

current Last Done

SCORE

Price 3.14

RM 3.20

SELL

Market Order 1 EARLIER ENTRY

Market Order 2



Limit Order 3.24 Limit Order 3.20 Limit Order 3.20 Last Done Price price 3.24 86

Bursa Trade Securities Presentation

Price Determination - Continuous Trading Price Determination Rules in Continuous Trading (in addition to the price/time priority rules): current Last Done Example 3 Rule 3 (iii): Limit Order 3.44

Price 3.40

BUY

SCORE RM 3.40

SELL

Market Order 1



EARLIER ENTRY

Market Order 2 Limit Order 3.44 Limit Order 3.50

New Last Done Price price 3.40 87

Bursa Trade Securities Presentation

Price Determination - Continuous Trading Price Determination Rules in Continuous Trading (in addition to the price/time priority rules): BUY

Example 4 Rule 3 (iii):

current Last Done

SCORE

Price 3.14

RM 3.14

SELL

Market Order 1 EARLIER ENTRY

Market Order 2 

Limit Order 3.10 Limit Order 3.04 Limit Order 3.10 New Last Done Price price 3.14 88

Bursa Trade Securities Presentation