Auction Regime
Trading in the auction regime is based on the processing
of buy and sell orders for investment instruments
concentrated at a fixed point in time. The outcome of
trading is the determination of an auction price, the degree
of allocation (amount of orders filled, expressed as a
percentage) and a market status code.
During the period set aside for the auction regime, only the
receipt (modification, cancellation) of orders takes place.
No continuous information is published.
The unit of trading is 1 item.
For the establishment of an auction price, the main criteria
is the achieving of the greatest traded quantity of
investment instruments, followed by the minimum excess
supply or demand. In cases where an auction price has not
been established by either of these criteria, the auction
price becomes the lower price in the case of excess supply
or the higher one in case of excess demand.
The tick size is the smallest possible change between a new
and a previous price listing:
|
stocks |
bonds |
|
price |
tick size |
price |
tick size |
|
do 200 CZK |
0.01 CZK |
do 200 % |
0.01 % |
|
200. - až 1.000 CZK |
0.10 CZK |
nad 200 % |
1.00 % |
|
nad 1.000 CZK |
1.00 CZK |
|
|
If a price is to be set that does not correspond to the
tick size, such a price is changed by the AOS (Automated
Trading System) to the
nearest tick towards the midpoint of the allowable
spread.
The Auction Regime consists of three phases:
- Orders Collection (05:00 p.m. - 08:00 p.m.)
- Opening Auction (08:45 a.m. - 09:10 a.m.)
- Closing Auction (04:00 p.m. - max. 04:07 p.m.)
Opening Auction is the price-fixing segment for securities assigned to Trading
Group 2.
Closing Auction is the price-fixing segment for securities assigned to Trading
Group 3.
Trades concluded in the auction regime are Exchange
trades. Guarantees of the Exchange Guarantee Fund apply
to those trades.
Settlement of these trades is realised in a
deadline of T+3.
Market status codes:
1 – perfect balance of supply and demand (all orders
have been filled in full)
2 – local supply surplus (only sell orders with a limit
price equal to the new auction price are reduced; the
trade is completed)
3 – local demand surplus (only buy orders with a limit
price equal to the new auction price are reduced; the
trade is completed)
4 – global supply surplus (all sell orders with a limit
price less than or equal to the new auction price are
reduced; the auction price is set at the lower limit of
the permitted margin, and the trade is completed)
5 – global demand surplus (all buy orders with a limit
price greater than or equal to the new auction price are
reduced; the auction price is set at the upper limit of
the permitted margin, and the trade is completed)
6 – total supply surplus (the allocation level is below
20%; the auction price is set at the lower limit of the
permitted margin, and the trade is not completed)
7 – total demand surplus (the allocation level is below
20%; the auction price is set at the upper limit of the
permitted margin, and the trade is not completed)
8 – not listed (no orders were submitted or demand does
not match up with supply; the previous auction price
remains, and the trade is not completed)
Detailed information: