Intraday odd lot trading
Foreword
To make the Taipei Exchange more accessible to the public and to better satisfy investors' trading needs, Taipei Exchange (“TPEx”) has amended the “Taipei Exchange Rules Governing Odd Lot Trading“ with the approval of the Financial Supervisory Commission (“FSC”). The regulations were released to the securities firms on March 4, 2020. Investors will be able to do intraday odd lot trading starting on October 26, 2020. The existing after-hours odd lot trading system remains unchanged.
Introduction
| Item | Description |
|---|
| Quote time | 9 am to 1:30 pm. To keep odd lot trading from interfering with the opening for regular trading, securities firms will start entering quotes into the exchange at 9 am, and the first call auction will be executed at 9:10 am. |
| Call auction | The first call auction is executed at 9:10 am, followed by periodic call auctions in 5-second intervals. Order execution priority:- Price priority principle: Higher-priced buy orders shall have priority over lower-priced buy orders. Lower-priced sell orders shall have priority over higher-priced sell orders. Where orders are placed at the same price, priority shall be based on the time priority principle.
- Time priority principle: For orders placed before the first call auction, priority shall be determined randomly by the computer system. For orders placed after the first call auction, priority shall be determined by the order in which the orders are entered.
|
| Quote range and fluctuation | Same as regular trading on every business day (9 am to 1:30 pm on the day; limited to 10% above or below the basis price of the opening of trading) Given there are no price fluctuation limits for TPEx newly listed stocks on the first five days of listing, there will be no price fluctuation limits for odd lot quotes in the same period. |
| Order placement | To avoid trade disputes arising from clerical error at securities firms, order placement and confirmation of odd lot trades must be conducted electronically, except where the principal is a professional institutional investor. |
| Order type | Day orders only |
| Closing and order removal | Outstanding intraday odd lot orders will not be carried forward to the after-hours odd lot session. |
| Disclosure | - Market data: Following each match after the first call auction, market information including the trading price and volume and the best five bid/ask prices and volumes will be disclosed to the public.
- Simulated market information during the session: The first disclosure will be executed at 9:00 am, followed by simulated matching in 5-second intervals until 1:30 pm. Simulated trading prices and volumes, and the best five bid/ask prices and volumes will be disclosed.
|
| Intra-day volatility interruption system | In order to prevent trading prices from exceeding investors' expectations as a result of drastic price volatility, except for TPEx newly listed securities not yet subject to price fluctuation limits, managed stock, securities for which extended matching intervals are implemented under TPEx rules, and securities for which the basis price of the opening of trading is lower than NT$1, price stabilization measures will be in place for intraday odd lot trading from the first successful match to a certain interval before the quote time ends (1:25 pm). If the potential execution price before matching rises or falls by over 3.5% in comparison with the last trading price, the TPEx will instantly postpone the current matching by two minutes and continue to accept key-in, cancellation and changes of buy/sell orders within the delayed matching period, and then match orders sequentially after the current delayed matching period comes to an end. The price stabilization measures delay matching, and disclose to investors simulated matching trading prices and volumes and the best five bid/ask prices and volumes in 5-second intervals. |
Comparison of intraday / after-market odd lot trading
1. Differences
| Item | Intraday odd lot trading | After-market odd lot trading |
|---|
| Implementation date | October 26, 2020 | To remain in effect |
| Trading hours | 9 am to 1:30 pm | 1:40 pm to 2:30 pm |
| Call auction | The first call auction is executed at 9:10 am, followed by periodic call auctions in 5-second intervals. | Matching takes place only once at 2:30 pm. |
| Order execution priority | - Price priority
- Time priority if prices are the same (computer generated random priority for the first call auction).
| - Price priority
- Computer generated random priority if prices are the same.
|
| Disclosure | - Market Data: Following each match, market information including the trading price and volume and the best five bid/ask prices and volumes will be disclosed to the public.
- Simulated market information disclosure: Simulated trading price and volume and the best five bid/ask prices and volumes will be disclosed in 5-second intervals between 9:00 am and 1:30 pm.
| Simulated best trading price will be disclosed in 30-second intervals in the last five minutes (between 2:25 pm and 2:30 pm) of the quote. |
|
| Advance collection of payments/securities | Payments/securities collected in advance with those for regular orders:- Disposal of securities (by advance collection of payments/securities)
- Securities subject to change of trading method
- Managed stock
| Disposal of securities (by advance collection of payments/securities) must have payments/securities collected in advance with those for regular orders.- To keep from interfering with the existing processes, securities subject to change of trading method will remain unchanged after-market odd lot trading without advance collection of payments/securities.
|
| Order placement | - Rule: To be processed electronically.
- Exception: Non-electronic orders may be accepted from professional institutional investors.
| No format requirement |
| Intra-day volatility interruption system | - Time: Between the first call auction (9:10 am) and 1:25 pm.
- Benchmark: Any given simulated execution price fluctuates beyond 3.5% from the previous execution price prior to each match.
- When the benchmark is reached, the current matching will be delayed by two minutes, during which period orders may be added, reduced, or deleted. Orders will be matched at the end of the delay.
| None |
| Closing and order removal | Outstanding orders will not be carried forward to the after-hours odd lot session. | None |
2. Similarities
| Item | Intraday odd lot trading | After-market odd lot trading |
|---|
| Target investment | Stocks, TDRs, and ETFs.- Odd lot trading not permitted for call (put) warrants and ETNs.
|
| Trade unit | 1 - 999 shares |
| Quote range and fluctuation | Same as regular trading on every business day (9 am to 1:30 pm on the day; limited to 10% above or below the reference price on the day) Given there are no price fluctuation limits for TPEx newly listed stocks on the first five days of listing, there will be no price fluctuation limits for odd lot quotes in the same period. |
| Order type | Day orders (ROD) only |
| Order change | Reduction and cancellation permitted. Price change not allowed. |
| Trade restriction | Margin trade and short sales not permitted. |