NTS Quick Guide. March 2010 V1.0. PSE New Trading System (NTS)

Transcription

1 PSE New Trading System (NTS) NTS Quick Guide This document provides an overview of PSE New Trading System features, new Market Rules and NTS-PAM fields description March 2010 V1.0 For inquiries, please contact: Ms. Jam Lopez at ; Ms. Xy-Za Foz at ; Mr. Jericho Bayla NTS Quick Guide

2 New Trading System (quick guide) Market Phases (Group State): The PSE now formally introduces the new trading workstation which is known as the PAM (Poste D Access Aux Marche). Following is an overview of the changes: Market Phase A. Market Phases Pre-Opening (9:00am - 9:15am) same as the current pre-open, brokers can enter, modify, or cancel orders but no matching occurs. Pre-Open No Cancel (9:15am - 9:30am) part of the Pre-Open Period and is also called the No Cancellation Period; any modification or cancellation done by the TPs will be rejected by the system. Continuous Trading (9:30am 11:57am) a period where orders are immediately matched. Pre-Closing (11:57am-11:59am) - a period used by the system to compute for the Closing Price of each security, based on the posted orders. It is exactly the same as the Pre-Open where matching is not allowed but orders can be posted, cancelled and modified. Pre-Close No Cancel (11:59am -12:00nn) - the last 1-minute of the Pre- Close Period that is similar to the No Cancellation Period of the Pre-Open. Trading-at-Last (TAL) (12:00nn 12:10pm) - this is the same as Run-Off Period where users can only enter orders at the Closing Price. B. Open and Close Price Determination The Open Price will be determined using the following rules: price with the maximum number of shares matched; price with the minimum number of shares unmatched; highest (lowest) price if the market pressure is on the buying (selling) side; price closest to the Reference Price; and Reference Price. The computation of the Close Price will be the same with the computation of the Open Price. In computing the Open Price, the reference price to be used is the previous day s Closing Price, while the reference price for the Close Price computation is the Last Traded Price (LTP) of the Continuous Trading. C. Order Types NTS offers a wide array of Order Types to be introduced by the Exchange one at a time. To manage the transition, only Limit Orders will be accepted by the system upon launching. A Limit Order is an order entered with a specified price and volume. Start of consultation Preopening/Preclosing Preopening/Preclosing No Cancel Continuous Trading Trading At Last Surveillance Intervention Beginning of day. PAM open for viewing market data but not yet for order posting. Corresponds to either Pre-open or Pre-close. Order posting, modification and cancellation are allowed but no order matching yet. Corresponds to either Pre-open no cancellation or Preclose no cancellation. Order posting is allowed but modification and cancellation are not allowed; no order matching yet. Market open for posting and matching of orders. Traders can enter Orders only at closing price. Market Close. End-of-day activities.

3 Field name Order Type Origin Trader Price Qty Cumul. Execution Qty Remaining Qty Total Short Selling Information Side Status Trader Transaction Time Validity Date Validity Type Value Type of the order (e.g. limit, market, etc). Displays the name of the trader who inputted the order; this does not change even if order has been transferred to another trader. Displays the: Order Price Or displays the modality for order with no price. When the order is market to limit, the introduction price will be displayed after the order is on the market. For trades, the field displays the execution price Quantity Executed. Remaining Quantity. Total quantity of an Order. Indicates if the order has been sent with short sell or buy back. Side of an order. Status of your order (active, executed, cancelled, etc.,). Name of Trader who is in charge of the order. Date and Time the order has been executed. Validity date of the order or date from which the order will remain valid. Validity type of an Order (e.g. GTW, GTC etc.,) Peso value of an order. Price * volume D. Validity Types The following validity types will be made available: Day Order (Day) valid until the end of the Trading Day. Good Till Cancelled (GTC) valid until cancelled by the User or until it has reached the set expiration date of the Security. Good Till Date (GTD) valid until the date specified when the Order is entered. Good Till Week (GTW) valid for seven (7) calendar days from the time it is posted; appears as GTD with seven (7) calendar days validity in PAM. Sliding Validity (Sliding) valid for 360 calendar days from the time it is posted. Fill-and-Kill (FAK) valid upon execution; when partially matched, the remaining unexecuted portion will be automatically eliminated by the system. E. Volume Qualifiers Volume qualifier is an order feature offered by the NTS. Following are the definitions of each of the volume qualifier: Minimum Quantity must be filled immediately upon order entry, to the extent of the specified minimum quantity, otherwise, the order will be eliminated; applies only on the first trade. Iceberg (Disclosed) Quantity successively entered and disclosed to the market in specified tranches. F. Odd Lot Will be traded in a separate market called the Odd Lot Market. A prefix O should be placed before the Security Symbol when entering an Odd Lot order. Partial matching is now allowed in the Odd Lot Market. G. Thresholds Static Thresholds - also known as the trading band, refers to the lowest (floor) and highest (ceiling) price limit for each security that the system will accept. - Fifty percent (50%) above and below the previous day s closing price or the Last Adjusted Closing Price (LACP), shall apply for both the ceiling and the floor. Dynamic Thresholds - In lieu of the Three Fluctuation Rule, Dynamic Thresholds will be introduced. - The Upper and Lower Dynamic Threshold refer to the allowed price from one trade to the next. - When this threshold is breached, the security will be frozen, until the Market Control acts on the Order that has been frozen.

4 H. Security States Open (Display in PAM: AUTHORIZED) normal state of the Security where orders are accepted for posting and matching. Frozen (Display in PAM: AUTHORIZED FROZEN) occurs if any of the thresholds are breached. A frozen security does not allow order posting, modification and cancellation. Halted (Display in PAM: AUTHORIZED/HALTED) is equivalent to the trading Halt of the Maktrade System. A halted security allows order posting, modification and cancellation but no matching occurs. Suspended (Display in PAM: FORBIDDEN/HALTED) is a halting of a Security occurring more than one trading day. A suspended security does not allow order posting, modification and cancellation. I. Foreign Limit Validations The Shares Available to Foreign automatically updates (decreases) when a foreign buying order is entered. The Shares Available to Foreign automatically updates (increases) when s foreign selling order is matched. J. Order Entry Validations Only the Exchange-defined client account code/investor name will be accepted by the system. No need to flag orders (i.e. nationality and account type). TPs may also assign the Order Limit for each of its traders for risk management purposes. K. Order Status Active Open for matching, modification and cancellation. Cancelled Cancelled by the User. Error Error during order posting (Error detail to be seen in Message field) Executed Fully matched. Frozen Order has caused the freezing of the Instrument and is waiting for Market Control action. Market Eliminated Cancelled by the Market Control of the Exchange Modified Original Order that has been modified. Scheduled Order not yet sent to the Market with parameters set by the User. Sent Order waiting Exchange Reply. Waiting Order not yet sent to the Exchange. Sending Order has not reached PAM server. Field name Variance Volume Orderbook important fields: Field name Account Id Average Price Comment Confirmation Counterpart Creation Date Date Change Exchange ID Internal Ref. Variation of the last trade from the Instruments Previous closing Price. Volume of the last transaction. PSE- Investor account code Average price of your orders trade (TRADES_QT Y_y *TRADES_PRI CE_y) / 0 trade (TRADES_QT Y_y) 0 Displays the comment indicated in the Single Order Entry window. Indicates if the order is a 'pre-confirmed order or not. Displays (1) if you have selected the Pre-confirmation checkbox in the Single Order Entry window. If not, it displays (0). Counterpart to a trade or trade declaration. Timestamp when the order is created or the Date and Time when the order has been created/modified. Date and time a change (i.e. execution, modification, cancellation, etc) has occurred on the instrument. For Executed Orders this pertains to Confirmation number ; for active/unmatched orders this pertains to Order number Internal Reference Order Number. Is Scheduled Indicates if the order is a scheduled (1) order or not (0). Message Mnemo Order Position of the Status of the order/trade. Instrument Code/Symbol. Indicates the position of your order inside the 5 Best Limits. Flags 1 to 5 indicate the limit position of your order, 5+ indicate that your order is below the 5 limits, n/a means not applicable (no feed data, order is in terminal state).

5 Field name Lowest Mnemo NSC ID Number of Shares Number of Transaction Open Price Price Prod. Group Quoting Step/Price Reference Price Sector Code Short Name Short Sell Inf Theoretical Open Price Threshold Dyn High Threshold Dyn Low Lowest trade price for the day Instrument Symbol (e.g.pse). Mnemonic code with Prefix N for normal market, O for oddlot market (e.g. NPSE/OPSE). Number of Outstanding Shares of an instrument. Number of Transactions for the instrument. Price at the opening for the instrument or Price at which the Instrument was first traded for the day. Price of the last transaction. Production Group (i.e. N: Normal; O:Oddlot). Valid (minimum) Price Fluctuation or Tick size. Price from which the Static Threshold is computed. Provides the Sector code of the Instrument. Instrument Name listed Indicates if the instrument is eligible for short selling/buyback. Displays the projected opening/closing price of an instrument during pre-open/pre-close phase. Upper dynamic threshold of a particular Instrument. Lower dynamic threshold of a particular Instrument. Threshold High Ceiling price of an instrument (Upper Static Threshold). Threshold Low Value Floor price of an instrument (Lower Static Threshold). Price of the last transaction * Volume of the last transaction. L. Account Types Institutional Client (I) Account of i) bank, insurance company, or registered investment company; ii) any other entity set forth in Section 10.1(1) of the SRC Code as a qualified buyer (whether a natural person, corporation, trust or otherwise) with total assets of at least P1.2B; provided however, that the Broker Dealer shall obtain from such entity a declaration under oath, confirming ownership of assets. Retail Client (C) Account of an individual not categorized as institutional client. Tax-Exempted Client (T) Corporate account exempted from stock transaction tax. Group/Aggregate/Bundled Account (G) A group of client accounts traded as one (1) aggregate account. House/Principal/Proprietary Account (P) Account of the TP firm when trading for its own account. Error Account (E) Account of the TP for error transactions. Related Party/Associated Person Account (R) Parties related to a TP shall refer to (a) the stockholders, directors, officers, nominee, salesmen, employees, and other agents of a TP, (b) its subsidiaries and affiliates, or (c) any affiliated person of the TP. Market Making Account (M) Account used by the TP to identify transactions made in fulfillment of its market making obligations to the listed company. M. Bundling/Aggregation of Client Orders TPs can request for a bundled account, which can be classified as local or foreign. When using bundled account, TPs must distribute the shares traded among the clients at the end of trading day. Only the following distribution of bundled/aggregated accounts are permitted by the Exchange: From a foreign bundled account to foreign client and local client and/or error accounts; From a local bundled account to local client and error accounts. N. Cross Transactions Var Var(-) Percentage variation of the last trade from the Instrument s Previous closing Price. (negative) Percentage variation of the last trade from the Instrument s Previous closing Price (used in the Top Losers window) Cross transactions can be entered using the Single Order entry window. During Continuous Trading, the price of cross transactions should be within the Best Bid/Offer (BBO); when executed during TAL, the price should be at the Closing Price. Cross transactions can only be executed during the Continuous Trading and the Trading-at-Last Period.

6 O. Order Modification A posted or partially matched order may be modified with new Order number generated by the Exchange. The following modifications will cause the order requeue: an increase in volume; and/or a modification of the limit price entered. The following modifications will cause the order retain its queue: a decrease in volume; a modification in validity type (e.g. Day to GTC order); a modification of the client account code. P. Block Sales Block Sales can be executed as an inter-firm (two party) transaction or an intra-firm (cross) transaction. Block Sale transaction value should be within the Trader s Assigned Order Limit. Ordinary Block Sales can be executed using the Trade Confirmation System (TCS) window in PAM. Parameters/thresholds are the following: value of transaction not less than PhP20 million; price within +/- 5% from the Last Adjusted Closing Price (LACP). Special Block Sales are executed by the Exchange. Parameters/thresholds are the following: value of transaction not less than PhP50 million; can be executed at any price The underlying agreement and other supporting documents shall be provided by the selling Trading Participant to the Exchange. PAM Field Broadcasted Market Data Fields (important fields): Field name Ask Or. Qty Ask Price Ask Vol Available for Foreigner Avg Ask Price Avg Bid Price Avg Price Bid Or. Qty Bid Price Bid Vol Close Price Company Name Number of Ask orders available for first limit. Ask Price on first limit. Volume of Ask orders available for first limit. Displays in real time the number of shares available for foreigner. Average ask price on first limit. Average bid price on first limit. Average Price of all transactions of an Instrument. Number of Bid orders available for first limit. Bid Price on first limit. Volume of Bid orders available for first limit. Previous day s closing price. Name of the Company issuing the Security (e.g. The Phil. Stock Exchange). Cumul. Volume Cumulated volume from the beginning of the day for each instrument. Cumulative Value Foreigner Group Status High Time Highest Instrument State ISIN Last Transaction Time Lot Size Low Time Cumulated value from the beginning of the day for each instrument. Cumul. Volume * Avg. Price Indicates if foreign clients can trade the instrument or not. Status of the Group (i.e. Market Phase of nomal/oddlot market). Time of the highest price for current day. Highest trade price for the day. Status of the Instrument. International Securities Identification Number. Last Transaction Time. Lot Size of the Instrument. Time of the lowest price for current day