Arrangements for Anomalous Order Thresholds. September 2011

Transcription

1 Arrangements for Anomalous Order Thresholds September 2011

2 Contents 1 Introduction Framework Order Validation Determination of Reference Price Threshold Security Groups Amending Relative and Absolute Threshold Values Appendix A , Chi-X Australia Pty Ltd ( Chi-X ). All rights reserved. CHI-X is a registered trademark. Chi-X holds an Australian Market Licence to operate a financial market in Australia under Part 7.2 of the Corporations Act. Whilst Chi-X has taken care preparing this document, Chi-X excludes all liability (including for negligence) in connection with the same. This document is provided for informational purposes only. Under no circumstances is it to be used as a basis for, or considered as an offer to, engage in any activity or purchase or sell any security, or as a solicitation or recommendation of the purchase, sale, or offer to purchase or sell any security. Reproduction or redistribution is prohibited except with written permission from Chi-X. September 2011 Page 2 of 5

3 1 Introduction To meet the requirements of section of the Market Integrity Rules (Competition in Exchange Markets) (the MIR s ), Chi-X has determined an anomalous order threshold for each equity market product quoted on its market. This document provides: A description of the framework; The list of Threshold Security Groups and the two parameters associated with each group; and The list of securities allocated to each Threshold Security Group. 2 Framework When an order is entered into the Chi-X trading system it will be validated to assess the reasonableness of the limit price. It should be noted that all orders must have a limit price even pegged orders. Additionally, at the end of each trading day all orders are cancelled, i.e. there is no carry-over of stale orders from one day to the next. The validation of the limit price will be performed using a Reference Price and two parameters determined in accordance with a data relationship discussed below. If an order does not pass the validation then it will be rejected. The data relationship structure is as follows: Securities will be allocated to a Threshold Security Group, and Each Threshold Security Group will have two parameter values, namely a Relative Threshold Value and an Absolute Threshold Value. 3 Order Validation The limit price of all incoming orders and order amendments will be subjected to two checks as outlined below. An order will only be rejected if it fails BOTH of these checks. The price checking function is only performed on the aggressive side of the book in order to allow for the orderly build-up of market depth for each traded security. Check 1 - Relative Threshold Value This is the maximum percentage an order price is allowed to deviate from the Reference Price. An order will fail the relative check if it deviates from the Reference Price in the following circumstances: A buy order fails the relative check if: Price of order > Reference Price x (1 + Relative Threshold Value) A sell order fails the relative check if: Price of order < Reference Price x (1 - Relative Threshold Value) Check 2 - Absolute Threshold Value This is the maximum value an order price may deviate from the Reference Price. An order will fail the absolute check if it deviates from the Reference Price in the following circumstances: A buy order fails the absolute check if: September 2011 Page 3 of 5

4 Price of order > Reference Price + Absolute Threshold Value A sell order fails the absolute check if: Price of order < Reference Price Absolute Threshold Value 4 Determination of Reference Price Subject to the following paragraph, the Reference Price will be determined as follows. Once the markets are open, the Reference Price will be the last price at which the security traded on either the central limit order book of ASX s TradeMatch venue or the Chi-X market. If on a particular day the security has not yet traded on either of those venues, the Reference Price will be the previous nights closing price. In limited circumstances Chi-X may be required to manually amend the Reference Price to take into account matters such as corporate actions or overnight market sensitive news. 5 Threshold Security Groups Chi-X divided the S&P/ASX 200 securities and ETF s into price based Threshold Security Groups before determining the thresholds to apply to these groups. The Relative Threshold Value and the Absolute Threshold Value for each Threshold Security Group is outlined in the table below. Group Relative Threshold Value (%) A 15% $0.10 B 12% $0.20 C 11% $0.50 D 10% $1.00 E 9% $3.00 F 8% $5.00 Absolute Threshold Value ($) The allocation of securities to each of these Threshold Security Groups for the launch of Chi- X s market is set out in Appendix A. 6 Amending Relative and Absolute Threshold Values If Chi-X determines that it is necessary to amend the Threshold Security Group within which a security resides, or amend the Relative and Absolute Values, Chi-X will publish a Market Operations Notice and publish the changes on the Chi-X website. September 2011 Page 4 of 5

5 7 Appendix A The allocation of securities to each Threshold Security Group are set out below. Group A Securities APN, AWE, BSL, BTU, CEU, CPA, DTE, DXS, EHL, ENV, ESG, EWC, FKP, FXJ, GBG, GFF, GMG, GNS, IOF, KZL, MAH, MMX, OMH, PBG, SDL, SIP, SPN, SXL, TEN, TPI, VBA Group B Securities AAD, ABP, AIO, AIX, ALL, AUN, AWC, BOW, BPT, BWP, CFX, CHC, CPL, DML, DUE, GRY, GWA, HDF, HGG, IAU, LNC, LYC, MBN, MGR, MGX, MQA, OST, PAN, PDN, QAN, QUB, RSG, SKI, SPT, TPM, TSE, WEC Group C Securities ABC, ACR, AGO, ALZ, AMP, APA, AQP, ASL, AUT, BBG, BLD, BLY, CAB, CDU, CGF, CQO, CQR, CRZ, CSR, DJS, DLX, DOW, EGP, ERA, FIN, FIX, FMG, GPT, HVN, IAG, IDD, IGO, IPL, ISO, KAR, MAM, MAP, MRM, MTS, MYR, NUF, NVT, NWH, OGC, PNA, PRU, PRY, PTM, QRN, RMD, RRL, RSR, SBM, SEK, SGP, SGT, SWM, TAH, TEL, TLS, TOL, TTS, TWE, WRT, WSA, WTF Group D Securities AMC, AQA, BEN, BKN, BOQ, BXB, CPU, CWN, EXT, FBU, FGL, GCL, GNC, GUD, IFL, IJP, IRE, IVC, JHX, KCN, LLC, MML, MSB, OSH, OZL, QFN, QRE, SFR, SLF, SMX, SUN, SVW, TCL, TRS, WDC, WHC Group E Securities AGK, ANN, ANZ, AQG, ASX, AZT, CCL, CSL, CTX, EEU, ENY, FLT, FWD, IHD, IHK, ILC, ILU, IOZ, ISG, ITW, JBH, LEI, MCC, MIN, MND, MQG, NAB, NWS, ORG, ORI, OZF, OZR, POU, PPT, QAU, QBE, RDV, RHC, RVL, SGM, SHL, SSO, STO, SYI, UGL, USD, WBC, WES, WOR, WOW Group F Securities BHP, CBA, COH, CPB, IAA, IBK, IEM, IEU, IJH, IJR, IKO, IOO, IRU, IVE, IVV, IXI, IXJ, IXP, IZZ, NCM, RIO, SFY, STW, VAP, VAS, VEU, VHY, VSO, VTS, WPL September 2011 Page 5 of 5