Call-auction matching is used at market open. Continuous matching is used during trading hours to market close.
- Orders Execution Priority:
a. Price-time priority. Higher-priced buy orders have priority over lower-priced buy orders. Lower-priced sell orders have priority over higher-priced sell orders. Orders at the same price are executed according to the time of entry.
b. Market orders have priority over limit orders.
c. If the quantity of an order is reduced, the order’s execution priority remains unchanged. If the price is changed, the order is reranked based on the time of the change. Any changes other than reductions in quantity, change in price, change from limit order to market order or to market with protection order, require canceling the original order and placing a new order.
- Price Determination
Matching is carried out on a call auction basis at market open. That is, all orders accepted by the system before market open are matched by call auction based on the principles above. The opening price is the price that satisfies the greatest number of trades where buy orders registered with prices higher than the determined price or sell orders with prices lower than the determined price must be all filled, and at least one side of the buy orders and sell orders at the determined price must all be filled.
When more than one prices satisfying with the preceding principles, the price closest to the opening reference price will be the opening price. The opening reference price shall be determined according to the following principles:
(1) The previous regular trading session’s daily settlement price (2) For new products, new contract months, new series of options or contract adjustment, the price shall be determined by the TAIFEX taking account of the price of the underlying index, the estimated index dividend adjustment points, the prices of relevant domestic and global financial instruments, and other relevant information. (3) Upon resumption of trading, the opening reference price shall be the price of the most recently concluded transaction. If there is no the price of the most recently concluded transaction, the opening reference price shall be determined according to the preceding two principles.
Each new order entered into the system goes into the order book for matching.
- Execution Priority for the unfilled order in the order book
Price-time priority: execution priority is given to orders with better bid/ask prices; if the prices are the same, execution priority is given to orders that enter the system earlier.
Note: If the quantity of an order is reduced, the order’s execution priority remains unchanged. If the price is changed, the order is reranked based on the time of the change. Any changes other than reductions in quantity, change in price, change from limit order to market order or to market with protection order, require canceling the original order and placing a new order.
- Price Determination
The determined price shall be the best bid or offer price of the counterparties.
- Matching for Calendar Spread Orders
In the matching of calendar spread orders by the FTS, the FTS does not accept orders prior to market open. Thus no calendar spread orders participate in the matching at market open. Upon receiving a calendar spread order after market open, the FTS matches it either with another calendar spread order or two regular single orders according to price-time priority. For ROD calendar spread orders (limit orders only) which could not be matched the first time, the FTS derives virtual single orders in the regular order books and, at the same time, puts the calendar spread order in the spread order book waiting for matching.
- Matching for Combination Orders
In the matching of combination orders by the OTS, the OTS does not accept orders prior to market open. Thus no combination orders participate in the matching at market open. Upon receiving a combination order after market open, the OTS automatically matches it with regular single orders. After execution, the trading records for two single option series are generated (i.e. component 1 and component 2).