The main trading session in continuous trading shall consist of the opening auction, continuous trading, intraday auction and the closing auction.
Opening auction consists of a call phase and price determination phase.
All orders remaining from the preceding day and still valid or entered on the given trading day, take part in this auction unless their execution is specifically restricted to the intraday or closing auction. Iceberg orders can take part in all auctions with their overall size, including the opening auction.
During call phase, the market participants may enter new orders and quotes and change or delete previously placed own orders. Market makers may as well enter or delete their bid and ask quotes. In order to avoid price manipulation, the call phase is ended randomly. The random end may take 15 seconds at most.
The call phase is followed by the price determination phase. Price determination takes only a few seconds. The auction price is determined on the basis of the order book situation at the end of the call phase according to the principle of executing as many orders as possible.
Continuous trading starts after the opening auction ends. Any new incoming limit or market order and every new quote is examined immediately to determine whether it can be matched against orders on the opposite side of the market. Orders are executed according to price and time priority.
An order may be fully executed or partially executed (both in one or several steps), or not at all.
As orders are sorted by price and time, buy orders with a higher limit take precedence over buy orders with lower limits. Conversely, sell orders with a lower limit take precedence over sell orders with higher limits. Time is used as the second criterion when several orders have the same limit. In this case, orders that were entered earlier take precedence. Market orders take precedence in the order book over limit orders. The rule of time priority also applies to market orders.
An intraday auction interrupts continuous trading at a predefined time. The intraday auction has the same phases and characteristics as opening auction.
After the end of intraday auction, continuous trading resumes.
Continuous trading is followed by a closing auction that has the same phases and characteristics as opening auction.
Auction Price Determination
Price determination refers to opening auction, intraday auction, closing auction and volatility interruption.
Auction price shall be determined according to the order book status at the end of the call phase by selecting the price at which the maximum volume may be closed at the minimum surplus. The time priority rule ensures that not more than one order with an auction price limit is partially executed. If there is more than one price at which the maximum volume may be closed with equal surplus, the surplus volume shall also be taken into account.
If the auction price cannot be determined based on the surplus, the reference price shall be taken as an additional criterion.
If the order book is not crossed and there can be no transactions, the auction price cannot be determined either.