Opening auction

The Derivatives Market is to roll out an Opening Auction mechanism in December 2022
  • The Opening Auction allows a representative price to be set at the start of trading and reduces the negative impact of rising volatility at the market open. A similar mechanism has been introduced in the Equity & Bonds as well as FX Markets.

  • Auction times

  • Collection of bids

  • Auction procedure

  • Fees

  • Opening price algorithm

Auction times

  • Before the start of the morning trading session
  • Collection period: from 8:50:00 to a random time between 08:59:01 and 08:59:50 MSK
  • Auction period (setting the opening price and execution of trades) - after the end of the auction and until 9:00:00 MSK

Collection of bids

  • The auction is for futures only; options and calendar spreads are not available.
  • Allowed types of orders in the auction: Limit and Iceberg orders only (the full quantity of the order, not just the visible part is in the auction). Book-or-Cancel, FOK, IOC, as well as negotiated orders are not accepted.
  • Order book orders resting from the evening session are in the auction, including Iceberg and Book-or-Cancel orders.
  • In the bid collection period, members see the book with orders in the auction.
  • Prices are controlled according to the price limits of the instruments. The price limits do not change throughout the auction.
  • Cross orders control: crossing price levels of opposite orders with the same TIN is not allowed (the later order is rejected), and the "Allow cross trades" and "Cancel resting order when cross trades" settings are not taken into account.
  • After the end of the collection period and before the end of the auction, no transactions with the orders are allowed, including cancellation.

Auction procedure

  • The opening price is set so as to minimise the imbalance between supply and demand.
  • If the best bid is less than the best offer, the opening price is not set.
  • Once the opening price is determined, trades are executed (on bids with the price >= opening price, on offers with the price <= opening price).
  • The opening price for the instruments for which the auction took place is transmitted in the trading system's interfaces.
  • After the auction is held and trades are executed at the opening price, the remaining orders are matched based on synthetic liquidity from calendar spreads. The prices of trades including synthetic matching may differ from the opening price. In the event of cross trading requirements are not met at this stage, calendar spreads orders are cancelled.
  • Orders not filled at the auction are carried over to the morning trading session.


  • The fees in force from time to time apply auction trades. The taker fee applies to trades arising from orders submitted later than the counterparty order.

Opening price algorithm

Step 1. The following values are calculated based on the orders prices: an aggregate demand (number of contracts) in descending price order cumulatively for each price value and an aggregate supply (number of contracts) in ascending price order cumulatively for each price value.

Step 2. The number of contracts that can be transacted is determined for each price value as the minimum of the two values, the aggregate demand and the aggregate supply, at each price level determined in Step 1.

Step 3. A price value is determined that provides the maximum possible trading volume of the contracts.

Step 4. If more than one price satisfies these conditions, the price at which the volume of imbalance is modulo minimal is chosen. The imbalance is the difference between total aggregate demand and total aggregate supply at each price level.

Step 5. If more than one price satisfies these conditions, the lowest price is chosen when there is a supply surplus (imbalance at each price level <0), or the highest price is chosen when there is a demand surplus (imbalance at each price level >0).

Step 6. If no price is set at Step 5, the price closest to the price of the last trade is selected. If there have been no trades since clearing, the price closest to the estimated price of the last clearing is used.

Step 7. If no price is set at Step 6 because the price of the last trade is equally distant from the price levels, the higher of the prices is chosen as the opening auction price.