Launch date: 06/01/2015
International practice shows a relatively greater interest in the market from institutional investors during the opening, intraday or closing auction in the anonymous trading.
Opening auction available in the main trading mode T+:
- Equities, foreign equities, depository receipts, mutual funds, ETF (in the T+2 order book)
- OFZ (in the T+1 order book)
Advantages of the opening auction:
Reducing the effect of non-simultaneity output of market participants for trading: the auction opening allows one to accumulate orders to calculate the effective price to meet the requests of the first trading day
Trading mode: "Main trading mode T+"
The timing of opening auction in the "order books" T+1 and T+2: 09:50:00-09:59:59:
- Collection period for orders: 09:50:00-09:59:30
- The phase of accidental end of the auction: 09:59:31-09:59:59. Duration is determined randomly for each security in the range of 1-29 seconds.
- Determination of prices and striking of the deals: 09:59:30-09:59:59. At the last second phase of the random completion of the auction.
Participants have the opportunity to submit limit orders and market orders.
Market orders have the highest priority of execution compared with limit orders.
The algorithm for determining the price of opening auction.
- On the basis of limit orders the aggregate demand (number of securities) is calculated in order of decreasing prices cumulatively for each value price and aggregate supply (amount of securities) is calculated in order of increasing prices cumulatively for each value price. Each aggregated demand / supply volume is added to the existing market orders at the current price.
- For each value the price is determined by the possible number of securities that may be the subject of transactions, as a minimum of two values - the value of aggregate demand and aggregate supply quantities specified in Step 1
- Determined the values of the price, which provides a conclusion of the maximum possible volume of transactions in lots
- If these conditions are satisfied by more than one value price, then the price at which the amount of imbalance (in lots) is minimal is selected
- If these conditions are satisfied by more than one value price, the price based on "market pressures" (a sign of imbalance) - imbalance in the demand side - the highest price, imbalance in the supply side - the minimum price is selected
- If these conditions are met by several price values, the price closest to the closing price of the previous day is selected. If there are several prices, the bigger price is taken.
Price controls of the opening auction:
- The static range of permissible price of the orders, defined by NCC with respect to the settlement price: ≈ ± (0,5 * the rate of market risk) from the settlement price, but no more ± 40% of the settlement price
- The dynamic range of acceptable values of orders prices, determined relatively to the closing price of the previous day's ± limiting size of orders price deviation:
± 10% for securities from the closing price of the previous day