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Practice Note 8.2.1 — Application of Market Phases and Algorithm
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Rule Amendments

Practice Note 8.2.1 — Application of Market Phases and Algorithm

Current version: effective from Sep 16 2016 - Nov 12 2017.
Amendments have been announced but are not yet effective. To view other versions open the versions tab on the right.

Issue Date Cross Reference Enquiries
Amended on 17 February 2012, 15 April 2013, 24 February 2014 and 16 September 2016. Rules 8.2.18.2.3 Please contact Securities Market Control:—

Email: securities.mc@sgx.com

1 Introduction

1.1 This Practice Note explains the application of the various market phases and the algorithm used by SGX-ST in computing the single price for the Opening Routine, Closing Routine and Adjust Phase.
1.2 Rule 8.2.1 says the trading hours and the application of the market phases are as published by SGX-ST.
1.3 Rule 8.2.1 says SGX-ST may vary the trading hours and application of the market phases.
1.4 Rule 8.2.2 sets out the various market phases.

Amended on 16 September 2016.

2 Application of Market Phases

2.1 Summary of Market Phases
(1) Normal Day Trading



* Please see Point 2.2(2) and (3).
** Please see Point 2.5(3) and (4)
(2) Half-Day Trading



* Please see Point 2.2(2) and (3).
** Please see Point 2.5(3) and (4)

Amended on 1 August 2011, 26 September 2011 and 15 April 2013.

2.2 Opening Routine
(1) The Opening Routine is a 30-minute session before normal trading starts at 09:00 hours. It comprises the Pre-Open Phase and the Non-Cancel Phase.
(2) Pre-Open Phase (08:30 to 08:58–59 hours)
(a) Orders can be entered, modified or withdrawn in the ready and unit share markets.
(b) The bid (offer) can be higher (lower) than the offer (bid).
(c) No matching of orders.
(d) This phase will end randomly at any time from 08:58 to 08:59 hours.
(3) Non-Cancel Phase (08:58–59 to 09:00 hours)
(a) This phase will begin immediately after the Pre-Open Phase ends, which may be at any time from 08:58 to 08:59 hours.
(aa) No input, amendment and withdrawal of orders.
(b) Orders that can be matched are matched at a single price computed based on an algorithm set by SGX-ST. The computed price will be the opening price for the day.
(c) Unmatched orders are carried forward into the morning trading session.

Amended on 26 September 2011 and 15 April 2013 and 16 September 2016.

2.3 Trading Phase
(1) The Trading Phase will be from 09:00 to 17:00 hours.
(2) The Trading Phase allows order entry, order modification and withdrawal of orders. Orders are matched in the order of price priority followed by time priority.
(3) All unmatched orders after the Trading Phase are carried forward to the Closing Routine.

Amended on 1 August 2011 and 16 September 2016.

2.4 Adjust Phases
(1) An Adjust Phase operates upon the lifting of a suspension of a security or Futures Contract pursuant to Rule 8.10.6 and may also be applied pursuant to Rule 8.10.1A.

(a) The Adjust Phase sets in for 15 minutes. A longer time can be specified.
(b) Orders can be entered, modified or withdrawn for the ready and unit share markets.
(c) The bid (offer) can be higher (lower) than the offer (bid).
(d) Orders that can be matched will be matched at the end of the Adjust Phase at a single price computed based on an algorithm set by SGX-ST before normal trading resumes. Unmatched orders at the end of the Adjust Phase are carried forward into the phase of the market applicable when the Adjust Phase ends.
(2) However, the behaviour in paragraph 2.4(1)(d) does not apply in the following scenarios:

(a) When the end of the Adjust Phase coincides with the Opening Routine or Closing Routine. In these circumstances, orders entered are carried forward into and matched accordingly in the respective Opening Routine or Closing Routine.
(b) When SGX-ST specifies that the Adjust Phase is to be followed immediately by the Non-Cancel Phase. In these circumstances, the Non-Cancel Phase will begin simultaneously with the end of the Adjust Phase, which may be at any time within a one minute window. Orders are carried forward into the Non-Cancel Phase. Orders that can be matched will be matched at a single price computed based on an algorithm set by SGX-ST before normal trading resumes. Unmatched orders at the end of the Non-Cancel Phase are carried forward into the phase of the market applicable when the Non-Cancel Phase ends.

For illustrative purposes only:



SGX-ST specifies the Adjust Phase is to be followed immediately by the Non-Cancel Phase and further specifies that the Non-Cancel Phase will begin from 10:15h to 10:16h. In this case, the Adjust Phase will end simultaneously with the beginning of the Non-Cancel Phase at any time from 10:15h to 10:16h. Normal trading will begin at 10:17h.
(c) When SGX-ST closes the market or suspends trading pursuant to Rule 8.10.1, at the end of the Adjust Phase.
(3) [Deleted]

Amended on 1 August 2011 and 15 April 2013 and 16 September 2016.

2.5 Closing Routine
(1) The Closing Routine is a 6-minute session after trading stops at 17:00 hours for normal day trading, or 12:30 hours for half-day trading. It comprises the Pre-Close Phase and the Non-Cancel Phase.
(2) All unmatched orders are carried forward to the Closing Routine at 17:00 hours (for normal day trading) or 12:30 hours (for half-day trading).
(3) Pre-Close Phase (17:00 to 17:04–05 hours/12:30 to 12:34–35 hours)
(a) Orders can be entered, modified or withdrawn in the ready and unit share markets.
(b) The bid (offer) can be higher (lower) than the offer (bid).
(c) No matching of orders.
(d) This phase will end randomly at any time from 17:04 to 17:05 hours (for normal day trading) or 12:34 to 12:35 (for half-day trading).
(4) Non-Cancel Phase (17:04–05 to 17:06 hours/12:34–35 to 12:36 hours)
(a) This phase will begin immediately after the Pre-Close Phase ends, which may be at any time from 17:04 to 17:05 hours (for normal day trading) or 12:34 to 12:35 (for half-day trading).
(aa) No input, amendment and withdrawal of orders.
(b) Orders that can be matched are matched at a single price computed based on an algorithm set by SGX-ST. Unless otherwise specified, the computed price will be the closing price for the day.
(c) [Deleted]
(5) This routine is designed to reduce the risk of manipulating closing prices with a single transaction at an unusually high or low price, just before the trading session ends.

Amended on 26 September 2011 and 15 April 2013 and 24 February 2014 and 16 September 2016.

3 Algorithm Used by SGX-ST to Compute the Single Price at Which Orders at the End of the Opening Routine, Closing Routine and Adjust Phase are Matched

3.1 The methodology for computing the single price at which orders at the end of the Opening Routine, Closing Routine and Adjust Phase are matched (“Equilibrium Price”) is as follows1:—
(1) The Equilibrium Price is the price that has the largest tradable volume and the lowest imbalance. “Imbalance” refers to the net difference between the cumulative bid volume and cumulative ask volume. See Example 1.

Example 1

Bid Volume Price Ask Volume Cumulative Bid Volume (a) Cumulative Ask Volume (b) Tradable Volume Imbalance (a)-(b) Pressure
0 3.750 10 340 10 10 330 Buy
0 3.760 20 340 30 30 310 Buy
50 3.770 50 340 80 80 260 Buy
100 3.780 80 290 160 160 130 Buy
70 3.790 30 190 190 190 0 Nil
30 3.800 40 120 230 120 70 Sell
90 3.810 20 90 250 90 160 Sell
In this example, the Equilibrium Price is $3.790 where the tradable volume is the largest and the imbalance is the lowest. If the highest tradable volume occurs at more than one price the algorithm will then consider imbalance, see sub-paragraph (2).
(2) If the highest tradable volume occurs at more than one price the Equilibrium Price is the price with the lowest imbalance. See Example 2.

Example 2

Bid Volume Price Ask Volume Cumulative Bid Volume (a) Cumulative Ask Volume (b) Tradable Volume Imbalance (a)-(b) Pressure
0 3.750 10 340 10 10 330 Buy
0 3.760 20 340 30 30 310 Buy
50 3.770 50 340 80 80 260 Buy
100 3.780 110 290 190 190 100 Buy
70 3.790 20 190 210 190 20 Sell
30 3.800 40 120 250 120 130 Sell
90 3.810 20 90 270 90 180 Sell
In this example, the Equilibrium Price is $3.790 where the tradable volume is the largest (190) and the imbalance is the lowest (20).

If market orders are present a situation may arise in which the lowest imbalance occurs at “Market Price”, see sub-paragraph (2A).

If the highest tradable volume and lowest imbalance occur at more than one price the algorithm will then consider market pressure, see sub-paragraph (3).
(2A) If market orders are present and the market order volume on one side exceeds the cumulative order volume on the opposite side there would be a Market Order Surplus. This means that the lowest imbalance occurs at “Market Price”. In this situation, one tick will be added on the side with the Market Order Surplus and that would be the Equilibrium Price. See Example 2A.

Example 2A

Bid Volume Price Ask Volume Cumulative Bid Volume (a) Cumulative Ask Volume (b) Tradable Volume Imbalance (a)-(b) Pressure
  MKT   50 0      
  3.750 10 50 10 10 40 Buy
  3.760   50 10 10 40 Buy
  3.770 10 50 20 20 30 Buy
10 3.780   50 20 20 30 Buy
  3.790   40 20 20 20 Buy
10 3.800   40 20 20 20 Buy
  3.810   30 20 20 10 Buy
30 MKT   30 20 20 10 Buy


In this example, the lowest imbalance (10) occurs where market order bid volume (30) exceeds cumulative ask volume (20). One tick has therefore been added on the bid side, and the Equilibrium Price is $3.810.
(3) If the highest tradable volume and lowest imbalance occur at more than one price (“the price overlap”) the Equilibrium Price is determined by market pressure:
(a) with only buy pressure within the price overlap, the Equilibrium Price is the highest price within the price overlap, or
(b) with only sell pressure within the price overlap, the Equilibrium Price is the lowest price within the price overlap. See Example 3.
Buy (sell) pressure occurs when the cumulative bid (offer) volume is greater than the cumulative offer (bid) volume at a particular price.

Example 3

Bid Volume Price Ask Volume Cumulative Bid Volume (a) Cumulative Ask Volume (b) Tradable Volume Imbalance (a)-(b) Pressure
0 3.750 10 260 10 10 250 Buy
0 3.760 20 260 30 30 230 Buy
50 3.770 50 260 80 80 180 Buy
0 3.780 110 210 190 190 20 Buy
90 3.790 0 210 190 190 20 Buy
30 3.800 40 120 230 120 110 Sell
90 3.810 20 90 250 90 160 Sell
In this example there is only buy pressure in price overlap, the Equilibrium Price is $3.790 which is the highest price in the price overlap.
(4) If the highest tradable volume and lowest imbalance occur at more than one price and there is both buy and sell pressure or nil pressure within the price overlap, the Equilibrium Price is:
(a) the price within the price overlap that is the closest to the last traded price, or
(b) where there is no last traded price, the lowest price within the price overlap.
See Example 4.

Example 4

Bid Volume Price Ask Volume Cumulative Bid Volume (a) Cumulative Ask Volume (b) Tradable Volume Imbalance (a)-(b) Pressure
0 3.750 10 260 10 10 250 Buy
0 3.760 20 260 30 30 230 Buy
50 3.770 50 260 80 80 180 Buy
0 3.780 130 210 210 210 0 Nil
90 3.790 0 210 210 210 0 Nil
30 3.800 40 120 250 120 130 Sell
90 3.810 20 90 270 90 180 Sell
In this example, assuming that the last traded price was $3.800, the Equilibrium Price is $3.790.

Amended on 15 August 2011, 17 February 2012.


1 The examples shown are not exhaustive.