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Regulatory Notice 4.1.6 — Trade Matching Algorithms Applicable to the SGX-DT Market

Past version: Effective up to 13 Nov 2016

Issue Date Cross Reference Enquiries
Added on
22 September 2006.
Rule 4.1.6 Please contact Product Management:
Telephone No. : 6236 5308

1. Introduction

1.1 This Regulatory Notice deals with trade matching algorithms applied to Contracts traded on the SGX-DT Market.

2 Trade Matching Algorithms for the SGX-DT Market

2.1 The Exchange may adopt any one (1) or more of the four (4) algorithms described below to match and allocate orders for Contracts traded on the SGX-DT Market.
(a) Price/Time Priority Allocation. Orders at the best price (i.e. highest bid/lowest offer) would receive priority over other orders in the same Contract Month/spreads. Orders entered at the same price will then be matched based on time priority.
(b) Price Point Maker Allocation ("PPM"). Orders which are the first to improve the prevailing bid/offer prices (known as orders with price point maker status) would receive priority over other orders at the same price.
(c) Market Maker Allocation ("MM"). Orders of designated market makers would receive priority over other orders at the same price.
(d) Pro-Rata Order and Matching Allocation ("Pro-Rata Order"). Orders entered at the same price would be matched based on the orders' volume contribution to the aggregate volume of all resting orders at that price.
2.2 All orders entered into QUEST will be matched in a manner that gives priority to price; i.e. orders at the best price (highest bid/lowest offer) receive priority over other orders in the same Contract Month/spreads.
2.3 For orders at the same price point, the time priority would apply; i.e. orders entered into QUEST at the same price will be matched based on time priority, unless any one (1) or more of the trade matching algorithms (PPM, MM and Pro-Rata Order) is applicable.
2.4 If any one (1) or more of the PPM, MM and/or Pro-Rata Order algorithms is applicable, orders at the same price point would be matched and allocated such that orders with price point maker status, or orders of a designated market maker, or Pro-Rata Orders (as the case may be), would receive priority over other orders entered earlier in time. The priority between the PPM, MM and/or Pro-Rata Order (if more than one (1) trade matching algorithm is applicable) will be notified via a Regulatory Notice.