1. Introduction
1.1 Rule 8.2.1 states that the trading hours, market phases, application of the market phases and principles and rules for trade matching, are as published by SGX-ST.
1.2 This Regulatory Notice sets out the trading hours, market phases, application of the various market phases and the principles and rules used by SGX-ST for trade matching.
2. Market Phases
2.1 Pre-Open/Pre-Close
(a) This phase allows order entry, order modification and withdrawal of orders but no matching of orders.
(b) The bid (offer) can be higher (lower) than the offer (bid).
2.2 Non-Cancel
(a) No order entry and amendment are allowed in this phase.
(b) All existing orders that can be matched are matched at a single price according to the algorithm set by SGX-ST.
(c) All unmatched orders are carried over to the next phase unless they expire.
2.3 Trading
(a) This phase allows order entry, order modification and withdrawal of orders.
(b) All orders are matched in accordance with price priority, subject to Rule 8.14, followed by time priority.
2.4 Adjust
(a) An Adjust Phase operates upon the lifting of a suspension of a security or futures contract pursuant to Rule 8.13.7, and may also be applied pursuant to Rule 8.13.2.
(b) The Adjust Phase sets in for 15 minutes unless a longer time is specified.
(c) Orders can be entered, modified or withdrawn.
(d) The bid (offer) can be higher (lower) than the offer (bid).
(e) 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, except in the following scenarios:
(i) When the end of the Adjust Phase coincides with the Opening Routine, Mid-Day Break or Closing Routine. In these circumstances, orders entered are carried forward into and matched accordingly in the respective Opening Routine, Mid-Day Break or Closing Routine.
(ii) When SGX-ST specifies that the Adjust Phase is to be followed immediately by a 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 a Non-Cancel Phase and further specifies that the Non-Cancel Phase will begin from 10:15 hours to 10:16 hours. In this case, the Adjust Phase will end simultaneously with the beginning of the Non-Cancel Phase at any time from 10:15 hours to 10:16 hours. Normal trading will begin at 10:17 hours.
SGX-ST specifies the Adjust Phase is to be followed immediately by a Non-Cancel Phase and further specifies that the Non-Cancel Phase will begin from 10:15 hours to 10:16 hours. In this case, the Adjust Phase will end simultaneously with the beginning of the Non-Cancel Phase at any time from 10:15 hours to 10:16 hours. Normal trading will begin at 10:17 hours.
(iii) When SGX-ST closes the market or suspends trading pursuant to Rule 8.13.1, at the end of the Adjust Phase. In this case, SGX-ST will inform participants on the status of unmatched orders.
2.5 Trade at Close
(a) For each security, this phase will occur only if an Equilibrium Price (as defined in paragraph 4) is determined at the end of the Closing Routine.
(b) This phase allows order entry, withdrawal of orders and order amendment with regard to volume and price, save that any order amendment with regard to price can only be made to the Equilibrium Price determined at the end of the Closing Routine.
(c) Orders may be entered in this phase only at the Equilibrium Price determined at the end of the Closing Routine.
(d) All orders are matched in accordance with time priority, at the Equilibrium Price determined at the end of the Closing Routine.
(e) All unmatched orders are carried over to the next phase unless they expire.
3. Trading hours and application of market phases
3.1 Summary
(a) Normal Day Trading
Opens/Starts at: 08:30 hours
Closes/Ends at: 17:16 hours
Opens/Starts at: 08:30 hours
Closes/Ends at: 17:16 hours
| 08.30 | 08.58-59 | 9.00 | 12.00 | 12.58-59 | 13.00 | 17.00 | 17.04-05 | 17.06 | 17.16 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Pre-Open | Non-Cancel | Trading | Pre-Open | Non-Cancel | Trading | Pre-Close | Non-Cancel | Trade at Close | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Opening Routine | Mid-Day Break | Closing Routine | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(b) Half-Day Trading
Opens/Starts at: 08:30 hours
Closes/Ends at: 12:16 hours
Opens/Starts at: 08:30 hours
Closes/Ends at: 12:16 hours
| 08.30 | 08.58-59 | 9.00 | 12.00 | 12.04-05 | 12.06 | 12.16 | |||||||||||||||||||||||||||||||||||||||||||||||||||
| Pre-Open | Non-Cancel | Trading | Pre-Close | Non-Cancel | Trade at Close | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| Opening Routine | Closing Routine | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
3.2 Opening Routine
(a) The Opening Routine is a 30-minute session before normal trading starts at 09:00 hours. It comprises a Pre-Open Phase and a Non-Cancel Phase.
(b) Pre-Open Phase (08:30 hours to 08:58–59 hours)
(i) This phase begins at 08:30 hours and ends randomly at any time from 08:58 hours to 08:59 hours.
(c) Non-Cancel Phase (08:58–59 hours to 09:00 hours)
(i) This phase begins simultaneously with the end of the Pre-Open Phase, which may be at any time from 08:58 to 08:59 hours.
(ii) The computed price will be the opening price for the day.
(iii) Unmatched orders are carried forward into the morning trading session.
3.3 Trading Session
(a) In normal day trading, there is a morning trading session and an afternoon trading session.
(i) The morning trading session consists of a Trading Phase which begins at 09:00 hours and ends at 12:00 hours.
(ii) The afternoon trading session consists of a Trading Phase which begins at 13:00 hours and ends at 17:00 hours.
(b) In half day trading, there is one trading session which consists of a Trading Phase that begins at 09:00 hours and ends at 12:00 hours.
(c) Unmatched orders after the Trading Phase in the morning trading session (for normal day trading) are carried forward to the Mid-Day Break.
(d) Unmatched orders after the Trading Phase in the afternoon trading session (for normal day trading) and after the Trading Phase (for half-day trading) are carried forward to the Closing Routine.
3.4 Mid-Day Break
(a) The Mid-Day Break is a 60-minute session that begins after the morning trading session ends at 12:00 hours, and ends before the afternoon trading session begins at 13:00 hours. It comprises a Pre-Open Phase and a Non-Cancel Phase.
(b) Pre-Open Phase (12:00 hours to 12:58–59 hours)
(i) This phase will end randomly at any time from 12:58 hours to 12:59 hours.
(c) Non-Cancel Phase (12:58–59 hours to 13:00 hours)
(i) This phase begins simultaneously with the end of the Pre-Open Phase, which may be at any time from 12:58 hours to 12:59 hours.
(ii) The computed price will be the opening price for the afternoon trading session.
(iii) Unmatched orders are carried forward into the afternoon trading session.
3.5 Closing Routine
(a) The Closing Routine is a six-minute session after trading stops at 17:00 hours for normal day trading, or 12:00 hours for half-day trading. It comprises a Pre-Close Phase and a Non-Cancel Phase.
(b) All unmatched orders are carried forward to the Closing Routine at 17:00 hours (for normal day trading) or 12:00 hours (for half-day trading).
(c) Pre-Close Phase (17:00 hours to 17:04–05 hours/12:00 hours to 12:04–05 hours)
(i) This phase will end randomly at any time from 17:04 hours to 17:05 hours (for normal day trading) or 12:04 hours to 12:05 hours (for half-day trading).
(d) Non-Cancel Phase (17:04–05 hours to 17:06 hours/12:04–05 hours to 12:06 hours)
(i) This phase will begin simultaneously with the end of the Pre-Close Phase, which may be at any time from 17:04 hours to 17:05 hours (for normal day trading) or 12:04 hours to 12:05 hours (for half-day trading).
(ii) Unmatched orders are carried forward into the Trade at Close Phase.
(e) The Closing 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.
3.6 Trade at Close Phase
(a) The Trade at Close Phase is a ten-minute session that begins after the Closing Routine ends at 17:06 hours (for normal day trading) and 12:06 hours (for half-day trading).
(b) Unless they expire, unmatched orders after the Trade at Close Phase will remain in the order book and will be carried forward to the Opening Routine of the next Market Day.
4. Algorithm used by SGX-ST to compute the single price at which orders at the end of the Opening Routine, Mid-Day Break, Closing Routine and Adjust Phase are matched
The methodology for computing the single price at which orders are matched ("Equilibrium Price") at the end of the Opening Routine, Mid-Day Break, Closing Routine and Adjust Phase is as follows1:
The methodology for computing the single price at which orders are matched ("Equilibrium Price") at the end of the Opening Routine, Mid-Day Break, Closing Routine and Adjust Phase is as follows1:
4.1 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
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 (b).
Example 1
| Bid Volume | Price | Ask Volume | Cumulative Bid Volume (a) | Cumulative Ask Volume (b) | Tradable Volume | Imbalance (a)–(b) | Pressure |
| 90 | 3.810 | 20 | 90 | 250 | 90 | 160 | Sell |
| 30 | 3.800 | 40 | 120 | 230 | 120 | 70 | Sell |
| 70 | 3.790 | 30 | 190 | 190 | 190 | 0 | Nil |
| 100 | 3.780 | 80 | 290 | 160 | 160 | 130 | Buy |
| 50 | 3.770 | 50 | 340 | 80 | 80 | 260 | Buy |
| 0 | 3.760 | 20 | 340 | 30 | 30 | 310 | Buy |
| 0 | 3.750 | 10 | 340 | 10 | 10 | 330 | Buy |
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 (b).
4.2 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
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 paragraph (4.3).
If the highest tradable volume and lowest imbalance occur at more than one price the algorithm will then consider market pressure, see paragraph (4.4).
Example 2
| Bid Volume | Price | Ask Volume | Cumulative Bid Volume (a) | Cumulative Ask Volume (b) | Tradable Volume | Imbalance (a)–(b) | Pressure |
| 90 | 3.810 | 20 | 90 | 270 | 90 | 180 | Sell |
| 30 | 3.800 | 40 | 120 | 250 | 120 | 130 | Sell |
| 70 | 3.790 | 20 | 190 | 210 | 190 | 20 | Sell |
| 100 | 3.780 | 110 | 290 | 190 | 190 | 100 | Buy |
| 50 | 3.770 | 50 | 340 | 80 | 80 | 260 | Buy |
| 0 | 3.760 | 20 | 340 | 30 | 30 | 310 | Buy |
| 0 | 3.750 | 10 | 340 | 10 | 10 | 330 | Buy |
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 paragraph (4.3).
If the highest tradable volume and lowest imbalance occur at more than one price the algorithm will then consider market pressure, see paragraph (4.4).
4.3 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 3.
Example 3
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.
Example 3
| Bid Volume | Price | Ask Volume | Cumulative Bid Volume (a) | Cumulative Ask Volume (b) | Tradable Volume | Imbalance (a)–(b) | Pressure |
| 30 | MKT | 30 | 20 | 20 | 10 | Buy | |
| 3.810 | 30 | 20 | 20 | 10 | Buy | ||
| 10 | 3.800 | 40 | 20 | 20 | 20 | Buy | |
| 3.790 | 40 | 20 | 20 | 20 | Buy | ||
| 10 | 3.780 | 50 | 20 | 20 | 30 | Buy | |
| 3.770 | 10 | 50 | 20 | 20 | 30 | Buy | |
| 3.760 | 50 | 10 | 10 | 40 | Buy | ||
| 3.750 | 10 | 50 | 10 | 10 | 40 | Buy | |
| MKT | 50 | 0 |
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.
4.4 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 4.
Buy (sell) pressure occurs when the cumulative bid (offer) volume is greater than the cumulative offer (bid) volume at a particular price.
Example 4
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.
Example 4
| Bid Volume | Price | Ask Volume | Cumulative Bid Volume (a) | Cumulative Ask Volume (b) | Tradable Volume | Imbalance (a)–(b) | Pressure |
| 90 | 3.810 | 20 | 90 | 250 | 90 | 160 | Sell |
| 30 | 3.800 | 40 | 120 | 230 | 120 | 110 | Sell |
| 90 | 3.790 | 0 | 210 | 190 | 190 | 20 | Buy |
| 0 | 3.780 | 110 | 210 | 190 | 190 | 20 | Buy |
| 50 | 3.770 | 50 | 260 | 80 | 80 | 180 | Buy |
| 0 | 3.760 | 20 | 260 | 30 | 30 | 230 | Buy |
| 0 | 3.750 | 10 | 260 | 10 | 10 | 250 | Buy |
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.
4.5 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:
Example 5
In this example, assuming that the last traded price was $3.800, the Equilibrium Price is $3.790.
(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 5.
Example 5
| Bid Volume | Price | Ask Volume | Cumulative Bid Volume (a) | Cumulative Ask Volume (b) | Tradable Volume | Imbalance (a)–(b) | Pressure |
| 90 | 3.810 | 20 | 90 | 270 | 90 | 180 | Sell |
| 30 | 3.800 | 40 | 120 | 250 | 120 | 130 | Sell |
| 90 | 3.790 | 0 | 210 | 210 | 210 | 0 | Nil |
| 0 | 3.780 | 130 | 210 | 210 | 210 | 0 | Nil |
| 50 | 3.770 | 50 | 260 | 80 | 80 | 180 | Buy |
| 0 | 3.760 | 20 | 260 | 30 | 30 | 230 | Buy |
| 0 | 3.750 | 10 | 260 | 10 | 10 | 250 | Buy |
In this example, assuming that the last traded price was $3.800, the Equilibrium Price is $3.790.
Added on 3 June 20193 June 2019 and 3 June 20193 June 2019.
1 The examples shown are not exhaustive.