Pre-market Opening Period
For HSI, MHI & HHI Futures Markets only:
Order Placements
The main objective of the pre-market mechanism is to establish the Calculated Opening Price (COP) before market open, so as to establish an orderly market open and enhance market efficiency.
Three trading sessions, namely the Pre-Opening Session, the Pre-Open Allocation Session and the Open Allocation Session, have been defined before market open for markets with Pre-market Opening Activities.
Session 1 (Pre-Opening)
• Users can place new, change or cancel Auction Orders, Limit Orders, and Inactive Orders. Most order types can be entered except Combinations and Bulletin Board orders.
• Long orders (GTC orders) from the previous trading day are included and open to be matched during the Pre-market Opening Period.
• Combination series will not be included in this session.
• Once the Calculated Opening Price (COP) is determined, it will be displayed in CLICK Trade windows. For algorithm of determining the COP, refer to Calculating COP in the later section.
• Both limit orders and auction orders can affect the COP.
Session 2 (Pre-Open Allocation)
• Only auction orders can be entered.
• Orders cannot be cancelled or changed.
• Only new auction orders can affect COP.
• Bulletin Board & Combination orders are not allowed.
Session 3 (Open-Allocation)
• Orders will be matched at the COP, if any, at the end of this session.
• Remaining unmatched orders will be converted as described below.
• For those orders that are matched at COP, “AUC” will be marked in the Deal Src column of Ticker window, Company Trades window and Clearing Trades window.
• Users are not able to add, change or cancel orders. The schedule of Pre-market Opening mechanism is summarized in the following table1:
Session Time(Morning Session) Time(Afternoon Session) Duration(Minutes)
Pre-Opening 9:15 – 9:41 14:00 – 14:26 26
Pre-Open Allocation 9:41 – 9:43 14:26 – 14:28 2
Open-Allocation 9:43 – 9:45 14:28 – 14:30 2
Order Types during the Pre-Market Opening
1. Auction Orders
Auction Orders are placed without a limit price and only allowed in the premarket opening period. If users enter an auction order, that means they are prepared to buy or sell at the COP. All Auction Orders will be displayed and matched in time priority basis.
Auction Orders will be displayed as COP or as “AO” if there is no COP in windows including Order Depth window, Price Depth window and Price Information window.
Unmatched Auction Orders will be converted after Open Allocation session in the following one or more attribute(s):
• If an Auction Order is partially filled at COP, the remaining quantity will be converted into a Limit Order at COP.
• If any Auction Orders are unmatched, and there is a COP, the Auction Orders will be converted to Limit Orders at COP.
• If any Auction Orders are unmatched, and there is no COP, the Auction Orders will be converted to Limit Orders at best BID and ASK prices.
• If any Auction Orders are unmatched, and there is no COP and no BID and ASK prices in the market, the Auction Orders will be put as inactive in the Order Book.
The priority of the converted Limit Orders will be according to the time when the original Auction Order was placed. Also, there will be an indicator in the Order Book or Order History window showing that the order have been converted or inactivated. All converted or inactivated orders will be valid until the end of the trading day.
2. Limit Orders
Limit Orders will be matched as much as possible automatically if it is at COP or better. For those limit orders with a bid higher or ask lower than the COP, it will be displayed as the COP. Any unmatched Limit Orders will remain as Limit Orders after the Open Allocation session.
3. Inactive Orders
Users can enter inactive orders by using the Enter Order window during the Pre-Market Opening Period. However, inactive orders are only allowed to be activated during the Pre-Opening Session or after market open.
Calculating COP
The COP is calculated every time an order is placed in the market and it will be displayed in the “EP” column of the Price Information Window. The COP is calculated according to the rules defined below:
1. The COP cannot fall outside the best bid and offer of unfilled orders, though it can be equal to the bid or offer;
2. If more than one price satisfy rules 1 above, the COP will be the price with the number of matched contracts is maximized;
3. If more than one price satisfy the rules 1 & 2 above, the COP will be the price at which the normal order imbalance2 is the lowest;
4. If more than one price satisfy the rules 1 - 3 above, the COP will be the price at which the associated crossed qty is the highest;
5. If more than one price satisfy 1 - 4 above, the COP will be the price closest to the settlement price of previous trading section;
6. If more than one price satisfy 1 - 5 above or if no settlement price is defined, the highest price will be chosen;