In line of the objectives assumed by Bucharest Stock Exchange (BVB) to create the conditions for the improvement of the market quality as well as to stimulate the market liquidity, BVB will implement starting with February 23, 2015 a new trading model, named the auction model, that will be applied for a list of shares traded on the regulated market, selected according to the criteria set by BVB.
The new approach to trades execution will consist in the availability of two trading models for the shares traded on the regulated market: continuous model (the current trading model) and auction model. A share may be traded only in one trading model.
The auction model is a new trading model and it consists in distinct sessions for introducing and administration of orders, without the registration of trades, even if the execution conditions are met, every of these being followed by a session in which the fixing algorithm is applied and the trades are registered, if the execution conditions are fulfilled.
The auction model enhances the trading in the shares with lower liquidity and it facilitates the determination of the trading prices, offering a structure that provides a balanced method for price discovery. The model is based on the concentration of orders (representing the liquidity available) at the specific points in time during a trading session.
Auction model – how it works
- the auction model will be applied only in the main market, for the selected shares, according to the criteria specified below. The trading program applied for the auction model will be the following:
Period of time | Market stage |
9:30 – 12:15 | Pre-Open |
12:15 | Opening (fixing) |
12:15 – 12:45 | Trading at last |
12:45 – 17:50 | Pre-closed |
17:50 | Closing (fixing) |
17:50 – 18:00 | Trading at last |
18:00 | Closed |
- the first session of Trading at last will be based on the price determined through the fixing algorithm in the Opening stage, the execution of the trades being allowed exclusively at the respective price.
- when a price will not be determined through the fixing algorithm in the first auction session, the symbol-market will remain in the Pre-open stage, until the automatically moving in the Pre-closed stage, according to the trading program set.
Selection criteria applied for shares eligible for the auction model
BVB will evaluate periodically the opportunity to allocate shares to the auction model or to reallocate shares from the auction model to the continuous trading model or to maintain shares to trading based on auction model, according to the selection criteria considered by BVB. This model will be applied only for the Romanian companies’ shares. BVB will publicly disclose the specific information corresponding to each review.
The selection of the shares for the auction model will be based on the quantitative criteria, such as: average value traded, average number of trades, frequency of trading.
BVB will disseminate on February 12, 2015 the list of shares allocated for the auction model, according to the assessment of the criteria considered, that will be carried out based on the data registered in the last quarter (November 2014 – January 2015).
The minimum period for which a share will be tradable in the auction system is 3 months.