Order Types

Posted By Steve On Monday, July 19th, 2010 With 0 Comments

Order Types on the Australian Securities Exchange (ASX)

Centre Point Order (Market and Limit)
Allows for trades to execute at the prevailing midpoint of the best bid and offer on ASX’s Central Limit Order Book (CLOB). These are anonymous orders that will only match with other Centre Point Orders and do not trade against the CLOB allowing for off-tick trading up to four decimal places. Day orders are only permitted and there is no minimum order size. Orders are pegged to the current price of the ASX CLOB and are reported under code CX in the CLOB Course of Sales upon execution. Centre Point trades are included in VWAP, Volume, Value, Open, High, Low and Close figures and settle the same way as all other ASX equity trades do. These order types offer price improvement and anonymity.

Centre Point Crossing
Allows for crossing at the current best bid and offer in the ASX CLOB removing the ACE requirement (Appear, Create before Executing). Upon initiating a cross it is active for up to 30 seconds at the price it was initiated at even if the CLOB price moves away during that period. Centre Point Crossing orders are anonymous (i.e. not seen in CLOB), day orders with no minimum order size and allow for 4 decimal off-tick executions. Trades are immediately reported to the Course of Sales under code CXXT where clearing and settling are like any other ASX equity trade. This order type is included in VWAP, Volume, Value, Open, High, Low and Close information. These order types offer price improvement and anonymity.

Undisclosed Order
This order type discloses the execution price but not the volume traded against the CLOB in price then time priority. Minimum order size is A$500,000 and can be GTC, FaK, day or any other valid order condition. When an Undisclosed order is partially filled and the remaining quantity is less than A$500,000 the shares remaining will be revealed without affecting queue priority. The ASX Participant will see the actual quantity displayed with a “/u” to denote it is Undisclosed. Other participants will see a “/u” only in the quantity field. Trades are immediately reported to the Course of Sales under code CXXT and clearing and settling like any other ASX equity trade. Trades using this order type are included in VWAP, Volume, Value, Open, High, Low and Close information. The advantage of this order type is to indicate size commitment and and attempt to attract the other side of the trade. Useful in liquid names to jump the queue.

Iceberg Order
Allows for large orders to be sent to the CLOB as smaller limit (no market) orders. Once the smaller or child order is filled a new child order is sent where it is subject to price / time priority repeating until the order is complete. The Iceberg order has a ‘Show’ quantity – the child order that goes to the CLOB and a ‘Total’ quantity which is not known to the market. Show orders must be at least 5,000 shares with no maximum on the Total quantity, however, the Total quantity can’t be more than 100 times the Shown quantity. Executions are reported in the CLOB Course of Sales and are included in VWAP, Volume, Value, Open, High, Low and Close data. These trades settle the same way as all other ASX equity trades.

VolumeMatch
Is a large order execution facility available from 10:30 to 15:30. Participants interact anonymously at a predetermined price and minimum quantity as calculated by VolumeMatch in 3 minute mini sessions. During the mini session the Equilibrium Price (EP) is derived from the CLOB either at the last price or a mid point of the bid and ask. You can only cross at that price during the mini session. VolumeMatch calculates a minimum Equilibrium Price Quantity (EPQ) that orders must meet in order to qualify to match in the mini session. Its like an opening auction running every three minutes. Minimum order sizes are A$1,000,000 and minimum trades are A$500,000. Remaining orders under A$500,000 will be removed from the VolumeMatch Book. Trades are immediately reported to the Course of Sales and clearing and settling like any other ASX equity trade. This order type is included in Volume, Value, Open, High, Low and Close information but not included in VWAP. These order types offer price improvement and anonymity for large trades.

It should be noted that the ASX conducts checks on Participants who have both agency and non-agency businesses. As such an ASX certification must be undertaken to ensure segregation of prop and agency flows before accessing VolumeMatch.

Further information about these order types can be found at http://www.asx.com.au/asxtrade

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