Derivatives

Posted By Steve On Sunday, October 11th, 2009 With 0 Comments

STOCK EXCHANGE OF HONG KONG FUTURES TRADING INFORMATION

Hong Kong Futures Automatic Trading System (HKATS)

Futures Contracts

  • Hang Seng Index Futures
  • H-shares Index Futures
  • Mini-Hang Seng Index Futures
  • Mini H-shares Index Futures
  • Hang Seng Index Options (Including Flexible Index Options)
  • H-shares Index Options (Including Flexible Index Options)
  • Mini-Hang Seng Index Options
  • Dividend Futures
  • HSI Volatility Index Futures
  • CES China 120 Index Futures
  • BRICS Futures (IBOVESPA/MICEX/S&P BSE SENSEX Index/FTSE/JSE Top40)
  • Stock Futures
  • HIBOR Futures
  • Three-Year Exchange Fund Note Futures
  • Gold Futures
  • RMB Currency Futures

Order Types Available

Auction Orders

Auction orders are placed without a limit price and are only for the pre-market opening period. An auction order is an order to buy or sell in the market at the COP. All auction orders will be displayed and matched on a time priority basis. Unmatched auction orders are converted to limit orders on the market open.

Limit Orders

Limit orders will be matched automatically by HKATS if the COP is at the limit price or better. Limit orders with a bid that is higher than the COP or an ask price that is lower than the COP will be displayed at the COP. Any unmatched limit orders entered during the pre-opening period will remain as limit orders after the market open.

Inactive Orders

Users can also enter inactive orders in HKATS during the pre-market opening and they have the option of activating these orders later.

Order Amendment and Cancellation

Orders resident in the Central Orderbook may be amended, cancelled or inactivated only during the period of 30 minutes before the opening of each trading session or during trading hours. During the period of 30 minutes before the opening of a trading session, users can modify information of the orders, change the duration of validity and reduce the quantity of the order. Such actions will not affect the time priority of valid orders. However, any attempt to amend the order price or increase the order quantity during the period of 30 minutes before the opening of a trading session will result in the cancellation of the order and the entry of a new inactive order.

Pre-Market Opening Period

The pre-market opening mechanism serves to establish an orderly market open and greatly enhances market efficiency. During the Pre-Market Opening Period, the calculated opening prices (COP) are established before the market open without matching orders. At present, the pre-market opening is only available for the trading of Hang-Seng Index-related futures contracts.

The following three trading sessions make up the Pre-market Opening Period:

Pre-Opening * For auction orders, limit orders and inactive orders only
* Orders may be modified and cancelled
* Unfilled and unexpired orders from the previous day are included
* Combination series will not be included in this session*Continuous update of the Calculated Opening Price (COP) once it is determined* Both limit orders and auction orders can affect the COP
Pre-Open Allocation * For auction orders and inactive orders only* No activation of inactive orders, order modification or cancellation* Only new auction orders can affect the COP* Bulletin Board and combination orders are not allowed
Open Allocation * No input, modification or cancellation of auction orders or limit orders* Input of inactive orders allowed* Orders will be matched in order type, price and time priority at the COP at the end of the session* Unmatched auction orders will be converted into limit orders at the COP* Unmatched limit orders will be converted to normal limit orders* Users are not able to change or delete orders for 2 minutes during the Open Allocation session

Calculation of 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 imbalance 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.

 

Futures Trading Hours

  • Hang Seng Index Futures
  • H-shares Index Futures
  • Mini-Hang Seng Index Futures

09:15 – 12:00, 13:00 – 16:15 and

17:00 – 23:00 (After-Hours Futures Trading*)

Pre-market opening:

08:45 – 09:15 and 12:30 – 13:00

Last Trading Day (Spot Month Contract):

09:15 – 12:00 and 13:00 – 16:00

  • Mini H-shares Index Futures
09:15 – 12:00 and 13:00 – 16:15 and17:00 – 23:00 (After-Hours Futures Trading*)Last Trading Day / Expiry Day (Spot Month Contract):09:15 – 12:00 and 13:00 – 16:00
  • Hang Seng Index Options (Including Flexible Index Options)
  • H-shares Index Options (Including Flexible Index Options)
  • Mini-Hang Seng Index Options
09:15 – 12:00 and 13:00 – 16:15Last Trading Day / Expiry Day (Spot Month Contract):09:15 – 12:00 and 13:00 – 16:00
  • Dividend Futures
09:15 – 12:00 and 13:00 – 16:15
  • HSI Volatility Index Futures
09:30 – 12:00 and 13:00 – 16:15Last Trading Day (Spot Month Contract):09:30 – 12:00 and 13:00 – 16:00
  • BRICS Futures- IBOVESPA Futures- MICEX Index Futures- Sensex Index Futures- FTSE/JSE Top40 Futures

09:15 – 16:15

  • Stock Futures
  • Stock Options
09:30 – 12:00 and 13:00 – 16:00
  • HIBOR Futures
  • Three-year EFN Futures
08:30 – 12:00 and 13:30 – 17:00Last Trading Day (Spot Month Contract):08:30 – 11:00
  • Gold Futures

08:30 – 17:00

  • RMB Currency Futures

09:00 – 16:15

Last Trading Day (Spot Month Contract):

09:00 – 11:00

  • CES China 120 Index Futures
09:15 – 12:00 and 13:00 – 16:15Last Trading Day (Spot Month Contract):09:15 – 12:00 and 13:00 – 15:00

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