Published On: Fri, Aug 19th, 2011

OSE Partial Prohibition of Large Order Cancellations Prior to Call Auctions

In principle, the following cancellations and alterations shall be prohibited (excluding orders at prices not affecting the opening or closing price).
Applicable Products
Nikkei 225 Futures and Nikkei 225 mini

Applicable Time Periods
One minute prior opening auctions and closing auctions
(8:59~9:00, 15:14~15:15, 16:29~16:30, 2:59~3:00)

Time Periods other than 2:59am~3:00am
Nikkei 225 mini 500 contracts or more
Nikkei 225 Futures 250 contracts or more

2:59 am~3:00am
Nikkei 225 mini 250 contracts or more
Nikkei 225 Futures 125 contracts or more
(When sliced into small orders, bids and offers are summed up separately.)

Among the above cancellations/alterations, cases similar to the following examples shall be exempted, given reasonable explanation.

Examples of Cases Exempted
1) Breaking news is released having considerable effect on the market immediately before the call auction. – We may request for submission of detailed materials concerning the news.
2) Orders are placed in both Nikkei 225 Futures and Nikkei 225 Mini and one product is deemed more profitable so orders in the less profitable product are canceled. – Orders in the product that are not
canceled must be traded or left in the order book until the commencement of call auction.
3) Cancellation/alteration as part of an arbitrage trading strategy between OSE Nikkei 225 futures (including mini) and other products both domestically and internationally. Details regarding orders and prices of the other product are to be provided along with reasonable explanations – However, in the case where the same
manner of conduct is repeated for multiple times, further explanation with detailed materials may be requested by OSE.
4) The order is for rollover or for hedging another product and was canceled for reasonable purposes.
5) When correcting an erroneous order. – If frequently repeated, we shall conduct a thorough investigation.
6) In addition to above, cases that can be reasonably explained in detail and OSE judges it appropriate.

In the case where prohibited cancellations/alterations are conducted, OSE will issue verbal warnings against the client through OSE Transaction Participants. If the client continues the same conduct, we shall take appropriate measures such as requesting the submission of a written explanation which incorporates
improvement measures.

To be implemented from December 12, 2011.

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