Update : Nov. 15, 2011
Matching shall be conducted based on the "Principle of Price Priority" and the "Principle of Time Priority".
The Dynamic Price Limit refers to the price range set so that orders which diverge greatly from the latest execution price cannot be accepted.
Special quotes will be abolished with the introduction of the dynamic price range.
The execution price determination method via Itayose processing will be partially changed.
Details can be found in "3. Uncrossing Method for Execution Price Determination"
The Closing Auction ("CA") is the order acceptance period solely for the closing Uncrossing at the end of futures continuous auction. At the end of the Closing Auction, closing transaction will be conducted via Uncrossing processing.
Details can be found in "4. Introduction of Closing Auction"
Matching occurs at the average price between the lowest buy limit order (A) and the highest sell limit order (B).
The matching price will be the average price between (A) and (B).
((A)950.0 + (B)945.5） / 2 = 947.75)
However, values under the minimum tick size will be discarded. In this example, the tick size for TOPIX futures is 0.5, so the matching price is 947.5 after discarding the value under the minimum tick size.
Matching occurs at the lowest buy limit order price at which execution is possible.
Matching occurs at the highest sell limit order price at which execution is possible.
Matching occurs at the average price between the following (A) and (B).
(A) The lower of the lowest buy limit order for which execution is possible and the highest priority unexecuted offer.
(B) The higher of the highest sell limit order for which execution is possible and the highest priority unexecuted bid.
The matching price is the average price between (A) and (B)
((A)138.56 + (B)138.52) / 2 = 138.54)
The matching price will be 138.54.
The Closing Auction has been introduced for trading by Uncrossing processing at the end of each session. The Closing Auction occurs as shown below.
* Only applied to futures trading (excluding strategy trading).
However, there will be no Closing Auction for options trading.
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