Derivatives

Changes to Order Execution Processing

Update : Nov. 15, 2011

1. Changes in Order Acceptance Period and Start of Auction

Market orders and at-the-opening orders cannot be placed during the order acceptance period.

Even in cases where no executions occurred at the opening auction, transition to continuous auction will occur immediately.

2. Primary Changes to Matching Method

Abolishment of Simultaneously Placed Orders

Matching shall be conducted based on the "Principle of Price Priority" and the "Principle of Time Priority".

Introduction of Dynamic Price Limit

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.

• Functions to Preventing Erroneous Order Placement

Change in Contract Price Determination Method during Itayose

The execution price determination method via Itayose processing will be partially changed.

Details can be found in "3. Uncrossing Method for Execution Price Determination"

Introduction of Closing Auction

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.

• During the Closing Auction, market orders and orders with conditions cannot be placed.
• Stop allocation will be abolished.

Details can be found in "4. Introduction of Closing Auction"

3. Uncrossing Method for Execution Price Determination

Contract Price Determination Method Pattern

(1) Cases where all bids and offers can be matched

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.

(2) Cases where only a portion of bids are left unexecuted

Matching occurs at the lowest buy limit order price at which execution is possible.

The matching price will be 138.60, the lowest buy limit order price at which execution is possible.

(3) Cases where only a portion of offers are left unexecuted

Matching occurs at the highest sell limit order price at which execution is possible.

The matching price will be 945.5, the highest sell limit order price at which execution is possible.

(4) Cases in which a portion of both bids and offers are left unexecuted

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.

4. Introduction of Closing Auction

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.

• (*)Only limit orders can be placed.
• (*)Execution of full amounts is not guaranteed.
• (*)Closing Uncrossing processing is not conducted for strategy issues.
  (Orders for strategy issues can be placed during the Closing Auction)