The Taiwan Monthly

Dec. 2020

Trading Policies

Intraday odd lot trading

To make the Taiwan Stock Exchange more accessible to the public and to better satisfy investors' trading needs, Investors are able to do intraday odd lot trading starting on October 26, 2020. The existing after-hours odd lot trading system will remain unchanged.

Item

Description

Quote time

9 am to 1:30 pm:To keep odd lot trading from interfering with the opening for regular trading, securities firms will start entering quotes into the exchange at 9 am, and the first call auction will be executed at 9:10 am.

Call auction

The first call auction is executed at 9:10 am, followed by periodic call auctions in 3-minute intervals. Order execution priority:

  1. Price priority principle: Higher-priced buy orders shall have priority over lower-priced buy orders. Lower-priced sell orders shall have priority over higher-priced sell orders. Where orders are placed at the same price, priority shall be based on the time priority principle.
  2. Time priority principle: For orders placed before the first call auction, priority shall be determined randomly by the computer system. For orders placed after the first call auction, priority shall be determined by the order in which the orders are entered.

Quote range and fluctuation

Same as regular trading on every business day (9 am to 1:30 pm on the day; limited to 10% above or below the reference price on the day) Given there are no price fluctuation limits for newly listed stocks on the first five days of listing, there will be no price fluctuation limits for odd lot quotes in the same period.

Order placement

To avoid trade disputes arising from clerical error at securities firms, order placement and confirmation of odd lot trades must be conducted electronically, except where the principal is a professional institutional investor.

Order type

Day orders only

Closing and order removal

Outstanding intraday odd lot orders will not be carried forward to the after-hours odd lot session.

Disclosure

l  Market data: Following each match after the first call auction, market information including the trading price and volume and the best five bid/ask prices and volumes will be disclosed to the public.

l  Simulated market information during the session: The first disclosure will be executed at 9:00:10 am, followed by simulated matching in 10-second intervals until 1:30 pm. Simulated trading prices and volumes, and the best five bid/ask prices and volumes will be disclosed.

Intra-day volatility interruption system

In order to prevent trading prices from exceeding investors' expectations as a result of drastic price volatility, except for newly listed securities not yet subject to price fluctuation limits, securities for which extended matching intervals have been implemented under the bylaws or rules of the TWSE and securities for which the reference price is lower than NT$1, price stabilization measures will be in place for intraday odd lot trading from the first successful match to a certain interval before the quote time ends (1:20 pm). If the potential execution price before matching rises or falls by over 3.5% in comparison with the last trading price, the TWSE will instantly delay the current matching by two minutes and continue to accept key-in, cancellation and changes of buy/sell orders within the delayed matching period, and then match orders sequentially after the current delayed matching period comes to an end. The price stabilization measures delay matching, and disclose to investors simulated matching trading prices and volumes and the best five bid/ask prices and volumes in 10-second intervals.

 

Comparison of intraday after-market odd lot trading:

Differences

Item

Intraday odd lot trading

After-market odd lot trading

Implementation date

October 26, 2020

To remain in effect

Trading hours

9 am to 1:30 pm

1:40 pm to 2:30 pm

Call auction

The first call auction is executed at 9:10 am, followed by periodic call auctions in 3-minute intervals.

Matching takes place only once at 2:30 pm.

Order execution priority

Ø  Price priority

Ø  Time priority if prices are the same (computer generated random priority for the first call auction).

Ø  Price priority

Ø  Computer generated random priority if prices are the same.

Disclosure

Ø  Market Data: Following each match, market information including the trading price and volume and the best five bid/ask prices and volumes will be disclosed to the public.

Ø  Simulated market information disclosure: Simulated trading price and volume and the best five bid/ask prices and volumes will be disclosed in 10-second intervals between 9:00 am and 1:30 pm.

Simulated best trading price will be disclosed in 30-second intervals in the last five minutes (between 2:25 pm and 2:30 pm) of the quote.

Advance collection of payments/securities

Payments/securities collected in advance with those for regular orders:

Ø  Disposal of securities (by advance collection of payments/securities)

Ø  Securities subject to change of trading method

Disposal of securities (by advance collection of payments/securities) must have payments/securities collected in advance with those for regular orders.

☆     To keep from interfering with the existing processes, securities subject to change of trading method will remain unchanged after-market odd lot trading without advance collection of payments /securities.

Order placement

Ø  Rule: To be processed electronically.

Ø  Exception: Non-electronic orders may be accepted from professional institutional investors.

No format requirement

Intra-day volatility interruption system

Ø  Time: Between the first call auction (9:10 am) and 1:20 pm.

Ø  Benchmark: Any given simulated execution price fluctuates beyond 3.5% from the previous execution price prior to each match.

Ø  When the benchmark is reached, the current matching will be delayed by two minutes, during which period orders may be added, reduced, or deleted. Orders will be matched at the end of the delay.

None

Closing and order removal

Outstanding orders will not be carried forward to the after-hours odd lot session.

None

 

Similarities:

Item

Intraday & After-market odd lot trading

Target investment

Stocks, TDRs, ETFs, and beneficiary certificates

Ø  Odd lot trading not permitted for call (put) warrants and ETNs.

Trade unit

1 - 999 shares

Quote range and fluctuation

Same as regular trading on every business day (9 am to 1:30 pm on the day; limited to 10% above or below the reference price on the day) Given there are no price fluctuation limits for newly listed stocks on the first five days of listing, there will be no price fluctuation limits for odd lot quotes in the same period.

Order type

Day orders (ROD) only

Order change

Reduction and cancellation permitted. Price change not allowed.

Trade restriction

Margin trade and short sales not permitted.

 

For further inquiries, please contact Ms. Liu at 1143@twse.com.tw .