Interruption of trading (auction)

When trading is interrupted, participants may enter new orders in the order book or cancel existing orders without trades being executed.

All limit and market orders and quotes in the order book, and in some cases the reference price, are used to determine the opening price after trading is interrupted. Orders and quotes are treated equally during any interruption of trading.

The following rules apply:

a) Orders must be considered in accordance with the price-time priority principle.

b) Unlimited orders must be executed with limit and unlimited orders on the opposite side. If not all unlimited orders can be executed, no executions will take place and the order book will remain closed

(non-opening) (see Example 1). Valid orders will remain in the order book.

c) Orders must be executed until one side of the book is empty or the best bid price remaining in the order book is lower than the best ask price.

d) If two unlimited orders of the same quantity are executed last, the price of the auction will correspond to the reference price (see Example 2). If the reference price is below (above) the best buy order (sell order) remaining in the book, this will determine the price of the auction (see Example 3).

e) If one unlimited and one limit order are executed last, the price of the auction will correspond to the remaining limit (see Example 4).

f) If limit orders of different quantities are executed at two price levels last, the price of the auction will correspond to the price level of the bigger order quantity (see Example 5).

Directive 3: Trading, section 7

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g) If limit orders of equal quantities are executed at two price levels last, the price of the auction will correspond to the arithmetic mean of both price levels, rounded up to the next valid price level (see Example 6).

If the arithmetic mean is below (above) the best buy order (sell order) remaining in the book, this will determine the price of the auction (see Example 7).

The following examples are based on these rules, which are set forth in Directive 3: Trading (section 7):

Example 1: Non-opening

The order book remains closed if it is not possible to fully execute all market orders.

Reference price: CHF 45.00

Bid Size Bid Ask Ask Size Bid Size Price Ask Size

500 M M 700 500 Market 700

100 45.00 100 45.00

Example 2:

Execution of unlimited orders/market orders of the same volume against each other at the reference price.

Reference price: CHF 45.00

Bid Size Bid Ask Ask Size Bid Size Price Ask Size

500 M M 500 500 Market 500

In this order book situation the price is equal to the reference price.

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Example 3:

The limits remaining on the order book determine the price for execution of market orders of the same volume if

Example 3.1:

Reference price < remaining buy limit  price = remaining buy limit

Reference price: CHF 45.00

Bid Size Bid Ask Ask Size Bid Size Price Ask Size

500 M M 500 500 Market 500

200 46.00 200 46.00

Since the reference price is lower than the remaining buy limit, the buy limit determines the price.

 Price is CHF 46.00

Example 3.2:

Reference price > remaining sell limit  price = remaining sell limit

Reference price: CHF 45.00

Bid Size Bid Ask Ask Size Bid Size Price Ask Size

500 M M 500 500 Market 500

44.00 100 44.00 100

Since the reference price is higher than the remaining sell limit, the sell limit determines the price.

 Price is CHF 44.00

This leads to the following simplification:

If a reference price and limit must be used to determine the price

 the higher of the two determines the price if a buy order remains in the order book

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Example 4

If the market and limit order meet, matching is always at the best remaining limit.

Example 4.1

Bid Size Bid Ask Ask Size Bid Size Price Ask Size

500 M 43.00 100 500 Market

44.00 400 45.00 100

45.00 100 44.00 400

43.00 100

In this order book situation the price is equal to the best remaining sell limit.

 Price is CHF 44.00

Example 4.2

Bid Size Bid Ask Ask Size Bid Size Price Ask Size

500 Market 44.00 500 500 Market

44.00 500

In this order book situation the price is equal to the sell limit, since there are no better sell limits remaining.

 Price is CHF 44.00

Note:

The term "remaining" could be misconstrued, since the limit that it refers to is still included in the

execution, or used as an alternative execution result to be compared with the reference price. This is how Directive 3 is officially worded.

What is meant is that this is the last opportunity to match the bid and ask side.

In Example 4.1, for example, the limit of 44.00 is matched with the market order, i.e. it does not "remain" after matching during opening after interruption of trading. However, this would be the last limit order available for matching with the buy side.

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Example 5

If limit orders with different limits and volumes are matched, the price is determined by the limit with the higher order volume.

Example 5.1: Buy order volume > sell order volume

Bid Size Bid Ask Ask Size Bid Size Price Ask Size

700 45.00 44.00 100 700 45.00

44.00 100

The price is equal to the limit with the highest order volume.

 Price is CHF 45.00, volume executed 100

Example 5.2: Sell order volume > buy order volume

Bid Size Bid Ask Ask Size Bid Size Price Ask Size

300 45.00 44.00 700 300 45.00

44.00 700

The price is equal to the limit with the highest order volume.

 Price is CHF 44.00, volume executed 300

Example 6

If limit orders with different limits and the same volume are matched, the price is determined from the arithmetic mean of the limits (rounded up to the nearest valid price step).

Bid Size Bid Ask Ask Size Bid Size Price Ask Size

700 45.00 44.00 700 700 45.00

44.00 700

Example with no price stepping:

The price is equal to the arithmetic mean.

 Price is CHF 44.50

Example with price stepping of CHF 1.00:

The price is equal to the arithmetic mean (rounded value).

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Example 7

If the best remaining buy limit (sell limit) on the order book is higher (lower) than the arithmetic mean, the price is determined by the latter.

Example 7.1: Buy limit > arithmetic mean

Bid Size Bid Ask Ask Size Bid Size Price Ask Size

700 45.00 44.00 700 700 45.00

100 44.75 100 44.75

44.00 700

The price is equal to the remaining buy limit, since it is higher than the arithmetic mean (44.50).  Price is CHF 44.75

Example 7.2: Sell limit < arithmetic mean

Bid Size Bid Ask Ask Size Bid Size Price Ask Size

700 45.00 44.00 700 700 45.00

44.40 100 44.40 100

44.00 700

The price is equal to the remaining sell limit, since it is lower than the arithmetic mean (44.50).  Price is CHF 44.40

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