As of June, 16 2008 Bulgarian Stock Exchange will lead in exploitation the new trading system XETRA. The new platform introduces significant changes in the conditions and the mechanism to the trading on Bulgarian Stock Exchange.
Detail description is published on the internet page of BSE – Sofia.

ELANA Trading summarized the entire available information about the new methods and conditions of trading. Thus, our clients will be ready for the new functions and specifications and will be protected by eventual technical mistakes.

What is the new with XETRA

• New trading method – combines auctions and continuous within the trading session

• Changes in the trading schedule
  
  
• New types of orders

• Priority of orders

• Anonymous trading
  
  
• New price limits - reference price
  
  
• Volatility interruptions

• Adjustment with the on-line system COBOS
  
  
• New tickers of the companies

New trading method – combines auctions and continuous within the trading session

The main change with XETRA will be introduction of auctions. The general purpose of the auctions is increasing the liquidity of the market and fair pricing. Every auction consists of two phases: phase for entering orders (call phase) and phase for defining the price. If during the call phase there are crossing orders, the system visualizes the indicative price, the volume and if there is a surplus – on which side it is (demand or supply). If crossing orders are missing, the system visualizes information only about the best bid and ask prices, and the total volumes of the orders at these price levels. The call phase ends on random principle within 30 seconds after expiring of the period appointed for entering orders into the system. The second phase is determining of the price, which continues less than а second. All market and limit orders, which haven’t been executed will be transferred to the continuous trading with the respective limits- price validity, iceberg, etc.

Back

Continuation of the trading session

Back

New types of orders

XETRA will support several new kinds of orders.

• Market to limit order
  None limited orders, which are executed on the auction price or on a better opposite limit order. If in the system there are opposite market orders the market to limit order is rejected from the system.
  
  
• Market stop order
  When a predefined stop price is reached, the stop order will be triggered and automatically entered into the system as market order. Thus, the execution of the order is guaranteed on market price. Before reaching the stop price the stop order will be invisible for the other market participants.
  
  
• Limit stop order
  When a predefined stop price is reached, the stop order automatically will be entered into the system as limit order. The stop price doesn’t guarantee execution of the order on the limit price. Before reaching the stop price the stop order isn’t triggered and therefore it is invisible for the other market participants.
  
  
• Iceberg orders
  This is a limit order which is usually used for big volumes when the client doesn’t want to show the whole amount of the order. This type of order has the following characteristics – limit price, volume and peak volume. The minimum required volume is 1000 shares and the peak volume is at least 10% of the volume. In continuous trading, the system visualizes only the peak volume and the other market participants don’t see the whole amount of the order. When the peak volume is fully executed a new peak volume will be entered into the system with new time priority. This continues until the full execution of the order. The “iceberg order” participates with its full volume in auctions. “Iceberg orders” are valid only for the day.
  
  
• Validity of the orders:
  • Good for the day
  • Good till date (up to a maximum Т+89 days)
  • Good till cancelled
  
  
• Orders according to the trading method:
  • Opening auction only
  • Closing auction only
  • Auction/ s only
  It is not possible to enter an order valid only for continuous trading.
  
  
• Order “Fill or Kill”
  A limit order, which will be deleted from the order book if it is not executed immediately and in full volume. A limit order which after entered into the system isn’t executed immediately and in full volume is rejected from the system.
  
  
• Order “Immediate or cancel”
  Limit order, which is executed even partially and if there is not executed volume it will be deleted from the system. If there are no opposite orders “Fill or Kill” won’t be lead in the system. A limit order which after entered into the system is executed in full volume or partially and the excess of the order if there is such is rejected from the system.

Back

Orders priority

1. First priority – price
2. Second priority – time

All incoming orders are arranged by price. Buy orders with higher price have priority over these with lower price and sell orders with lower price have priority over these with higher price. Therefore the best sell order is the order with the lowest price and the best buy order is the order with the highest price. Market orders always have priority over limit orders.

When incoming orders are equal in terms of price priority these orders are arranged by time priority. So the first order on a specific limit price entered into the system has priority over the others.

Back

Anonymоus trading

Trading in XETRA will be anonymous. Market participants won’t be able to identify who has entered an order into the system. Also they will be able to see up to ten price levels on each side (buy or sell), the number of offers on each price level and the total volume of shares on each price level.

Back

New price limits – reference price

The reference price will have significant role in the new way of trading. It presents the last price achieved on auction or in continuous trade. Therefore when we have continuous trading the reference price will change with every single deal and will acquire the value of the last deal.

Back

Volatility interruptions

In contrast to the old method of trading in XETRA there won’t be price limits for entering of orders. These price limits were +/- 15 % from the previous close price for official market segment and +/- 30 % for unofficial market segment. The main purpose of these limits was to prevent the market from manipulations. With XETRA they will be replaced with the so called “Volatility interruptions” which will have the same goal. They will be triggered when the potential final price of a deal is out of a specified dynamic or static range. The volatility interruption presents a change in the trading phase from continuous trading into auction. This auction has a “call” phase with duration of 2 minutes. Volatility interruption can be triggered also during auction and presents elongation of auction’s “call” phase. The static range presents an interval defined on the basis of the last price achieved on auction or the last close price. The dynamic range presents a constantly moving interval defined on the basis of the reference price. The static and the dynamic ranges for the different market segment are as follows:

Shares traded on Official Market:

• Static range: +/- 10 % from the last auction price
• Dynamic range: +/- 5% from the reference price

Shares traded continuously on Unofficial Market, REITs and trading with rights for capital increases:

• Static range: +/- 20 % from the last auction price
• Dynamic range: +/- 10 % from the reference price

Shares traded on Unofficial Market only through auctions, Mutual funds’ stakes and compensatory instruments:
       •  Static and Dynamic range: +/- 30 % from the last auction price or the reference price.

Back

Adjustment with the on-line system COBOS

The on-line system COBOS will stay unchanged and only will be adjusted to XETRA. Stop and iceberg orders will be implemented in COBOS within two months after implementation of XETRA.

Back

New tickers of the companies

XETRA requires changes in the tickers. ELANA Trading classified the new tickers on its internet page and presented an application which after entering the old company’s ticker shows the new and contrariwise.

Back

Source: Bulgarian Stock Exchange – Sofia