Extreme Trade Range (ETR)

Extreme Trade Range (ETR) imposes a pause on trading when an order would result in a trade outside the Extreme Trade Range if it was allowed to occur.

Determining ETR ranges

To determine the permissible range, a reference price is published along with a maximum percentage value that orders can be above (for buy orders) or below (for sell orders) the reference price.

These values are published using Orderbook Attribute [X] messages.

• B for the ETR reference price

• D for the ETR upper limit percentage

• d for the ETR lower limit percentage

These need to be decoded using the PriceDecimals for the relevant orderbook from the Orderbook Directory [R] message.

These messages are published on initial reference spin and intraday during auction states. The percentage values differ depending on the size of the reference price. Therefore, the percentage values may change if the limit price moves from one band to another.

Example

For an orderbook the following Orderbook Attribute [X] messages are received:

AttributeType=B AttributeValue=1000
AttributeType=D AttributeValue=60000
AttributeType=d AttributeValue=60000

The Orderbook Directory [R] for the orderbook gives PriceDecimals as 3.

This gives:

• A reference price of $1.000 (1000/ 10^3)

• Upper percentage of 60%, lower percentage of 60%

• Upper bid of $1.60, lower offer of $0.40
  ($1.00 * 60% gives $0.60.
  $1.00 + $0.60 = $1.60.
  $1.00 - $0.60 = $0.40)

Behaviour during an ETR event

An ETR event occurs when an incoming order would result in a trade that exceeds the ETR range. Using the above example, an ETR event would occur if a buy order would result in a trade of $1.01. The following will messages will be received:

Start of the ETR event

• A System Event [S] with an EventCode of CB_AUCT will be scheduled for immediately

• The order that caused the event is added into the orderbook using an Add Order [A] if the order can be added to the orderbook. Immediate orders, for example, market orders, cannot be added to an orderbook in an auction state.

• An Orderbook Trading Action [H] message indicates the orderbook is halted due to an ETR event

• A System Event [S] message with an EventCode of CB_AUCT is triggered

• A System Event [S] message with an EventCode of CB_AUCT_END is scheduled. The scheduled time is currently set 2 minutes after the start of the CB_AUCT

• Indicative Price/Quantity [I] messages are sent if there is an overlapping orderbook

All the above messages are generated in the same matching engine event and can be considered to have occurred simultaneously.

During the event

• Order management messages may be received as orders are added and amended

• Indicative Price/Quantity [I] are generated as necessary

At the end of the event

• An Orderbook Trading Action [H] message indicates the orderbook is returning to normal trading

• The auction runs, executing trades, if there are overlapping orders

• The auction resets the ETR reference price and values are updated using Orderbook Attribute [X] messages

• A System Event [S] message with an EventCode of CB_AUCT_END is triggered.