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Article 4.7.6

Functioning of the auction and phase change rules

1.       In the pre-auction phases, the theoretical opening price shall be computed and updated in real time. It shall be determined as follows:

a)    the theoretical opening price shall be the price at which the largest quantity of financial instruments can be traded;

b)    where the quantity referred to in subparagraph a) can be traded at more than one price, the theoretical opening price shall be equal to the one which produces the smallest quantity that cannot be traded with reference to the buy and sell orders having prices equal to or better than the price in question;

c)    where for more than one price the quantity of instruments that cannot be traded referred to in subparagraph b) is also the same, the theoretical opening price shall be the price, identified in the interval of executable prices with the extremes determined by the prices of the orders on the book, that minimises the divergence with respect to the reference price.

The theoretical opening price shall be equal to the price of the last valid contract where only buy and sell orders without a limit price are present.

 

2.       The pre-auction phase shall end at a time within an interval specified by Borsa Italiana in the Instructions.

 

3.       The last theoretical opening price shall be considered valid and adopted as the auction price for the conclusion of contracts if it differs from the static control price by less than the maximum percentage variation established by Borsa Italiana.

 

4.       If the divergence between the theoretical opening price and the static control price exceeds the maximum percentage variation referred to in the previous paragraph, the volatility auction phase shall be started for a period established by Borsa Italiana in the Instructions.

 

5.       The conclusion of contracts referred to in paragraph 3 shall be the result of the automatic matching of buy orders with prices equal to or higher than the auction  price with sell orders with prices equal to or lower than such price in accordance with the price and time priorities of the individual orders and until the quantities available are exhausted. Market orders shall always have higher priority than limit orders.

 

6.       If it is not possible to determine the opening price, the continuous trading phase shall start, to which only the limit orders shall be transferred while the market orders shall be cancelled.

 

7.       If no orders of any kind are entered in the auction phase, the continuous trading phase shall nonetheless start.

 

8.       At the end of the opening auction or of the volatility auction:

a)      limit orders which are partly or wholly unfilled shall be automatically transferred to continuous trading with the price and time priority of the original order, unless different functionality is specified in accordance with the Trading Service Manual;

b)      market orders which are partly or wholly unfilled shall be automatically transferred to continuous trading as limit orders with price equal to the auction price and time priority of the original order, unless different functionality is specified in accordance with the Trading Service Manual.

 



Last update:  November 9 2010 - 16:28


      


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